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.

 

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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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