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Returns of Integrated Energy and Refiner Stocks

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Returns of integrated energy companies and refiners with high implied volatility

As we saw in the previous part of this series, Alon USA Energy (ALJ) has the highest implied volatility figure among all of the integrated energy companies and refiners as of August 11, 2016. Its stock has fallen 51.1% on a YTD (year-to-date) basis. In the last five days, it has risen 1.8%.

The above graph shows the YTD returns of the integrated energy companies and refiners with the highest volatility:

  • Petroleo Brasileiro Petrobras (PBR) at 101.6%
  • CVR Refining (CVRR) at -68.7%
  • Delek US Holdings (DK) at -39.5%
  • Calumet Specialty Products Partners (CLMT) at -75.4%

Below are the five-day returns for these stocks:

  • Petroleo Brasileiro Petrobras (PBR) at 3.1%
  • CVR Refining (CVRR) at -2.6%
  • Delek US Holdings (DK) at 10.2%
  • Calumet Specialty Products Partners (CLMT) at 9.4%
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Returns of integrated energy companies and refiners with low implied volatility

As we saw in the previous part of this series, ExxonMobil (XOM) has the lowest implied volatility figure among all of the integrated energy companies and refiners as of August 11. Below are the YTD returns for the integrated energy companies and refiners that we identified as having low implied volatility:

  • ExxonMobil: 11.3%
  • Chevron (CVX): 12.7%
  • Eni SpA (E): 2.6%
  • BP (BP): 7.6%
  • Total (TOT): 7.5%

Now, we’ll look at the five-day returns for these stocks:

In the next part of this series, we’ll look at the integrated energy and refiner stocks with the highest short interest.

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