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Upstream Stocks with High and Low Implied Volatilities

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Jul. 26 2016, Updated 5:02 p.m. ET

High implied volatility

On July 25, 2016, Halcón Resources (HK) had the highest implied volatility among the upstream stocks. HK’s implied volatility was ~782.1%, which is ~699% more than its 15-day average of 97.9%.

Now let’s take a look at the implied volatilities of other upstream stocks on July 25:

  • Bonanza Creek Energy (BCEI) had an implied volatility of ~192.4%, which is ~30.9% more than its 15-day average
  • Stone Energy (SGY) had an implied volatility of ~176.1%, which is 33.9% lower than its 15-day average
  • Comstock Resources (CRK) had an implied volatility of ~174.4%, which is ~0.73% lower than its 15-day average
  • Rex Energy (REXX) had an implied volatility of 150.5%, which is ~7.6% lower than its 15-day average
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Low implied volatility

On July 25, EOG Resources (EOG) had the lowest implied volatility among the upstream stocks. Its implied volatility was ~30.31%, which is ~3.3% more than its 15-day average of ~29.33%.

Let’s look at some other upstream stocks with low implied volatilities on July 25:

  • EQT Corporation (EQT) had an implied volatility of ~31.3%, which is ~6.0% lower than its 15-day average
  • Pioneer Natural Resources (PXD) had an implied volatility of ~32.4%, which is 4.1% lower than its 15-day average
  • ConocoPhillips (COP) had an implied volatility of ~32.7%, which is 4.5% lower than its 15-day average
  • Diamondback Energy (FANG) had an implied volatility of ~33.2%, which is 1.1% 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.

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