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Top 5 Upstream Stocks with High and Low Implied Volatilities

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Aug. 8 2016, Published 10:52 a.m. ET

High implied volatility

On August 5, 2016, Stone Energy (SGY) had the highest implied volatility among the upstream stocks. Its implied volatility was ~355.5%. This is ~23.5% more than its 15-day average of 287.8%.

Now, let’s take a look at the implied volatilities of other upstream stocks on August 5:

  • Bonanza Creek Energy (BCEI) had an implied volatility of ~155.4%. This is ~5% less than its 15-day average.
  • Rex Energy (REXX) had an implied volatility of ~152.1%. This is 1.9% more than its 15-day average.
  • Comstock Resources (CRK) had an implied volatility of ~114.9%. This is ~32.7% lower than its 15-day average.
  • Halcón Resources (HK) had an implied volatility of 114.1%. This is ~22.4% lower than its 15-day average.
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Low implied volatility

On August 5, EOG Resources (EOG) had the lowest implied volatility among the upstream stocks. Its implied volatility was ~26.1%. This ~10.3% less than its 15-day average of ~29.1%.

Let’s look at some other upstream stocks with low implied volatilities on August 5:

  • EQT (EQT) had an implied volatility of ~27.8%. This is ~9.3% lower than its 15-day average.
  • Pioneer Natural Resources (PXD) had an implied volatility of ~28.5%. This is 10.7% lower than its 15-day average.
  • Diamondback Energy (FANG) had an implied volatility of ~29.3%. This is 10.5% lower than its 15-day average.
  • ConocoPhillips (COP) had an implied volatility of ~30.4%. This is 6.8% lower than its 15-day average.

In the next part of this series, we’ll look at the returns of some upstream stocks with high and low implied volatilities.

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