Let us consider a $5 million position in silver. In addition, let us consider that the returns of gold are normally distributed (Gaussian) . The standard deviation of silver returns on a daily basis is 0.45%.
- How much can this position potentially lose in one day with 99 percent confidence interval?
- How much this position could lose in one month with 99 percent confidence interval if one holds this position. (There are 20 trading days in a month)