Gold Implied Volatility & Expected Range
The gold VIX in plain numbers: today's GVZ, its 1-year percentile, implied vs realised volatility, and the daily and weekly gold range it implies at the live price, tested against 4,629 real days.
GVZ is 2.3 points above realised volatility: options are pricing bigger moves than gold has actually made over the last 20 trading days. GVZ is in the low part of its 1-year range.
Expected gold range from GVZ (at spot $3,952.7)
| Horizon | ± move | ± % | Low end | High end |
|---|---|---|---|---|
| 1 day (1σ) | $56.6 | 1.43% | $3,896.1 | $4,009.3 |
| 1 day (2σ) | $113.2 | 2.86% | $3,839.5 | $4,065.9 |
| 1 week (1σ) | $124.6 | 3.15% | $3,828.1 | $4,077.3 |
| 1 month (1σ) | $259.4 | 6.56% | $3,693.3 | $4,212.1 |
One standard deviation (1σ) = price × GVZ ÷ 100 ÷ √252 for a day, ÷ √52 for a week, ÷ √12 for a month. In theory about 68% of moves stay inside 1σ and 95% inside 2σ. The table re-prices with the live spot price; GVZ itself updates once a day after the US close.
Did gold really stay inside the expected range?
| Test | Last 5 years | Since 2008 | Theory |
|---|---|---|---|
| Next day's close within the 1σ daily move | 74% (1,255 days) | 78% (4,629) | 68% |
| Next day's close within 2σ | 96% | 96% | 95% |
| Next week's close within the 1σ weekly move | 73% (260 weeks) | 75% (959) | 68% |
Each day: GVZ close × that day's COMEX gold close gives the 1σ move; compared with the actual close-to-close change the next trading day. Weeks: last close of one week to the last close of the next.
GVZ vs realised volatility, last 12 months
GVZ (implied) Realised 20-day volatility (COMEX gold)
How big are gold's days when GVZ is high or low? (since 2008)
| GVZ on the day before | GVZ level | Days | Average move | Median move | Days with a 2%+ move |
|---|---|---|---|---|---|
| Lowest quarter | up to 14.9 | 1,158 | 0.53% | 0.40% | 1.5% |
| Second quarter | 14.9–17.5 | 1,157 | 0.67% | 0.50% | 3.6% |
| Third quarter | 17.5–21.5 | 1,158 | 0.79% | 0.58% | 6.6% |
| Highest quarter | above 21.5 | 1,156 | 1.23% | 0.92% | 18.8% |
Move = absolute close-to-close change of COMEX gold futures the next trading day. History, not a forecast.
Sources: Cboe Global Markets, CBOE Gold ETF Volatility Index [GVZCLS], retrieved from FRED, Federal Reserve Bank of St. Louis (https://fred.stlouisfed.org/series/GVZCLS). Copyright Chicago Board Options Exchange, Inc. Reprinted with permission. Gold prices: COMEX gold futures (GC=F) daily closes via Yahoo Finance; spot price from a public real-time feed. Data updated .
What gold implied volatility tells you
Gold's implied volatility is the size of move the options market is pricing in. The standard gauge is the CBOE Gold ETF Volatility Index (GVZ), calculated by Cboe from options on the largest gold ETF. On 29 Oct 2026 it closed at 22.73, which means options priced gold to move about 22.7% over a year, one standard deviation. Divide by √252 and you get the daily move: about ±1.43%, or ±$57 at a gold price of $3,953.
That is a statistical band, not a target. In the last five years gold's next close stayed inside the 1σ daily band on 74% of days, against 68% in theory, and inside 2σ on 96% of days. Gold's returns have fatter tails than the bell curve: most days are quieter than implied, a few are much bigger.
Implied vs realised: rich or cheap?
Realised volatility is what gold actually did: here, the annualised standard deviation of the last 20 daily returns of COMEX gold futures, now 20.4%. When GVZ is well above realised volatility, options are "rich": the market expects (or is paying up to protect against) bigger moves than recent ones, often ahead of Fed decisions, CPI or geopolitical risk. When GVZ is below realised volatility, options look "cheap" relative to recent movement. Over the full history since 2008 GVZ's median is 17.5; the last year ranged from 19.6 (8 Dec 2025) to 46.0 (29 Jan 2026).
How traders use the expected range
- Stop placement: a stop well inside the 1σ daily move is likely to be hit by ordinary noise. Compare it with the ATR stop-loss calculator, which uses realised range.
- Position size: when GVZ is high, the same stop in dollars is relatively tighter, so many traders cut size. Work it out with the position size calculator.
- Targets: a one-day target several times the 1σ move needs an unusual day. The regime table above shows how often 2%+ days happened at each GVZ level.
- Event days: GVZ often rises into big releases. Check the event centre for what gold usually does around them.
Method and limits
- GVZ is based on options on a gold ETF traded in US hours and published once a day; it is not an intraday gauge and it is not the volatility of COMEX futures or spot XAUUSD directly, though they track closely.
- The expected move uses the square-root-of-time rule (252 trading days, 52 weeks, 12 months).
- Coverage tests pair each GVZ close with the COMEX gold close of the same date; days missing from either series are skipped.
- Realised volatility = standard deviation of 20 daily log returns × √252.
Frequently asked questions
What is GVZ?
The CBOE Gold ETF Volatility Index. It measures the market’s expectation of 30-day volatility of gold, calculated by Cboe from the prices of options on the largest gold ETF. It is often called the gold VIX.
How do I turn GVZ into an expected daily move?
Divide GVZ by the square root of 252 to get the one-standard-deviation daily move in percent, then multiply by the gold price. With GVZ at 20 and gold at $4,000, that is 20 ÷ 15.87 ≈ 1.26%, or about ±$50.
Is a high GVZ bullish or bearish for gold?
Neither. GVZ measures expected movement, not direction. It often rises in sharp sell-offs and in fast rallies alike.
How often does gold stay within the GVZ expected range?
In the last five years, the next day’s close stayed inside the one-standard-deviation band on 74% of days and inside two standard deviations on 96% of days, based on the data on this page.
Why does this page use COMEX gold prices?
Because they give a long daily history to test against. COMEX futures and spot XAUUSD move almost together; the expected-move table uses the live spot price.
Where does the GVZ data come from?
From FRED, the St. Louis Fed’s economic database (series GVZCLS), which republishes Cboe’s daily closes with permission. It is updated once a day after the US close.
Educational tool only. Not financial advice and not a signal. Check your own broker's contract specification, margin rules and costs. Past data does not predict future prices. See our risk disclaimer.