uploads///IV

Which Utility Stocks Have the Highest Implied Volatility?

By

Updated

Utility stocks with high implied volatility

As of July 20, 2016, NRG Energy (NRG) has the highest implied volatility figure of all the utility companies.

  • The company’s implied volatility is 47.2%.
  • Its 15-day average implied volatility is 46.8%
  • Its current volatility is ~1% above its 15-day average.

Now, let’s take a look at the volatility of other utility stocks as of July 20:

  • AES’s (AES) implied volatility is 26.6%. This is ~3.6% less than its 15-day average.
  • NiSource’s (NI) implied volatility is 20.5%—2.7% more than its 15-day average.
  • FirstEnergy’s (FE) implied volatility is 20.0%—7.5% lower than its 15-day average.
  • Eversource Energy’s (ES) implied volatility is 19.40%—3.8% more than its 15-day average.
Article continues below advertisement

Utility stocks with low implied volatility

As of July 20, Southern Company (SO) has the lowest implied volatility figure of all the utility companies:

  • Southern Company’s implied volatility is 13.7%.
  • Its 15-day average implied volatility is 15.3%.
  • Its current implied volatility is 10.20% less than its 15-day average.

Let’s look at some other utility stocks with low implied volatility as of July 20:

  • Duke Energy’s (DUK) implied volatility is 14.8%—4.8% lower than its 15-day average.
  • American Electric Power’s (AEP) implied volatility is 15.1%—4.5% lower than its 15-day average.
  • Dominion Resources’ (D) implied volatility is 15.4%—5.6% lower than its 15-day average.
  • NextEra Energy’s (NEE) implied volatility is 16.5%—0.8% lower than its 15-day average.
Advertisement

More From Market Realist