What Exelon’s Recent Implied Volatility Tells Us
Competitive utility stocks are generally more volatile than their regulated counterparts. On September 21, 2017, Exelon (EXC) stock had an implied volatility of 14.5%, which was close to its 15-day average implied volatility.
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The Utilities Select Sector SPDR ETF (XLU) currently has an implied volatility around 10%, which is similar levels of broader markets.
Remember, implied volatility denotes investor distress, and so Exelon’s and FirstEnergy’s relatively higher implied volatility could imply more risk. As the chart above shows, any fall in implied volatility is generally associated with a rise in a stock price, and vice versa.
Notably, the implied volatility of the largest merchant power producer in the country, NRG Energy (NRG) stock, on September 21, 2017, was 40%—the highest in the S&P 500 Utilities Index.
In the next part, we’ll take a look at Exelon’s short interest.