The Gold Volatility
Options on gold price in an implied volatility, and Cboe publishes it as the Gold Volatility Index (GVZ). High GVZ means the market is pricing bigger swings; low GVZ means calm. This pillar treats volatility as a risk and entry-quality gauge, not as a predictor of returns, because there is no published evidence that GVZ levels predict future gold returns.
- Weight
- 10%
- Effective weight
- 11.1%
- Source
- Cboe Gold Volatility Index (GVZ): internal-only per DATA-RIGHTS.md
- Frequency
- daily
- Latest date
- 2026-08-04
- Latest value
- n/a
- Staleness
- fresh (1d / limit 7d)
- Evidence grade
- weak: risk/entry-quality gauge with no predictive claim
Options on gold price in an implied volatility, and Cboe publishes it as the Gold Volatility Index (GVZ). High GVZ means the market is pricing bigger swings; low GVZ means calm. This pillar treats volatility as a risk and entry-quality gauge, not as a predictor of returns, because there is no published evidence that GVZ levels predict future gold returns.
What it measures
Cboe Gold Volatility Index (GVZ) daily level, transformed into a rolling percentile rank against its own history.
Why it moves gold
Extreme implied volatility has historically coincided with wide dealer spreads, wider premiums on physical, and generally poor conditions for a long-term buyer trying to enter cleanly. Baur (2012) documents an inverted volatility asymmetry consistent with a safe-haven signature. The pillar surfaces this as a risk gauge only, with an explicit "no validated predictive evidence" label.
Today's reading
Today the volatility pillar reads 12/100, in a historically unfavorable range for a long-term buyer.
Notes: Percentile rank is non-reversible without our full internal history (DATA-RIGHTS hard constraint). Raw GVZ values are not published.
How it is scored
The GVZ level is ranked against its own history, then inverted so that low volatility maps to a high sub-score. The transformation is non-reversible without the full internal history: this is a hard data-rights constraint (Cboe licensing) and is discussed on the provenance page.
Orientation. Low GVZ percentile raises the sub-score. High GVZ lowers it.
Evidence
- No published evidence that implied-volatility levels predict forward gold returns. The pillar is framed as a risk and entry-quality gauge, not a directional signal.
- Baur (2012): gold shows an inverted volatility asymmetry, consistent with a safe-haven signature (volatility rises with negative surprises in risky assets, not with negative surprises in gold itself).
- Todorova (2017): further characterization of the volatility-return dynamics for gold.
Caveat
Evidence grade: weak as a return predictor. The pillar is a risk and entry-quality gauge, not a return forecast. Raw GVZ values are not published on this site (Cboe is proprietary via FRED and requires citation). Cboe is credited in methodology text only, per Cboe licensing.
Seller-side note
High implied volatility raises option premia and widens physical bid-ask spreads for both sides of the trade. Execution costs rise for sellers as much as for buyers. Not a directional sell trigger.
Volatility computed from Cboe GVZ (used internally under proprietary rights; raw levels not republished). Cited in methodology text only. See the methodology page for the composite formula and the provenance page for the per-source status board.