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Shorts, Options Traders: Take Notice of These Energy Companies

PART:
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Part 2
Shorts, Options Traders: Take Notice of These Energy Companies PART 2 OF 4

Shorts, Options Traders: Take Notice of These Energy Companies

High implied volatility

As of September 13, 2016, Alon USA Energy (ALJ) has the highest implied volatility among integrated energy companies and refiners. Below are its volatility figures:

  • implied volatility: 80.7%
  • 15-day average implied volatility: 62.8%
  • current volatility: ~28.4% higher than its 15-day average

Shorts, Options Traders: Take Notice of These Energy Companies

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Now let’s look at the volatility of other integrated energy and refining stocks as of September 13:

  • Calumet Specialty Products Partners’ (CLMT) implied volatility: 62.3%, or 14.1% higher than its 15-day average
  • Petrobras’ (PBR) implied volatility: 60.8%, or ~15.8% more than its 15-day average
  • Delek US Holdings’ (DK) implied volatility: 58.9%, or ~0.9% lower than its 15-day average
  • CVR Refining’s (CVRR) implied volatility: 56.9%, or ~7.3% higher than its 15-day average

Low implied volatility

As of September 13, ExxonMobil (XOM) has the lowest implied volatility figure among integrated energy companies and refiners. Below are its volatility figures:

  • implied volatility: 18.3%.
  • 15-day average implied volatility: 15.4%
  • current implied volatility: 19.1% higher than its 15-day average

Now let’s look at some other integrated energy companies and refiners with low implied volatilities as of September 13:

  • Chevron’s (CVX) implied volatility: 20.5%, or 18.2% higher than its 15-day average
  • Phillips 66’s (PSX) implied volatility: 22.7%, or 2.8% higher than its 15-day average
  • Total’s (TOT) implied volatility: 23.4%, or 10.7% more than its 15-day average
  • Royal Dutch Shell’s (RDS-A) implied volatility: 24.6%, or 14.2% higher than its 15-day average

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

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