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Top 5 Upstream Stocks with High and Low Implied Volatilities

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High implied volatility

On August 19, 2016, Cobalt International Energy (CIE) had the highest implied volatility among the upstream stocks that are part of the SPDR S&P Oil & Gas Exploration & Production ETF (XOP). Its implied volatility was ~161.6%. This is ~16.2% more than its 15-day average of 139.1%.

Now, let’s take a look at the implied volatilities of other upstream stocks on August 19:

  • California Resources (CRC) had an implied volatility of ~95.4%. This is 17.4% less than its 15-day average.
  • Denbury Resources (DNR) had an implied volatility of ~80%. This is ~4.2% less than its 15-day average.
  • Chesapeake Energy (CHK) had an implied volatility of ~74.7%. This is ~3.9% more than its 15-day average.
  • Whiting Petroleum (WLL) had an implied volatility of 71.3%. This is ~10.9% lower than its 15-day average.
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Low implied volatility

On August 19, Occidental Petroleum (OXY) had the lowest implied volatility among the upstream stocks. Its implied volatility was ~16.3%. This is ~8.2% less than its 15-day average of ~17.8%.

Let’s look at some other upstream stocks with low implied volatilities on August 19:

  • EOG Resources (EOG) had an implied volatility of ~22.7%. This is 15.3% lower than its 15-day average.
  • ConocoPhillips (COP) had an implied volatility of ~25%. This is 15.5% lower than its 15-day average.
  • Pioneer Natural Resources (PXD) had an implied volatility of ~25.4%. This is 9.5% lower than its 15-day average.
  • EQT (EQT) had an implied volatility of ~26.5%. This is ~4.5% 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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