AbstractThis article studies the relative volatility of commodity prices by examining a large dataset of monthly prices observed in international trade data taken from the United States between 2002–2011. The evidence presented here suggests that, on average, prices of individual primary commodities are less volatile than individual manufactured goods prices. Furthermore, robustness tests suggest that these results are not likely to be due to alternative product classification choices, differences in product exit rates, measurement errors in the trade data, or the aggregation level of the trade data at the 10‐digit level of the Harmonized System of products classification.