# Integrated Energy Companies and Refiners with High Implied Volatility

By Rabindra SamantaUpdated

## High implied volatility

As of August 11, 2016, Alon USA Energy (ALJ) has the highest implied volatility among integrated energy companies and refiners. Below are its volatility figures:

- Its implied volatility is 62.5%.
- Its 15-day average implied volatility is 71.3%.
- Its current volatility is ~12.4% lower than its 15-day average.

Now, let’s look at the volatility of other integrated energy and refiner stocks as of August 11:

- Petroleo Brasileiro Petrobras’s (PBR) implied volatility is 61.4%. This is 0.1% lower than its 15-day average.
- CVR Refining’s (CVRR) implied volatility is 59.2%. This is 2.3% more than its 15-day average.
- Delek US Holdings’ (DK) implied volatility is 57.5%. This is ~5.8% less than its 15-day average.
- Calumet Specialty Products Partners’ (CLMT) implied volatility is 56.8%. This is ~15.6% lower than its 15-day average.

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## Low implied volatility

As of August 11, ExxonMobil (XOM) has the lowest implied volatility figure among the integrated energy companies and refiners. Below are its volatility figures:

- Its implied volatility is 15.1%.
- Its 15-day average implied volatility is 16%.
- Its current implied volatility is 5.5% lower than its 15-day average.

Now, let’s look at some integrated energy companies and refiners with low implied volatility as of August 11:

- Chevron’s (CVX) implied volatility is 16.7%, which is 6% lower than its 15-day average.
- Eni’s (E) implied volatility is 20%, which is 29% lower than its 15-day average.
- BP’s (BP) implied volatility is 21.3%, which is 6.9% less than its 15-day average.
- Total’s (TOT) implied volatility is 21.6%, which is 8.5% less than its 15-day average.

In the next part of this series, we’ll look at the returns of integrated energy companies and refiners.