Eni’s implied volatility
Currently, Eni’s (E) 15-day average implied volatility stands at 31.9. This is higher than the current daily volatility of 28.2. Since May 30, 2016, Eni’s 15-day average implied volatility has fallen by 16%. During the same period, Eni’s stock price rose by 6%. When market sentiments towards a stock are bullish, its implied volatility falls and vice versa.
Peers’ implied volatility
Eni’s peer ExxonMobil (XOM) has the lowest daily implied volatility at 14.1. On the other hand, Petrobras (PBR) has the highest daily implied volatility at 56.4. Statoil (STO), Cenovus Energy (CVE), and YPF (YPF) have higher implied volatilities than Eni. The iShares Core S&P 500 ETF (IVV) has ~7% exposure to energy sector stocks.