Investors looking at haven assets to protect against a risk-off shock should find the Japanese currency the yen a cheaper option than gold, Goldman Sachs has said.

According to the bank’s strategists, an increase in gold-price volatility has made bullish options on the traditional safe haven more expensive than yen equivalents.

“Implied volatility and options-call skew are expensive now for gold and buying calls on the yen appears attractive,” the strategists wrote, in a note seen by Bloomberg. “With gold positioning becoming more stretched, the yen might be a more attractive hedge tactically.”

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The analysts also said that both gold and the yen might benefit if a shock US intervention weakens the dollar.

Holdings in bullion-backed exchange-traded funds have reached their highest level since 2013 due to global-growth and geopolitical concerns, as well as plans by central banks to continue with monetary stimulus. Spot gold, which is up 11 percent this year, was trading near a one-week low on Tuesday at $1,423.25 per ounce. The yen has only risen 1.6 percent against the US dollar since the beginning of 2019.

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