Macro Volatility Digest

Despite gold’s reputation as an inflation hedge, its track record has been rather poor in recent years. In 2022, gold fell over 20% from the highs as inflation surprised to the upside. It’s down over 15% this month as stagflation risks have reemerged on the back of the Iran war, with the market now pricing in ~30% probability of a rate hike by year-end (vs. pricing in 2.5 cuts a month ago). Positioning in gold options has also shifted, with demand for puts increasing. After being persistently inverted over the past year (i.e. calls trading at a premium to puts), GLD skew has steepened to a 1-year high, with puts now trading at a premium to calls. Learn more in this week’s Macro Volatility Digest.