Yo Pit Crazies,

Here’s a question you weren’t expecting today …

What is a Volatility Cross?

Well, it’s anytime the implied volatility of an underlying dives prematurely, setting up a cheap volatility play.

Where is that happening?

SPDR Gold Trust (Ticker: GLD), of all places.

J-Pow settled markets once again, and that is generally good for gold.

Is it a trade?

GLD IV Is At A Two-Week Low

I hear what you are saying – gold is dead.

But if the options are the right price, that is more important since GLD will just have to sneeze and the options will move.

Given the general world issues at hand, it is not unreasonable to believe folks will reach for gold again.

10-day realized vol for GLD is near 20%, and I am seeing moves of $2 per day close-to-close …

Meanwhile, GLD July 8 171.50 calls are $2. So a four-week call has the same value as the daily move.  

Three-month GLD chart with one-day candles and 30-day IV in red, with 20 day RV in blue.

That seems cheap to me!

Bill and I will hit that in Power Gains at 11 a.m. ET today – you still have time to join if you act now.

To Your Trading Success,

AG