Analyzing the Volatility of Mining Stocks So Far



Precious metals funds

Many of the fluctuations in precious metals have been the result of speculation about the Federal Reserve’s interest rate stance. In this part of the series, we’ll look at the fundamentals of South African precious metals miners.

Precious metals–based funds such as the iShares MSCI Global Gold Miners ETF (RING) and the SPDR Gold Shares ETF (SGDM) have fallen over the past few months. On a trailing-30-day basis, these two funds have fallen 17.1% and 13.2%, respectively, although they’ve risen year-to-date.

Next, let’s look at the implied volatilities of large mining stocks and their RSI (relative strength index) levels in the wake of the carnage in precious metals prices. We’ll look at Franco-Nevada (FNV), Randgold Resources (GOLD), Yamana Gold (AUY), and Pan American Silver (PAAS).

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Implied volatility

Call-implied volatility takes into account the changes in an asset’s price due to variations in the price of its call option. During times of global and economic turbulence, volatility is higher than it is in a stagnant economy. The volatilities of Franco, Randgold, Yamana, and Pan American were 38.1%, 40.4%, 64.4%, and 52.7%, respectively, on December 5, 2016.

RSI levels

The RSI levels of Franco, Randgold, Yamana, and Pan American have fallen due to their falling share prices. They have RSI levels of 32.4, 40.3, 40.7, and 59.2, respectively.

The trailing-30-day returns of most mining companies are negative due to the diminishing safe-haven appeal of precious metals.


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