SIZ Straddle vs GCZ Straddle (1.72 Weighting) with 49.2 days to expiry
If you’re also looking at the Silver Options this might be a trade that’s worth a look.
If you approach the trade using Straddles you can quickly see that the Vega Straddle Spread (CIX 172 SIZ^-GCZ^= 151.7) matches the price action of the Silver/Gold Vol Spread.
Is this a trade worth doing? If you back test the Vega Weighted Straddle Spread (CIX 172 SIZ^-GCZ^= 151.7) you can find out what this switch has delivered on average and see its High/Low. If you’re keen to fade this move in Silver Vol the historic average performance does support this view.
Trade booked for tracking
