uploads///IV of upstream stocks

Upstream Stocks with High and Low Implied Volatilities

By

Updated

High implied volatility

On July 18, 2016, Stone Energy Corporation (SGY) had the highest implied volatility among the upstream stocks. SGY’s implied volatility is ~287.4%, which is ~34.3% more than its 15-day average of 213.9%.

Now let’s take a look at the implied volatilities of other upstream stocks on July 18.

  • Rex Energy Corporation (REXX) has an implied volatility of 172.9%, which is ~6.4% more than its 15-day average.
  • Bonanza Creek Energy (BCEI) has an implied volatility of ~160.7%, which is ~15.0% more than its 15-day average.
  • Comstock Resources (CRK) has an implied volatility of ~105.5%, which is ~50.5% lower than its 15-day average.
  • Halcón Resources (HK) has an implied volatility of ~99.0%, which is 1.4% lower than its 15-day average.
Article continues below advertisement

Low implied volatility

On July 18, EOG Resources (EOG) had the lowest implied volatility among the upstream stocks. Its implied volatility is ~27.9%, which is ~9.8% lower than its 15-day average of ~31.0%.

Let’s look at some other upstream stocks with low implied volatilities on July 18:

  • ConocoPhillips (COP) has an implied volatility of ~31.9%, which is 9.9% lower than its 15-day average.
  • Noble Energy (NBL) has an implied volatility of ~32.7%, which is 11.9% lower than its 15-day average.
  • EQT Corporation (EQT) has an implied volatility of ~32.8%, which is ~1.8% lower than its 15-day average.
  • Pioneer Natural Resources (PXD) has an implied volatility of ~33.0%, which is 4.8% lower than its 15-day average.

In the next part of this series, we’ll look at the returns of some upstream stocks with high and low implied volatilities.

Advertisement

More From Market Realist