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Valero Beats 3Q17 Earnings Estimates, But Stock Falls

PART:
1 2 3 4 5
Part 5
Valero Beats 3Q17 Earnings Estimates, But Stock Falls PART 5 OF 5

Where Valero Stock Could Go after Its 3Q17 Results

VLO’s implied volatility

In this final part of our series on Valero Energy (VLO), we’ll assess the changes in VLO’s implied volatility and estimate the stock’s price range for the eight-day period ending November 3, 2017.

Where Valero Stock Could Go after Its 3Q17 Results

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Valero reported its 3Q17 earnings on October 26, 2017. That day, its implied volatility fell 0.8% over the previous day to 19.3%. This is lower than VLO’s 30-day average implied volatility of 19.9%. The same day, the stock price fell 1.8%.

Expected price range for the 8-day period ending November 3

Given Valero’s implied volatility of 19.3% and assuming a normal distribution of prices (bell-curve model) and a standard deviation of one (with a probability of 68.2%), VLO could close between $78.5 and $74.1 per share during the eight-day period following its 3Q17 results (ended November 3).

Peer implied volatilities

Delek US Holdings’ (DK) implied volatility fell 0.1% over the previous day’s close to 37.1% on October 26. Phillips 66’s (PSX) and HollyFrontier’s (HFC) implied volatilities rose 0.3% and 1.1%, respectively, to 17.3% and 32.8%, respectively, on October 26. PSX’s and HFC’s stock prices fell 0.6% apiece on October 26, while DK’s stock price fell 0.8% the same day.

The SPDR Dow Jones Industrial Average ETF (DIA) saw a rise in its implied volatility of 0.3% over the previous day’s close to 9.9% on October 26. The SPDR S&P 500 ETF (SPY) witnessed a rise in its implied volatility by 1.1% to 10.3% on the same day. DIA rose 0.3%, and SPY rose 0.1% the same day.

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