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Utility Stocks: A Look at Implied Volatility and Short Interest

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Utility Stocks: A Look at Implied Volatility and Short Interest PART 1 OF 3

Utility Stocks with the Highest Implied Volatility

Utility stocks with high implied volatilities

On March 8, 2017, NRG Energy (NRG) had the highest implied volatility among the utility companies that make up the Utilities Select Sector SPDR ETF (XLU). NRG’s implied volatility was 39.1% on March 8, 2017, which was 6.6% below its 15-day average.

Utility Stocks with the Highest Implied Volatility

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Now let’s take a look at the implied volatilities of other utility stocks on March 8, 2017.

  • AES (AES): 27.9%, or 3.4% above its 15-day average
  • FirstEnergy (FE): 19.1%, or 1.7% below its 15-day average
  • Exelon (EXC): 18.8%, or 3.3% above its 15-day average
  • Scana (SCG): 18.8%, or 4.0% above its 15-day average

SCG’s implied volatility rose the most compared to its 15-day average among the five utility stocks with high implied volatilities. On February 21, 2017, SCG stock rose 2.0%, and its implied volatility rose 2.6%. On February 20, 2017, Barclays cut the stock’s target price by $1 to $70.

Utility stocks with low implied volatilities

On March 8, 2017, NextEra Energy (NEE) had the lowest implied volatility of all the utility companies that make up XLU. Its implied volatility was 13.7%, which was 1.8% above its 15-day average.

Let’s look at the other utility stocks with low implied volatilities as of March 8, 2017.

  • Southern Company (SO): 14.0%, or 0.90% below its 15-day average
  • Duke Energy (DUK): 14.3%, or 4.0% above its 15-day average
  • DTE Energy Holding (DTE): 14.6%, or 1.4% below its 15-day average
  • PPL (PPL): 14.7%, or 6.8% above its 15-day average

Large movements or expectations of large movements in stock prices can cause their implied volatilities to rise. In the next part, we’ll take a look at the returns for the above stocks.

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