- 27 Aug 2020
- By CME Group
Gold volatility
- Implied volatility in 2019 was in the 10% range with high periods in the low teens. For 2019 overall, it was approximately one standard deviation lower than the 10-year mean of approximately 15%.
- So far in 2020, gold volatility has been approximately 1.5 standard deviations above the long-term mean.
- Implied volatility in 2020 started in the 10% range and spiked to nearly 40% in late March, as the basis between OTC and COMEX Gold became volatile due to perceptions of disruption in the supply chain for physical gold bars.
- Volatility declined steadily from March through July to nearly 15%. As gold traded above 2000 for the first time, gold volatility again rallied to 25%
Source: QuikStrike
Silver volatility
- Silver volatility in 2019 was approximately one standard deviation lower than the 10-year mean.
- Silver volatility in 2020 was two standard deviations higher than the 10-year mean.
- Implied volatility in 2020 started in the 20% range and spiked to nearly 70% in late March, again as a result of volatility in the metals markets.
- Volatility declined steadily from March through July to near 25% and spiked up to 65%, as silver traded near the $30 level.
Source: QuikStrike
Copper volatility
- Copper volatility has fluctuated from the high teens to the low twenties over the last two years until the recent spike, caused by fears that Covid-19 would reduce global copper consumption.
- Volatility spiked to near 40% as the price of copper fell to near $2.00.
- Since late March, copper volatility has returned to mean levels as the price of copper recovered back to near $3.00.
Source: QuikStrike
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