How Shell’s Implied Volatility Changed after Its Earnings Release



Shell’s implied volatility

Royal Dutch Shell (RDS.A) posted its earnings on July 28, 2016. On that day, Shell’s implied volatility fell by 9% to 20.5 compared to the previous day. This is 12% lower than the 30-day average implied volatility that stands at 24. On the same day, Shell’s stock price fell by 3%.

Article continues below advertisement

Peers’ implied volatility

On the other hand, the implied volatilities of Shell’s peers PetroChina (PTR) and YPF (YPF) rose by 0.6% and 0.2%, respectively, on July 28. Notably, the Vanguard Energy ETF (VDE) has ~40% exposure to integrated energy sector stocks.


More From Market Realist