GVZ and Gold Returns

Implied Gold Volatility, Regimes, and Portfolio Implications

Gold is widely used as a macro hedge and portfolio diversifier. However, beyond the spot price, the gold options market continuously embeds forward-looking information about risk expectations and tail demand, information that is not apparent in price alone.

In this post, I study gold implied volatility through the GVZ index and its relation to GLD returns. While the negative relationship between equities and equity volatility (as measured by the VIX) is well-documented, the link between gold prices and gold volatility is less studied, and structurally more nuanced than many investors assume.

Using daily data and straightforward portfolio tests, I study how GVZ behaves relative to gold returns and outline practical ways this signal may be used in a risk-control framework.