Western Refining’s implied volatility
Western Refining’s (WNR) implied volatility currently stand at 57. Since mid-February 2016, WNR’s implied volatility has fallen by 18%. When the sentiments toward a stock are bullish, its implied volatility falls and vice versa. During the same period, contrary to market sentiments, WNR’s stock price fell by 21%.
Peers’ implied volatility
Phillips 66 (PSX) has the lowest implied volatility among the independent American refiners. Alon USA Energy (ALJ) has the highest implied volatility, standing at 74. Delek US Holdings (DK) and CVR Refining (CVRR) have higher implied volatilities than WNR.
The iShares Russell 1000 Value ETF (IWD) has ~13% exposure to energy sector stocks.