Chesapeake Energy’s Implied Volatility after Its 2Q16 Earnings



Chesapeake Energy’s implied volatility

Chesapeake Energy’s (CHK) current implied volatility is 70%—about 13% lower than its 15-day average of 80.3%. As we note in the image below, Chesapeake Energy’s implied volatility has fallen since the start of this year.

We also note that the periods where Chesapeake Energy saw high volatility coincide with high volatility in energy prices (USO) (UNG). With improved commodity prices since the beginning of this year, Chesapeake Energy’s volatility has also fallen drastically.

Chesapeake’s peers Rice Energy (RICE), EQT (EQT), and Antero Resources (AR) have implied volatilities of ~46.5%, 28%, and ~41.5%, respectively.

Article continues below advertisement

More From Market Realist