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Returns of Upstream Stocks with High and Low Implied Volatilities

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Upstream stocks with high implied volatility

As we learned in the previous article in this series, Halcón Resources (HK) had the highest implied volatility among all upstream stocks on July 25, 2016. HK’s stock has fallen by ~72.2% on a YTD (year-to-date) basis. In the last five trading days, it has fallen by ~16.6%.

Below are the YTD returns of the upstream stocks we examined in the previous article in this series. They have the highest implied volatility:

  • Bonanza Creek Energy (BCEI): -81.7%
  • Stone Energy (SGY): -72.1%
  • Comstock Resources (CRK): -62.2%
  • Rex Energy (REXX): -43.4%

Here are the five-day returns for these stocks:

  • Bonanza Creek Energy (BCEI): -11.4%
  • Stone Energy (SGY): -39.3%
  • Comstock Resources (CRK): -21.5%
  • Rex Energy (REXX): -11.3%
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Upstream stocks with low implied volatility

As we saw in the previous part of this series, EOG Resources (EOG) had the lowest implied volatility among all upstream stocks on July 25. Below are the YTD returns for the upstream stocks we’ve identified as having low implied volatility.

  • EOG Resources (EOG): 11.2%
  • EQT Corporation (EQT): 41.7%
  • Pioneer Natural Resources (PXD): 18.7%
  • ConocoPhillips (COP): -13.8%
  • Diamondback Energy (FANG): 27.6%

Now let’s look at the five-day returns for these stocks:

  • EOG Resources (EOG): -5.4%
  • EQT Corporation (EQT): -2.1%
  • Pioneer Natural Resources (PXD): -5.1%
  • ConocoPhillips (COP): -5.2%
  • Diamondback Energy (FANG): -5.8%

In the final part of this series, we’ll look at the upstream stocks with the highest short interest-to-equity float ratios.

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