The CBOE Gold ETF Volatility Index ("Gold VIX", Ticker - GVZ) measures the market's expectation of 30-day volatility of gold prices by applying the VIX methodology to options on SPDR Gold Shares (Ticker - GLD). Like other VIX benchmarks, GVZ uses options spanning a wide range of strike prices.
CBOE Holdings, Inc. launched products based on the CBOE Gold ETF Volatility Index (GVZ) --
GVZ futures on March 25, 2011,
GVZ options on April 12, 2011.
Gold VIX is just one in a series of new volatility indexes based on new asset classes, marking the next generation of VIX benchmarks. CBOE currently calculates the CBOE Crude Oil Volatility Index (OVX) based on United States Oil Fund option prices; and also the CBOE EuroCurrency Volatility Index (EVZ) based on CurrencyShares Euro Trust (FXE) options.
GLD is an exchange-traded fund (ETF) that represents fractional, undivided interest in the SPDR Gold Trust, which primarily holds gold bullion. As such, the performance of GLD is intended to reflect the spot price of gold, less fund expenses. Following is a chart comparing GLD prices with the daily London gold price fixing ("Spot Gold").