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Returns of Upstream Stocks with High and Low Implied Volatilities

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Upstream stocks with high implied volatility

As we learned in the previous part in this series, Stone Energy (SGY) had the highest implied volatility among all of the upstream stocks on August 5, 2016. Its stock has fallen by ~76.6% on a YTD (year-to-date) basis. In the last five trading days, it has fallen by ~18.3%.

Below are the YTD returns of the upstream stocks we examined in the previous part in this series. They have the highest implied volatility:

  • Bonanza Creek Energy (BCEI) -84.9%
  • Rex Energy (REXX) -43%
  • Comstock Resources (CRK) -55.2%
  • Halcón Resources (HK) -75.2%

Here are the five-day returns for these stocks:

  • Bonanza Creek Energy at -1.1%
  • Rex Energy at -7.7%
  • Comstock Resources at 1.8%
  • Halcón Resources at -24.2
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Upstream stocks with low implied volatility

As we saw in the previous part of this series, EQT (EQT) had the lowest implied volatility among all of the upstream stocks on August 5. Below are the YTD returns for the upstream stocks we identified as having low implied volatility.

  • EOG Resources (EOG) – 27.4%
  • EQT(EQT) – 34.1%
  • Pioneer Natural Resources (PXD) – 34.1%
  • Diamondback Energy (FANG) – 38.9%
  • ConocoPhillips (COP) at -13%

Now, let’s look at the five-day returns for these stocks:

  • EOG Resources – 10.4%
  • EQT at -4%
  • Pioneer Natural Resources – 3.4%
  • Diamondback Energy – 5.9%
  • ConocoPhillips at -0.5%

In the final part of this series, we’ll look at the upstream stocks with the highest short interest-to-equity float ratios.

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