Silver Gold Spread

http://www.elitetrader.com/vb/showthread.php?threadid=219965

I am short silver (SLV) long gold GLD

 

Too bad you didn't do the Comex futures as a synthetic spread - you would be in much better shape than the GLD vs. SLV ETF Pair on a currency-adjusted basis. Much better.

 

can you pls elaborate?

 

Being long Gold futures versus Silver futures on a weighted basis has performed significantly better than the equity ETF shares pairs trade.

 

You posted in the futures section, and there are significant performance differences between ETFs and Futures.

 

ok, i withdraw my question

but a chart going back longer than 1 month would be a better illustration

 

Silver is almost at par with gold, currently. Very useful info!!! Two thumbs up.

 

what may explain the different performances ?

i look at XAUXAG Index (in bloomberg) against GLD/SLV, the graph looks almost the same.

 

I show similar results to GLD/SLV on a contract equivalent basis (silver is a 5000oz contract, while gold is 100oz, so multiply the silver by 50 to put it in "gold terms".)

I hope you are long gold/short silver VERY recently, or you have been taking some heat!

 

You have to blend volatility and currency weighting in order to arrive at a suitable hedge ratio for a futures spread. The precise volatility weighting is 2.3 : 1

Your weighting is incorrect.