Cboe Gold ETF Volatility Index
The Gold ETF Volatility IndexSM (GVZ) is a VIX®-style estimate of the expected 30-day volatility of returns on the SPDR Gold Shares ETF (GLD) . Like VIX,GVIX is calculated by interpolating between two weighted sums of option midquote values, in this case options on GLD. The two sums essentially represent the expected variance of the price of gold up to two option expiration dates that bracket a 30-day period of time. GVZ is obtained by annualizing the interpolated value, taking its square root and expressing the result in percentage points.