uploads/2016/08/returns-8.png

Returns of Upstream Stocks with High and Low Implied Volatilities

By

Updated

Upstream stocks with high implied volatility

As we learned in the previous part in this series, Cobalt International Energy (CIE) had the highest implied volatility among all of the upstream stocks on August 19, 2016. Its stock has fallen by ~75.4% on a YTD (year-to-date) basis. In the last five trading days, it rose ~42%.

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

  • California Resource (CRC) at -44.9%
  • Denbury Resources (DNR) at 56.9%
  • Chesapeake Energy (CHK) at 35.3%
  • Whiting Petroleum (WLL) at -14.8%

Here are the five-day returns for these stocks:

  • California Resources at 2.9%
  • Denbury Resources at 10.1%
  • Chesapeake Energy at 21.3%
  • Whiting Petroleum at 5%
Article continues below advertisement

Upstream stocks with low implied volatility

As we saw in the previous part of this series, Occidental Petroleum (OXY) had the lowest implied volatility among all of the upstream stocks on August 19. Below are the YTD returns for the upstream stocks that we identified as having low implied volatility.

  • Occidental Petroleum (OXY) – 13.3%
  • EOG Resources (EOG) – 29.6%
  • ConocoPhillips (COP) at -7.2%
  • Pioneer Natural Resources (PXD) – 48%
  • EQT (EQT) – 36.9%

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

  • Occidental Petroleum – 2.8%
  • EOG Resources – 0.6%
  • ConocoPhillips – 4.7%
  • Pioneer Natural Resources – 5.1%
  • EQT (EQT) – 4.4%

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

Advertisement

More From Market Realist