|GLD, SPY, JJC, TLT, UUP 6/29|
The expectation of 30-day volatility for GLD measured by the GVZ (CBOE Gold Volatility Index) was up 5.5% today (24.07) while GLD was unchanged, so the options are preparing for a move here (hedging with puts/leveraging with calls). In the past, except for the chop fest in the beginning of the year, GVZ moved up with GLD and went parabolic in expectation of a breakout. Was the initial GVZ spike from the 2009 symmetrical triangle breakout? GLD volatility would crash when GLD failed to deliver.
If I owned 31,500,000 shares of GLD betting on a breakout to $130 and beyond, I'd probably be insured with puts for protection (Aug, Sep in or at the $), just in case support gets violated and volatility erupts on the downside. Remember $USO (Oil) a few weeks ago? GLD puts were cheaper a few weeks ago though. Since June 16, $GVZ is up 15.5% and GLD is up 0.80%. Gold spot is up 0.30% to 1,242.62.
GLD decouples from SPY, JJC to join TLT, UUP (FreeStockCharts.com)
GLD (with support/resistance levels, targets)
GVZ vs. GLD since June 16
GLD vs. GVZ Since June 2009 (OptionsXpress.com)