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Integrated Energy Companies and Refiners with High Volatility

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High implied volatility

As of July 28, 2016, Calumet Specialty Products Partners (CLMT) has the highest implied volatility among integrated energy companies and refiners. Below are its volatility figures:

  • Its implied volatility is 72.23%.
  • Its 15-day average implied volatility is 72.13%.
  • Its current volatility is ~0.14% higher than its 15-day average.

Now, let’s look at the volatility of other integrated energy and refiner stocks, as of July 28:

  • Alon USA Energy’s (ALJ) implied volatility is 72.2%, which is ~7.9% lower than its 15-day average.
  • Delek US Holdings’ (DK) implied volatility is 63.4%, which is ~5.9% higher than its 15-day average.
  • Alon USA Partners’ (ALDW) implied volatility is 61.1%, which is 1.8% lower than its 15-day average.
  • Petroleo Brasileiro Petrobras’ (PBR) implied volatility is 60.0%, which is 0.9% lower than its 15-day average.
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Low implied volatility

As of July 28, ExxonMobil (XOM) has the lowest implied volatility figure among the integrated energy companies and refiners. Below are its volatility figures:

  • Its implied volatility is 15.55%.
  • Its 15-day average implied volatility is 15.63%.
  • Its current implied volatility is 0.48% lower than its 15-day average.

Now, let’s look at some integrated energy companies and refiners with low implied volatility, as of July 28:

  • Chevron’s (CVX) implied volatility is 18.5%, which is 7.5% higher than its 15-day average.
  • Royal Dutch Shell’s (RDS.A) implied volatility is 20.5%, which is 10.4% lower than its 15-day average.
  • BP’s (BP) implied volatility is 22.9%, which is 3.8% lower than its 15-day average.
  • Total’s (TOT) implied volatility is 23.1%, which is 3.7% lower than its 15-day average.

In the next part of this series, we’ll look at the returns of integrated energy companies and refiners.

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