Behind Valero’s Implied Volatility ahead of the 1Q17 Results
The implied volatility of Valero Energy (VLO) stock now stands at 24%. This level is equal to VLO’s 30-day average implied volatility.
April 18 2017, Updated 10:37 a.m. ET
Implied volatility in Valero
The implied volatility of Valero Energy (VLO) stock now stands at 24%. This level is equal to VLO’s 30-day average implied volatility. So far in April, Valero’s implied volatility has remained rangebound between 24% and 26%, but during the same period, VLO’s stock price has fallen 2%.
Peer implied volatility
By comparison, peer Tesoro (TSO) has higher implied volatility standing of 31%, while Phillips 66 (PSX) has a lower implied volatility of 20%.
If you’re looking for exposure to refining sector stocks, you might consider the iShares North American Natural Resources ETF (IGE). IGE has ~7% exposure to downstream sector stocks.
In the next part of this series, we’ll compare the short interest in Valero Energy (VLO) with the short interest in its major peers.
