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Integrated Energy and Refiner Stocks with Highest Implied Volatility

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Integrated Energy and Refiner Stocks with Highest Implied Volatility PART 1 OF 3

Integrated Energy Companies and Refiners with High Implied Volatility

High implied volatility

As of August 11, 2016, Alon USA Energy (ALJ) has the highest implied volatility among integrated energy companies and refiners. Below are its volatility figures:

  • Its implied volatility is 62.5%.
  • Its 15-day average implied volatility is 71.3%.
  • Its current volatility is ~12.4% lower than its 15-day average.

Integrated Energy Companies and Refiners with High Implied Volatility

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Now, let’s look at the volatility of other integrated energy and refiner stocks as of August 11:

  • Petroleo Brasileiro Petrobras’s (PBR) implied volatility is 61.4%. This is 0.1% lower than its 15-day average.
  • CVR Refining’s (CVRR) implied volatility is 59.2%. This is 2.3% more than its 15-day average.
  • Delek US Holdings’ (DK) implied volatility is 57.5%. This is ~5.8% less than its 15-day average.
  • Calumet Specialty Products Partners’ (CLMT) implied volatility is 56.8%. This is ~15.6% lower than its 15-day average.

Low implied volatility

As of August 11, ExxonMobil (XOM) has the lowest implied volatility figure among the integrated energy companies and refiners. Below are its volatility figures:

  • Its implied volatility is 15.1%.
  • Its 15-day average implied volatility is 16%.
  • Its current implied volatility is 5.5% lower than its 15-day average.

Now, let’s look at some integrated energy companies and refiners with low implied volatility as of August 11:

  • Chevron’s (CVX) implied volatility is 16.7%, which is 6% lower than its 15-day average.
  • Eni’s (E) implied volatility is 20%, which is 29% lower than its 15-day average.
  • BP’s (BP) implied volatility is 21.3%, which is 6.9% less than its 15-day average.
  • Total’s (TOT) implied volatility is 21.6%, which is 8.5% less than its 15-day average.

In the next part of this series, we’ll look at the returns of integrated energy companies and refiners.

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