Cboe Gold ETF Volatility Index

The Cboe Gold ETF Volatility Index^SM (GVZ) is an estimate of the expected 30-day volatility of returns on the SPDR Gold Shares ETF (GLD). Like the Cboe VIX Index^®, GVZ is calculated by interpolating between two time-weighted sums of option mid-quote values - in this case, options on GLD. The two sums essentially represent the expected variance of the price of gold up to two option expiration dates that bracket a 30-day period of time. GVZ is obtained by annualizing the interpolated value, taking its square root and expressing the result in percentage points.

Resources

• GVZ Methodology
• Historical Data