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Analyzing Upstream Stocks' Implied Volatility and Short Interest

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Analyzing 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 12, 2016, Stone Energy (SGY) had the highest implied volatility among the upstream stocks. Its implied volatility was ~338.1%. This is ~14.7% more than its 15-day average of 294.8%.

Top 5 Upstream Stocks with High and Low Implied Volatilities

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Now, let’s take a look at the implied volatilities of other upstream stocks on August 12:

  • Rex Energy (REXX) had an implied volatility of ~160.5%. This is 6.6% more than its 15-day average.
  • Bonanza Creek Energy (BCEI) had an implied volatility of ~157.2%. This is ~0.8% less than its 15-day average.
  • Comstock Resources (CRK) had an implied volatility of ~125.4%. This is ~28.1% lower than its 15-day average.
  • Halcón Resources (HK) had an implied volatility of 110.8%. This is ~26.5% lower than its 15-day average.

Low implied volatility

On August 12, Occidental Petroleum (OXY) had the lowest implied volatility among the upstream stocks. Its implied volatility was ~15.9%. This is ~16.6% less than its 15-day average of ~19%.

Let’s look at some other upstream stocks with low implied volatilities on August 12:

  • EOG Resources (EOG) had an implied volatility of ~24.2%. This is 14.9% lower than its 15-day average.
  • Pioneer Natural Resources (PXD) had an implied volatility of ~26%. This is 13.6% lower than its 15-day average.
  • EQT (EQT) had an implied volatility of ~27.4%. This is ~6% lower than its 15-day average.
  • ConocoPhillips (COP) had an implied volatility of ~28.5%. This is 9.4% 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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