Feb Gold Straddle vs Feb US 10-Year(TY) Straddle (Buy GCF^ Sell TYF^)
This is the same idea we had back in October which worked well that time, selling US 10-Year Vol (TY) vs Gold Vol, which as you can see here is diverging again.
A 3-Year scatter of Gold & US 10-Year Implied Vol is also showing how Gold Implied Vol is currently out of sync with US 10-Year (TY) IV.
Backtesting the structure using a CIX weighting shows it’s trading approx $10 below it’s historic (5-year) payout on this switch.
Trade booked for tracking, we used a Scatter gradient with a Contract size adjustment to get our weightings.
