Palladium is "the most industrial-oriented of the precious metals," according to ETF Securities, with industry accounting for about 80 percent of global demand. The metal's primary use is in the manufacturing of catalytic converters, which help control vehicle emissions, and it has benefited from several supportive demand trends in this area.
Thanks to booming automobile manufacturing in the United States and China, the metal has never been in greater demand, McGlone said. Growing awareness of pollution issues in China has also driven the demand for stricter emissions standards in vehicles, which have in turn boosted demand for palladium.
Gasoline engines have long relied on palladium catalytic converters, and more recently, technologies for diesel engines have allowed for increasing use of the metal as a substitute for more expensive platinum, McGlone said.
Read MoreSurprise commodity winner could be 'the new gold'
All those trends are only supportive factors, however, and have led to a steady 3.5 to 4 percent rise in demand that is already largely built into palladium's price, Savant said. That means that Russian sanction fears are the primary explanation for the recent rise, he explained.
Retail investors can play palladium's moves directly by buying ETFs (the only U.S. dollar-denominated one is ETF Securities' Physical Palladium Shares). An indirect way to play the metal would be in the two palladium-focused miners—North American Palladium and Stillwater Mining Company, according to Savant.
Russia's Norilsk Nickel is the largest producer of palladium, which it collects as a byproduct of nickel production. It accounts for about 41 percent of the world's yearly output, according to the company.