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One-month risk reversals on gold, a gauge of calls to puts on the yellow metal, fell to 1.10 on Tuesday, having hit a multi-month high of 2.125 last week. 

Essentially, the spread between the implied volatility premium for calls (bullish bets) and puts (bearish bets) has narrowed – a sign of weakening of demand for calls.

The spread has narrowed alongside a sharp price pullback. Gold fell by over 7% on Tuesday to $1,900 as US yields rose. At press time, the zero-yielding safe haven is trading at $1,885, down 1.32% on the day. Prices hit a record high of $2,075 on Friday. 

Risk reversals