• Gold had its largest weekly move to the upside since April 2016 (LBMA 3.4%, XAU 4.3%) continuing its move higher for a fifth straight week–this was likely driven by the US dollar falling sharply (-1.4%) and the price of gold breaking out of the key technical resistance level of $1,365 (discussed in depth on Friday). Gold is having its best month in two years, having rallied nearly 8% in June, while it is up 10% over the past month.

Gold price:

Source: Bloomberg

• Strong inflows continued into gold-backed ETFs with $1.9bn coming in globally last week. This was driven primarily by North America which had $1.8bn of inflows. On the month, there have been nearly $5bn of inflows globally, with assets growing well over 4%. Global inflows are $4.4bn on the year, led by European funds, that have added $3.4bn or 77% of global net inflows.
• GLD had its most one-day inflows in percentage of AUM and ounces since April 2008, and its most one-day inflows in US dollar terms ever.
• Implied volatility exploded to the 100th percentile (~14), over the past year, across tenors, with levels not seen since early 2017. Realized volatility (60-day) is still in the single digits, somewhat low historically. Put/Call skew remains in the zero percentile, as investors are paying a premium for upside calls.

Gold 3m implied/realized volatility 

Source: Bloomberg

• COMEX net longs continued to increase meaningfully to 737t from 641t, a level not seen in over a year; it is worth noting that these numbers were as of Tuesday, and did not incorporate the 4% price move from Wednesday through Friday, which likely saw additional long positioning. 

Source: CFTC

• Gold trading volumes have increased significantly in June ($148bn vs ytd average of $115bn), particularly in the LMBA OTC market, which has seen averages increase 50% this month.