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How Shell’s Implied Volatility Changed after Its Earnings Release

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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%.

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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.

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