Gold, Silver And Equities Evidence Positive Vol/Spot Correlation

2026-02-03 05:19:00 ET

By Ed Tom

Cross-Asset Volatility : Implied volatilities were higher across the major asset classes last week on the back of President Trump’s nomination of arguably the most hawkish of the top contenders for Fed chair, Kevin Warsh. Although last Friday’s 10% and 29% collapse in gold and silver prices doubled the 1M realized volatility of the two metals, the comparable maturity implied volatilities for GLD and SLV were significantly more well behaved and essentially followed skew downwards from 38.6 to 35.8 ((GLD)) and from 103.7 to 86.1 ((SLV)). As a result, ATM options on the metals are currently cheaper both from a nominal and from a percentage of spot standpoint than they were last Thursday. That being said, implied vols for GLD and SLV remain near historic 7th standard deviation highs. To discern near-term options sentiment, we compare the current 1M skew for both metals against the same measure in mid-Jan when gold and silver prices were at present levels (i.e., 1/21/26 for GLD, 1/12/26 for SLV). We find gold skew currently shows a similar constructive risk profile albeit with less defensive positioning (i.e., flatter put skew) whereas positioning in silver has a comparatively higher bullish tilt (i.e., steeper call skew) on heavy volume (2x typical levels). The yield curve has remained relatively flat post-FOMC but with the shift in rates policy expectations, rates volatility has meandered upwards with the VIXTLT currently trading up 13pts w/w to 83 (21st percentile). Likewise, as the USD bounces off its 4-year lows, FX vols have risen w/w and now trades at 55th percentile levels....

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