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At a Glance: Analyzing Integrated Energy Companies and Refiners

PART:
1 2 3
At a Glance: Analyzing Integrated Energy Companies and Refiners PART 1 OF 3

Integrated Energy Companies and Refiners with High Implied Volatility

High implied volatility

As of September 2, 2016, Calumet Specialty Products Partners (CLMT) has the highest implied volatility among integrated energy companies and refiners. Below are its volatility figures:

  • Its implied volatility is 56.4%.
  • Its 15-day average implied volatility is 56.7%.
  • Its current volatility is ~0.6% less 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 September 2:

  • Delek US Holdings’ (DK) implied volatility is 55.1%. This is ~5.2% less than its 15-day average.
  • Petroleo Brasileiro Petrobras’s (PBR) implied volatility is 53.4%—0.3% lower than its 15-day average.
  • CVR Refining’s (CVRR) implied volatility is 48.7%. This is ~14.3% lower than its 15-day average.
  • Alon USA Energy’s (ALJ) implied volatility is 48.6%—26.2% less than its 15-day average.

Low implied volatility

As of September 2, ExxonMobil (XOM) has the lowest implied volatility figure among integrated energy companies and refiners. Below are its volatility figures:

  • Its implied volatility is 15.8%.
  • Its 15-day average implied volatility is 14.9%.
  • Its current implied volatility is 6.1% more than its 15-day average.

Now, let’s look at some integrated energy companies and refiners with low implied volatility as of September 2:

  • Imperial Oil’s (IMO) implied volatility is 18.2%—23.9% less than its 15-day average.
  • Chevron’s (CVX) implied volatility is 18.4%—10.4% more than its 15-day average.
  • BP’s (BP) implied volatility is 21.9%—6.5% more than its 15-day average.
  • Total S.A. (TOT) has an implied volatility of 22.0%—4.2% more than its 15-day average.

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

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