Occidental Petroleum’s Implied Volatility Forecast
By Nicholas ChapmanUpdated
Occidental Petroleum’s implied volatility
As of August 5, 2016, Occidental Petroleum (OXY) had an implied volatility of ~18.4%, which is ~38.6% below its 260-trading-day historical price volatility of ~29.9%.
After it announced its earnings on August 3, 2016, Occidental Petroleum’s implied volatility decreased from ~21.2% to ~18.4% in three sessions.
Occidental Petroleum’s 30-day stock price forecast using implied volatility
Assuming normal distribution of prices (bell curve model) and standard deviation of one, based on its implied volatility of ~18.4%, OXY stock is expected to close between $77.56 and $69.80 after 30 calendar days. Based on the standard statistical formula, the stock will stay in this range ~68% of the time.
Other upstream stocks
As of August 5, 2016, other upstream stocks such as Parsley Energy (PE), Gulfport Energy (GPOR), and Consol Energy (CNX) have implied volatilities of ~35.4%, ~45.1%, and ~50.8%, respectively. The SPDR S&P 500 ETF (SPY) has an implied volatility of ~9.2%.
Implied volatility shows the Market’s opinion of the stock’s potential moves, but it doesn’t forecast direction. Implied volatility is derived from an option pricing model. This means that data are theoretical in nature, and there’s no guarantee these forecasts will be correct.
