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Which Upstream Stocks Have the Highest Implied Volatility?


Jun. 7 2016, Updated 9:08 a.m. ET

Upstream stocks with high implied volatility

Stone Energy (SGY) had the highest IV (implied volatility) figures among all upstream companies as of June 3, 2016. Its implied volatility was 216.8.

SGY’s 15-day average implied volatility was 195.0, and its current volatility is about 11.2% more than its 15-day average.

On June 3, Exco Resources (XCO), Bonanza Creek Energy (BCEI), Comstock Resources (CRK), and Approach Resources (AREX) had implied volatilities of 157.0, 142.2, 135.8, and 123.2, respectively. The current implied volatilities of XCO, BCEI, CRK, and AREX were 9.2%, 4.5%, 7.8%, and 4.1% less than their respective 15-day averages, respectively.

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Upstream stocks with low implied volatility

Occidental Petroleum (OXY) had the lowest IV figures among all upstream companies. Its implied volatility was 21.5 on June 3, 2016. Its 15-day average implied volatility was 22.9. On May 27, its implied volatility was 5.9% less than its 15-day average.

EOG Resources (EOG), EQT (EQT), Pioneer Natural Resources (PXD), and ConocoPhillips (COP) had implied volatilities of 28.7, 29.7, 30.9, and 31.4, respectively, on June 3, 2016. Implied volatilities for these stocks were 6.8%, 7.7%, 8.6%, and 9.0% less than their 15-day averages, respectively.

In the final part of our series, we’ll look at the returns of upstream stocks with high and low implied volatilities.


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