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16 August 2011

S&P 500 Index: 7/28/2011-8/4/2011

The events in the equity markets in the last 10 days have been nothing less than extraordinary, to say the least.Here are some stats on the S&P 500 Index prior to July 28th:

  • YTD Return: 6.43%
  • YTD Realized volatility: 13.05%
  • YTD Correlation to gold: 0.05

Here are the same stats with data since 7/28 included.

  • YTD Return: -6.49%
  • YTD Realized volatility: 19.67%
  • YTD Correlation to gold: -0.18

Very significant market impacts have taken place here.

All of the above were calculated using The RiskAPI Add-In.

08 August 2011

Crude Oil: August 4th

Spot crude oil saw a very large move on August 4th. The previous close on the 3rd was $91.93. The market settled at $86.63. This represents a 5.76% move.Was this out of the ordinary?

Using 6 months of daily data, we calculated a one standard deviation move for spot crude oil as being $1.90 as of August 3rd. This translates into a 2.06% move. So, one can definitely conclude this recent event was out of the ordinary - a two standard deviation move would have been $3.80, while a three standard deviation move would have been $5.70. This means August 4th's drop was larger than 3 standard deviations! Make no mistake, this was a rare event.

Current 6-month realized volatility for spot crude oil as calculated by the RiskAPI system stands at: 36.30%. Current 95% confidence Value at Risk (VaR) using the same amount of data stands at $3.65. 99% VaR is at $5.16.

All of the above were calculated using The RiskAPI Add-In.

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