Why Hess Corp’s Implied Volatility Fell after Earnings



Hess’s implied volatility

Hess’s (HES) implied volatility as of July 28, 2016, was ~35.8%, ~6.3% lower than its 15-day average of 38.2%. As we note in the image below, HES’s implied volatility has fallen since the start of this year.

We also note that the periods where HES saw high volatility coincide with high volatility in energy prices (USO)(UNG). With improved commodity prices since the beginning of this year, HES’s volatility has also fallen drastically.

Hess’s peers Apache (APA) and Continental Resources (CLR) have implied volatility of 37.2% and 50.4%, respectively.

HES and APA make up ~0.2% of the iShares Core S&P 500 ETF (IVV).

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