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Snapshot: Upstream Stocks' Implied Volatility and Short Interest

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Snapshot: Upstream Stocks' Implied Volatility and Short Interest PART 1 OF 3

Top 5 Upstream Stocks with High and Low Implied Volatilities

High implied volatility

On August 5, 2016, Stone Energy (SGY) had the highest implied volatility among the upstream stocks. Its implied volatility was ~355.5%. This is ~23.5% more than its 15-day average of 287.8%.

Now, let’s take a look at the implied volatilities of other upstream stocks on August 5:

  • Bonanza Creek Energy (BCEI) had an implied volatility of ~155.4%. This is ~5% less than its 15-day average.
  • Rex Energy (REXX) had an implied volatility of ~152.1%. This is 1.9% more than its 15-day average.
  • Comstock Resources (CRK) had an implied volatility of ~114.9%. This is ~32.7% lower than its 15-day average.
  • Halcón Resources (HK) had an implied volatility of 114.1%. This is ~22.4% lower than its 15-day average.

Top 5 Upstream Stocks with High and Low Implied Volatilities

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Low implied volatility

On August 5, EOG Resources (EOG) had the lowest implied volatility among the upstream stocks. Its implied volatility was ~26.1%. This ~10.3% less than its 15-day average of ~29.1%.

Let’s look at some other upstream stocks with low implied volatilities on August 5:

  • EQT (EQT) had an implied volatility of ~27.8%. This is ~9.3% lower than its 15-day average.
  • Pioneer Natural Resources (PXD) had an implied volatility of ~28.5%. This is 10.7% lower than its 15-day average.
  • Diamondback Energy (FANG) had an implied volatility of ~29.3%. This is 10.5% lower than its 15-day average.
  • ConocoPhillips (COP) had an implied volatility of ~30.4%. This is 6.8% lower than its 15-day average.

In the next part of this series, we’ll look at the returns of some upstream stocks with high and low implied volatilities.

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