The gold volatility complex has been trading lower by 20%( implied vol, GVX) pushing ATM June2020 Straddle lower. Market participants are now expecting a 4% move in either way (up or down), Vs 6% from the prior week.
According to the latest COT report, bullion banks increased their short position by 13,556 contracts (1,356,600 new ounces…), whereas managed money have increased their long exposure by 13,158 contracts…
We have demystified the COT report (exhibit 2)into an easier version to digest for our readers. Instead of 5 categories you will find 3 categories only.
- We combine the “producer” and “swap dealer” into one category Commercials AKA the bullion banks
- Managed money and other reportable AKA Hedge fund, CTA
- Non reportable AKA smaller traders without significant influence on market price.