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Which Utility Stocks Have the Highest Implied Volatility?

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Jun. 23 2016, Published 8:43 a.m. ET

Utility stocks with high implied volatility

As of June 22, 2016, NRG Energy (NRG) has the highest implied volatility figure of all utility companies.

  • The company’s implied volatility is 48.5.
  • Its 15-day average implied volatility s 48.1.
  • Its current volatility is ~12.7% below its 15-day average.

Now, let’s take a look at the volatility of other utility stocks, as of June 22.

  • AES’s (AES) implied volatility is 26.1, which is ~2.4% higher than its 15-day average.
  • FirstEnergy’s (FE) implied volatility is 23.8, which is 3% lower than its 15-day average.
  • Exelon Corporation’s (EXC) implied volatility is 20.8, which is 2.4% lower than its 15-day average.
  • Public Service Enterprise Group’s (PEG) implied volatility is 20.7, which is 1.8% lower than its 15-day average.
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Utility stocks with low implied volatility

As of June 22, AGL Resources (GAS) has the lowest implied volatility figure of all utility companies.

  • AGL Resources’ implied volatility is 9.3.
  • Its 15-day average implied volatility is 9.0.
  • Its current implied volatility is 18% more than its 15-day average.

Let’s look at some other utility stocks with low implied volatility as of June 22:

  • Southern Company’s (SO) implied volatility is 15.1, which is 8.4% lower than its 15-day average.
  • Xcel Energy’s (XEL) implied volatility is 16.1, which is 22.4% lower than its 15-day average.
  • Duke Energy’s (DUK) implied volatility is 16.5, which is 5.4% lower than its 15-day average.
  • DTE Energy’s (DTE) implied volatility is 16.9, which is 9.8% lower than its 15-day average.
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