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Integrated Energy Companies and Refiners with High Volatility

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High implied volatility

As of July 7, 2016, Alon USA Energy (ALJ) had the highest implied volatility figures among integrated energy companies and refiners. Below are its volatility figures:

  • implied volatility: 81.2
  • 15-day average implied volatility: 92.6
  • current volatility: ~12.3% less than its 15-day average

Now, let’s look at the volatility of other integrated energy and refiner stocks as of July 7, 2016.

  • Calumet Specialty Products Partners’ (CLMT) implied volatility was 74.67, which is ~3.1% less than its 15-day average.
  • Delek US Holdings’ (DK) implied volatility was 66.3, which was 10.7% more than its 15-day average.
  • CVR Refining’s (CVRR) implied volatility was 63.2, which was ~17.7% more than its 15-day average.
  • Petrobras’s (PBR) implied volatility was 63.0, which was 3.3% less than its 15-day average.
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Low implied volatility

On July 7, 2016, ExxonMobil (XOM) had the lowest implied volatility figures among integrated energy companies and refiners. Below are its volatility figures:

  • implied volatility: 18.3
  • 15-day average implied volatility: 18.1
  • current implied volatility: 1.7% more than its 15-day average

Now, let’s look at some integrated energy companies and refiners with low implied volatility as of July 7, 2016:

  • Chevron’s (CVX) implied volatility was 20.7, which is 0.6% more than its 15-day average.
  • Royal Dutch Shell’s (RDS.A) implied volatility was 25.7, which was 3.7% less than its 15-day average.
  • Imperial Oil’s (IMO) implied volatility was 26.5, which was 14.8% less than its 15-day average.
  • Total SA’s (TOT) implied volatility was 25.5, 5.3% less 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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