Tuesday, April 16, 2013

Gold’s VIX Term Structure ‘Most Inverted’ Since Lehman

from Zero Hedge:
While there are obviously sellers in the gold market, there is also a dramatic spike in demand for protecting what is still being held (remember there is a buyer for every seller). Gold’s short-term VIX (implied volatility) has spiked to 18 month highs above 29% but it is the steepness of the term-structure of volatility that shows just how much protection is being sought. The difference between the one-month volatility and one-year volatility is almost 10 vols – the highest level of inversion (short-term risk higher than long-term) since Lehman. It seems the market is extremely fearful of further volatility in the short-term but less concerned longer-term. What is also worrisome is that the last two times that Gold’s VIX was this much higher than the S&P’s VIX was June 2006 (when the first hedge funds started to implode from Subprime) and Sept 2008 (Lehman). It appears that gold volatility is signalling counterparty risk concerns once again.
Read More @ ZeroHedge.com

Please share this article

No comments:

Post a Comment