This week saw probably the largest one day move in a major currency in the last 20 years.
YTD realized volatility for USDCHF was at 12.99% as of Monday, September 5th. On Tuesday, September 6th, due to the SNB's announcement that it would purchase "unlimited quantities" of non CHF currencies to keep it at 1.20 (number of Swiss Franc per 1 Euro) or lower, the Franc experienced a devaluation of almost 9%. Quoted in Francs (USDCHF), the currency rate moved from 0.7865 to 0.8568.
To appreciate the magnitude of this one-day event, using YTD data, a single standard deviation represented a move of 0.81% in the USDCHF exchange rate. Tuesday's event resulted in a shift of 8.9%, equivalent to roughly TEN TIMES this amount.
Critics of G-7 central banking policies will, no doubt, jump on such data as proof that the stated mission of "price stability" is proving to be out of reach lately.
Current YTD realized volatility for USDCHF as of September 8th stands at 16.51%
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.
