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Whiting Petroleum’s Implied Volatility Higher Than Peers’

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Whiting Petroleum’s implied volatility

Whiting Petroleum’s (WLL) implied volatility as of July 28, 2016, was 87.8%,~3.5% higher than its 15-day average of 84.8%. WLL’s implied volatility has declined significantly since the start of this year.

The periods in which WLL saw high volatility coincide with high volatility in energy prices (USO) (UNG). With improved commodity prices since the beginning of this year, WLL’s volatility has declined drastically. However, it remains quite high compared with that of its peers.

Whiting Petroleum’s peers, Anadarko Petroleum (APC) and Newfield Exploration (NFX), have implied volatility of ~37% and 40%, respectively. APC and NFX make up ~1.5% of the iShares Global Energy ETF (IXC).

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