The local quench of a Fermi gas, giving rise to the Fermi edge singularity and the Anderson orthogonality catastrophe, is a rare example of an analytically tractable out of equilibrium problem in condensed matter. It describes the universal physics which occurs when a localized scattering potential is suddenly introduced in a Fermi sea leading to a brutal disturbance of the quantum state. It has recently been proposed that the effect could be efficiently simulated in a controlled manner using the tunability of ultra-cold atoms. In this work, we analyze the quench problem in a gas of trapped ultra-cold fermions from a thermodynamic perspective using the full statistics of the so called work distribution. The statistics of work are shown to provide an accurate insight into the fundamental physics of the process.