DB-FX Blog Sell one-year Gold vol against G10 vol-20251003

<p style="text-indent:28px"><span style="font-size: 14px;">As gold volatility trended higher this week on the back of higher spot, we ran a quick</span><span style="font-size: 14px;">&nbsp;</span><span style="font-size: 14px;">scan using our &quot;all in&quot; random forest model to identify currency pairs that appear to</span><span style="font-size: 14px;">&nbsp;</span><span style="font-size: 14px;">be most underpriced versus gold at current levels of macroeconomic and financial</span><span style="font-size: 14px;">&nbsp;</span><span style="font-size: 14px;">variables. In particular, we looked at volatility spreads rather than outright vol. We</span><span style="font-size: 14px;">&nbsp;</span><span style="font-size: 14px;">find gold vols most stretched against EUR/USD, NZD/USD and USD/JPY in the one-year space.</span></p><p style="text-indent:28px"><span style="font-size: 14px;">Our model, which integrates US economic growth, interest rates, stock market</span><span style="font-size: 14px;">&nbsp;</span><span style="font-size: 14px;">volatility and valuation, and credit spreads, clearly indicates that the current</span><span style="font-size: 14px;">&nbsp;</span><span style="font-size: 14px;">market-implied volatility spread for gold vs G10 pairs exceeds our corresponding</span><span style="font-size: 14px;">&nbsp;</span><span style="font-size: 14px;">one-year realized volatility spread forecast.</span></p><p><br/></p>