A Look at the Trends in Sanchez Energy’s Implied Volatility
Sanchez Energy’s implied volatility
Sanchez Energy’s (SN) current implied volatility is ~65%, ~4% higher than its 15-day average of ~67%. As we can see in the image below, SN’s implied volatility has mostly remained at similar levels compared to last year.
In comparison, Sanchez’s peers Oasis Petroleum (OAS) and Whiting Petroleum (WLL) saw their implied volatilities decline from ~61.5% to 57.2% and 69.6% to 62%, respectively, since the corresponding period in 2016. Meanwhile, Continental Resources’ (CLR) implied volatility increased from 39% 2016 to its current level of ~45%.
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The Energy Select Sector SPDR ETF (XLE) has a far lower current implied volatility of ~13%. Last year, it was 21%.
In the final part of this series, we’ll take a look at short interest trends in Sanchez Energy stock.