GLD Analysis

SPDR Gold Shares  (GLD)

Update 2/12/2018: The gold markets began a downtrend from Jan. 25, a day before the stock markets, and have followed a similar Elliott wave pattern, reversing slightly to the upside in trading today. what I consider to be an upward correction within a downtrend.

I exited my bear position for a $0.54 debit with shares at $125.30. The maximum potential profit was 14.3%.

Unlike stocks, gold appears o be in a long-running sideways pattern. The decline that began Jan. 25 appears to be the beginning of a downward leg, although at what level I cannot yet determine. The last highest high was in July 2016, at $125.64 on GLD.  The prior lowest low was $100.23 in December 2015. Any movement beyond those boundaries would mean that something very interesting is happening with GLD.

Shares fell by 0.6% during my six-day holding period, or a -38% annual rate. The options position produced a 16.7% return for a +1,014% annual rate.

The weekly Fisher Transform (FT) continues to show GLD in a downtrend, and I shall use that as my definition of what the major trend is, given the ambiguities on the chart. That discrepancy between the daily FT and the weekly was my justification for exiting my bear position. In practical terms, it means I shall use the weekly FT as my directional bias while trading the daily FT signals.


I have entered a bear call vertical spread on GLD, using options that trade for the last time 38 days hence, on March 16. The premium is a $0.63 credit and the stock at the time of entry was priced at $126.09.

I made the decision to enter the trade in my account based on its Fisher Transform reading..

Implied volatility stands at 14%, which is 40% of the VIX, a measure of the volatility of the S&P 500 index.

GLD’s IV stands above 64% of the symbol’s IVs of the past year, and in the 96th percentile of its most recent broad movement.

The price used for analysis was $126.02.

Premium: $0.63 Expire OTM  
GLD-bear call spread Strike Odds Delta
Long 129.00 70.6% 31
Break-even 126.37 63.7% 38
Short 127.00 56.9% 45

The premium is 64% of the width of the position’s wings.

The risk/reward ratio is 2.2:1.

The bid/ask spread was 4.7%.

By Tim Bovee, Portland, Oregon, Feb. 6, 2018


Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.

No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decisions for his or her own account, and take responsibility for the consequences.

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