NRG Energy: A Quick Look at Its Implied Volatility
NRG Energy’s implied volatility
On April 12, 2017, NRG Energy’s (NRG) implied volatility was 36% above its 15-day average. As the following graph shows, a fall in NRG Energy’s implied volatility has generally been associated with gains in its stock price, while a rise in implied volatility has generally been associated with stock price declines.
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In comparison, Southern Company’s (SO) implied volatility was 12.3% on April 12—marginally below its 15-day average. Duke Energy’s (DUK) implied volatility was 13.7% on the same date—marginally higher than its 15-day average.