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Returns of Upstream Stocks with High and Low Implied Volatilities

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Aug. 29 2016, Published 8:17 a.m. ET

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 26, 2016. Its stock has fallen by ~77.6% on a YTD (year-to-date) basis. In the last five trading days, it fell ~9%.

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 -56.1%
  • Whiting Petroleum (WLL) at -18.5%
  • Chesapeake Energy (CHK) at 42.2%
  • Denbury Resources (DNR) at 52.5%

Here are the five-day returns for these stocks:

  • California Resource at -20.3%
  • Whiting Petroleum at -4.4%
  • Chesapeake Energy at 5.1%
  • Denbury Resources at -2.8%
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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 26. Below are the YTD returns for the upstream stocks that we identified as having low implied volatility.

  • Occidental Petroleum (OXY) – 14.2%
  • EOG Resources (EOG) – 27.4%
  • ConocoPhillips (COP) at -9.4%
  • EQT (EQT) – 37.5%
  • Diamondback Energy (FANG) – 44%

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

  • Occidental Petroleum – 0.8%
  • EOG Resources at -1.7%
  • ConocoPhillips at -2.4%
  • EQT – 0.5%
  • Diamondback Energy at -2.3%

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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