Silver Gold Spread

Discussion in 'Metal Futures' started by econometrics, Jul 25, 2011.

  1. bone

    bone ET Sponsor

    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.
     
  2. can you pls elaborate?
     
  3. bone

    bone ET Sponsor

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

    bone ET Sponsor

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

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  5. ok, i withdraw my question

    but a chart going back longer than 1 month would be a better illustration
     
  6. Silver is almost at par with gold, currently. Very useful info!!! Two thumbs up.
     
  7. what may explain the different performances ?

    i look at XAUXAG Index (in bloomberg) against GLD/SLV, the graph looks almost the same.
     
  8. drm7

    drm7

    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!
     
  9. bone

    bone ET Sponsor

    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.
     
    #10     Jul 26, 2011