Gold and Retail ETFs

Wed, 25 Nov 2009 14:50:50 +0000

The underlying philosophy here is skepticism and mean reversion. Dan Sheridan talks about a bearish calendar spread on the retail HOLDR, RTH.

Again, when everyone is talking about it, it is near the top. Dan Sheridan has two trade ideas, one bullish and one bearish for GLD, the gold SPDR that holds bullion.

Volatility Curves

Tue, 02 Jun 2009 16:25:14 +0000

Want to look at the volatility curve of some ETFs to see if the market is telling us something.

ETF	Historical Volatility	June Implied Vol.	July Implied Vol.	Sep Implied Vol.	Dec Implied Vol.
XRT Retail	38	42	39	38	38
XLY Consumer Discretionary	38	31	31	32	32
XLP Consumer Staples	20	15	15	17	17
XOP Oil & Gas Exploration	55	37	41	40	—
XLE Energy	40	36	35	37	37
XME Metals & Mining	70	50	51	51	51
XLI Industrial	42	30	30	31	31
XLB Materials	40	35	35	36	36
XLV Healthcare	17	18	18	21	21
XLU Utilities	27	20	19	21	23
XLK Tech	28	30	29	28	29
XLF Financial	70	53	52	52	50
XHB Homebuilders	57	53	52	54	51
GLD Gold	15	26	28	29	31

What is interesting to me here is that most of the implied volatilities are lower than the historical volatility. Also, the implieds are constant going out to December. That looks like a placid market prediction. Of course, most of the volatilities are “high” historically.

One exception is XRT, the retail SPDR, the June implied volatility is higher than historical and then it drops down to the historical value as you go out in time. This is also odd since XRT has been rising. This might indicate a near term storm in retail.

At the bottom of the chart, GLD, SPDR Gold Trust, has a higher implied than historical vol in absolute terms and a rising implied vol curve going out to December though gold has been rising. That is bearish for gold.

Trade Naked » Spdr

Gold and Retail ETFs

Volatility Curves