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Implied Volatility for Integrated Energy Companies and Refiners

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Jun. 17 2016, Published 12:55 p.m. ET

High implied volatility

As of June 16, 2016, Calumet Specialty Products Partners (CLMT) had the highest implied volatility figures among integrated energy companies and refiners. Below are its volatility figures:

  • implied volatility: 96.2
  • 15-day average implied volatility: 74.4
  • current volatility: ~29.3% more than its 15-day average

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Implied volatility for integrated energy companies and refiners

Now let’s look at the volatility of other integrated energy and refiner stocks as of June 16, 2016.

  • Petrobras (PBR): Its implied volatility was 71.9, which is ~9% more than its 15-day average.
  • Alon USA Energy (ALJ): Its implied volatility was 68.8, which is 19.1% less than its 15-day average.
  • Delek US Holdings (DK): Its implied volatility was 59.5, which is 7.1% more than its 15-day average.
  • Western Refining (WNR): Its implied volatility was 53.1, which is 8.3% more than its 15-day average.

Low implied volatility

On June 16, 2016, Exxon Mobil (XOM) had the lowest implied volatility figures among integrated energy companies and refiners. Below are the volatility figures:

  • implied volatility: 19.4
  • 15-day average implied volatility: 17.2
  • current implied volatility: 12.7% more than its 15-day average

Let’s look now at some integrated energy companies and refiners with low implied volatility as of June 16, 2016:

  • Northern Tier Energy (NTI): Its implied volatility was 22.2, which is 18.1% less than its 15-day average.
  • Chevron (CVX): Its implied volatility was 22.8, which is 14.5% more than its 15-day average.
  • Phillips 66 (PSX): Its implied volatility was 24.8, which is 10.4% more than its 15-day average.
  • Total SA (TOT): Its implied volatility was 28.7, which is 18.5% more than its 15-day average.

In the next part, we’ll look at the returns for integrated energy companies and refiners.

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