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What Are the Implied Volatilities of Crude Oil and Natural Gas?

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Crude oil’s implied volatility

Crude oil’s (USO) (OIIL) implied volatility was 41.3% on July 8, 2016. Its 15-day average implied volatility is 39.1%. This means that its current level is 5.6% above its 15-day average.

Crude oil’s implied volatility spiked to 48.0% on May 16, 2016. Since then, its implied volatility has fallen by 13.9%. Since May 16, US crude oil has fallen by 5.4%. Last week, crude oil fell by 7.3%. The implied volatility jumped 23.0% between July 1 and July 8.

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What about natural gas?

Natural gas’s (UNG) (GASL) (GASX) implied volatility was 39.7% on July 8, 2016. Its 15-day average implied volatility is 41.4%. This means that its current level of implied volatility is 4.1% below its 15-day average.

Natural gas’s implied volatility spiked to 58.7% on May 24, 2016. Since then, its implied volatility has fallen by 29.5%. Since May 24, natural gas has risen by 41.5%. Last week, natural gas futures fell by 6.2%.

Energy stocks

This analysis could be important for upstream oil and gas stocks such as Abraxas Petroleum (AXAS), Triangle Petroleum (TPLM), Gulfport Energy (GPOR), WPX Energy (WPX), and Comstock Resources (CRK).

In the next part of this series, we’ll look at some key macroeconomic indicators for crude oil.

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