Gold calls are claiming higher implied volatility premium than calls for the third straight day, indicating investors are adding bets to position for strength in the yellow metal.
One-month risk reversals (XAU1MRR), the cost of swapping equally out-of-the-money puts and calls, flipped in favor of calls on Tuesday, as the metal rose more than 4 percent, extending Monday’s 3.7% price gain.
Risk reversals currently trade at 2.925 versus -4.5 on March 19. The surge represents a bearish-to-bullish trend change in the options market. At press time, gold is trading near $1,625 per ounce, representing a 0.23% drop on the day.
XAU1MRR
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