GCZ9 1420/1640 fence (Risk Reversal)-1.72*SIZ9 16.1/20.6 fence(Risk Reversal) with 47.4 days to expiry
If you check the skew on Silver & Gold you will see that Silver is noticeable more skewed currently.
How has this skew relationship played out over time? If you plot the Dec Silver and Gold fences (Risk Reversals) together, you can see how these 2 skews interplay. Silver skew is confirmed steep vs Gold currently.
You look at the difference of these(Silver 10 delta Fence – Gold 10 Delta)
If you back test this strategy in PricingMonkey you will also see that this trade (Short Silver 10 Delta Fence vs Gold 10 Delta Fence) has performed well over time.
