Commodity Volatility Indices: OVX and GVZ

In the research called Equity Volatility Indices: VIX, VXN, VXD, RVX we examined equity volatility indices. The research presented a series of calculation showing how and how much the aforementioned indices were moving. The present research, instead, will repeat the same examination but this time it is going to be focused on commodities markets and in particular on the two most liquid commodities markets in the world: Gold and Crude Oil (WTI specifically). Specifically, the volatility indices under examination will be the GVZ (which tracks the implied volatility in the gold options market) and the OVX (which tracks the implied volatility in the WTI options market). Technically speaking, these indices are calculated using ETCs (exchange traded commodities) that track the performance of the implied volatility on gold and crude oil options markets, nevertheless, they remain a very good proxy for what is going on in both asset classes. This research was published on the Medium platform a few years ago but it is still valid today. Please click here to read the rest of the research.

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