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.

One of the great features of the RiskAPI Add-In is the ability to quickly generate implied volatilities from standard option symbols. How quickly? As they say, a picture is worth a thousand words:

Here we took today's (February 16th) top 10 most active U.S. equity options by volume and generated implied volatilities based on their last closing market price. This particular method uses pre-set keywords via the Add-In's "Market Macro" mechanism. The symbols being used follow the OCC's standard option symbology coupled with a ".X" suffix, which identifies listed U.S. Equity options in the RiskAPI system.

The RiskAPI service is numerically solving for implied volatility for each option based on a configurable model for each option (black-scholes, tree-based, or closed-form approximation). Included is also a delta calculation for each option as well. Note that all calculations occur on the service-side, with Excel merely being used as the launch pad for requests.

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.