Yesterday (February 29th) saw what can only be classified as an extreme downward move in gold prices: A -5.05% change in the spot price over the span of a single day. To see how this event stacked up, we ran GCY0 (the RiskAPI symbol for physical gold) through the system using a start date of December 31st, 2007. Here is what we found:

By every measure, this was a very rare event. To put it in perspective, out of the 1,077 return events that occurred between 12/31/20007 and 2/28/2012, only 8 exceeded -4% in size, or about 0.083% - less than 1%.

The results above were calculated using The RiskAPI Add-In, our unique software client which allows fund managers to access a whole spectrum of on-demand portfolio risk analysis calculations.

The dramatic sell-off in the commodities markets that was kick started by last Wednesday's (9/21) FOMC meeting resulted in an equally dramatic increase in realized volatility, most notably in the precious metals. The greatest casualty of this liquidation was Silver, which saw a fall from $40 to a low of $26 in overnight trading early Monday, a decline in excess of 30% in a mere 3 days of trading.

The effect of this move on spot silver's realized volatility has been quite dramatic, jumping from a 30-day low of 29% to as high as 72% in 48 hours. Below is a volatility-over-time chart for the white metal:

The results above were calculated using The RiskAPI Add-In, our unique software client which allows fund managers to access a whole spectrum of on-demand portfolio risk analysis calculations.