Silver Gold Spread

i hvnt weighted vol, just dollar neutral it.

 

yes, rather recently. so no heat taken

 

If you calculate your hedge ratio based upon notional value, your hedge ratio is 1.2:1 based upon yesterday's settlements.

You must account for the considerable volatility differences, however. Look at the 20 Day Historical Vol for each instrument - Silver is 3.21 times more volatile than Gold. That is not a subtle variation.

 

it is obvious that silver is more volatile.
how do you weight to make the pairs both dollar neutral and vol-neutral?

 

I'm afraid that becomes proprietary to my client work - my apologies.