Gold ETF Options

Most Active Gold ETFs by Options Volume

Two most liquid optionable gold ETFs are GLD (SPDR Gold Shares, see official website) and GDX (VanEck Gold Miners, see official website).

There is usually little reason to trade options on any other gold ETFs, as those are mostly variations of either GLD or GDX, with much lower options volume and wider bid-ask spreads.

rank symbol avg_daily_volume etf_name
  8. GLD   =  47,475  =  SPDR Gold Shares ETF
 16. GDX   =  26,865  =  VanEck Gold Miners ETF
 47. GDXJ  =   3,686  =  VanEck Junior Gold Miners ETF
 68. NUGT  =   1,416  =  Direxion Daily Gold Miners Index Bull 2X Shares
 88. IAU   =     629  =  iShares Gold Trust
 92. JNUG  =     597  =  Direxion Daily Junior Gold Miners Index Bull 2X Shares


While both ETFs provide exposure to gold price, GLD tracks it much more closely than GDX.

The underlying asset of GLD is physical gold.

On the contrary, GDX holds shares in gold mining companies, such as Newmont Mining (NEM) or Barrick Gold (GOLD) – its two biggest positions. Its benchmark is not gold price itself, but the NYSE Arca Gold Miners Index. Therefore, besides gold price itself, the price of GDX can be affected by stock market sentiment, particularly in the mining industry. In fact, some of the companies in GDX portfolio also mine other metals besides gold – such as silver, copper, zinc, or lead.

That said, both GLD and GDX tend to be highly positively correlated to spot gold price and to one another.

Note: The difference between GDX and GDXJ (the third most liquid optionable gold ETF) is that the latter holds smaller capitalization gold mining companies.

GLD vs. GDX Volatility

One important difference between GLD and GDX for options trading purposes is volatility.

GLD tends to be far less volatile than GDX.

Typical volatility levels for GLD are 10-20%. Occasionally it may spike and then spend more time in the 20s. It may also drop to the 8% or 9% handle. But it tends to be between 10% and 20% at most times (interestingly, this is quite similar to the typical volatility level of the S&P500 index, although the price of gold or GLD is generally not tightly correlated to equities).

The volatility of GDX is often two or three times higher than GLD, with typical levels somewhere between 20% and 50%.

GVZ Index: The VIX of GLD

Just like the VIX index for S&P500 options, the CBOE publishes the GVZ index, officially named CBOE Gold ETF Volatility Index, which measures 30-day implied volatility of GLD options. Its historical data, freely available on CBOE website, goes back to 18 September 2009.

See official GVZ page at CBOE.

There were even futures on the GVZ index trading on CFE (CBOE Futures Exchange). Introduced on 25 March 2011, they worked just like VIX futures, with same expiration dates and settlement procedure. But their liquidity was never high enough and they are no longer available.

CBOE also used to publish a similar "VIX" index for GDX options. Its symbol was VXGDX, but it has also been discontinued.

Using the GVZ Index

However, the GVZ index is still available and can be used to track the general implied volatility level of GLD options.

Keep in mind that implied volatility of individual strikes can be very different from the headline GVZ reading, even if the expiration is close to 30 days (just like individual SPX option strikes can have IV different from the VIX value).

The index can still be used as a filter or strategy allocation tool when trading various GLD option strategies.

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