The CBOE Gold ETF Volatility Index is an estimate of expected 30-day volatility of gold prices. The index is based on the CBOE Volatility Index (VIX) methodology, applied to options on SPDR Gold Shares (GLD). According to CBOE, GVZ is obtained by annualizing the interpolated value, taking its square root and expressing the result in percentage points. Gold is a centuries-old store of value that’s affected by demand (for production or hedging) and the price of the US dollar.
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