Record Drop for Price of Gold

GLD 04-15-2012Chart showing yesterday’s drop in the price of gold. It was the largest drop in price ever in dollar terms. In percent terms the drop on 03-17-1980 was larger. Yesterday’s drop was over 9%. Measured in standard deviations it was a move of 6.62 standard deviations. With a normal probability distribution, 68% of the time price moves will be within one standard deviation, 95% of the time moves will be within two standard deviations and 99% of the time within three standard deviations. The red bars on the chart show the price moves measured in standard deviations and the lower line is the IV/SV ratio.

Skew - GLD - SPDR Gold Shares_window_screenshotSkew chart showing the implied volatility of gold (GLD) options after yesterday’s record day in dollar terms.



About sellacalloption

Author, Radio Show Host and Portfolio manager and chief option strategist for IWC Asset Management.

Posted on April 16, 2013, in Option Basics and tagged , , . Bookmark the permalink. Leave a comment.

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