X
<

Key Quantitative Insights for Utilities Investors

PART:
1 2 3
Part 2
Key Quantitative Insights for Utilities Investors PART 2 OF 3

How Are NRG’s Returns and Implied Volatility Related?

Utility stocks with high implied volatilities

NRG Energy (NRG) has risen 52.6% in the past year, the highest among high volatility utility stocks. It also has the highest implied volatility of all the utility companies that make up the Utilities Select Sector SPDR ETF (XLU).

How Are NRG’s Returns and Implied Volatility Related?

Interested in NRG? Don't miss the next report.

Receive e-mail alerts for new research on NRG

Success! You are now receiving e-mail alerts for new research. A temporary password for your new Market Realist account has been sent to your e-mail address.

Success! has been added to your Ticker Alerts.

Success! has been added to your Ticker Alerts. Subscriptions can be managed in your user profile.

In the past five days, NRG Energy has fallen 1%, while XLU has risen 0.2%. The S&P 500 Index (SPY) (SPX-INDEX) fell 0.3%. The utility sector accounts for ~3.2% of the S&P 500 Index.

The above chart shows the one-year and trailing-five-day returns of the stocks we identified in the previous part as having high and low implied volatilities. High implied volatility stocks saw sharper movements compared to low implied volatility stocks. High implied volatility stocks also tended to fall.

Among high implied volatility stocks, Pinnacle West Capital (PNW) has risen the most in the last five days, while FirstEnergy (FE) has fallen the most. On April 5, 2017, FirstEnergy’s Allegheny Energy Supply Company has agreed to sell “a portion of the real property and certain assets” at what was earlier Hatfield’s Ferry Power Station in New Jersey to APV Renaissance Partners for ~$40 million.

FE is also a top loser among high volatility utility stocks in the trailing year. In the last four quarters, FE’s revenue has risen 3.1%, while its adjusted operating profit has fallen 15.2%. Its operating profit margin is 17.5%.

NRG Energy rose the most in the past one year among high volatility utility stocks. On April 7, 2017, NRG Energy announced a quarterly distribution of $0.03 as dividend per share for its common stock. The record date for dividends is May 1, 2017.

In the last four quarters, NRG’s revenue has fallen 10.8% while its adjusted operating income has fallen 81.5%. NRG Energy’s operating profit margin is 9.8%.

Returns of utility stocks with low implied volatilities

Southern Company (SO) was the only loser in the last five days among low implied volatility utility stocks. It has also gained the least in the past year among these stocks. In the last four quarters, SO’s revenue has risen 41.2%, while its adjusted operating profit has risen 4.2%. Its operating profit margin is 25.4%.

In the next part of this series, we’ll look at utility stocks with the highest short-interest-to-equity float ratios. High short interest in a stock can cause its implied volatility to rise.

X

Please select a profession that best describes you: