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Top 5 Upstream Stocks with High and Low Implied Volatilities

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High implied volatility

On August 26, 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 ~142%. This is ~2.7% less than its 15-day average of 146%.

Now, let’s take a look at the implied volatilities of other upstream stocks on August 26:

  • California Resources (CRC) had an implied volatility of ~100.3%. This is 7.6% less than its 15-day average.
  • Whiting Petroleum (WLL) had an implied volatility of 78.7%. This is ~0.6% more than its 15-day average.
  • Chesapeake Energy (CHK) had an implied volatility of ~71.9%. This is ~3.8% more than its 15-day average.
  • Denbury Resources (DNR) had an implied volatility of ~70.8%. This is ~12.2% less than its 15-day average.
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Low implied volatility

On August 26, Occidental Petroleum (OXY) had the lowest implied volatility among the upstream stocks. Its implied volatility was ~17.3%. This is ~1.1% more than its 15-day average of ~17.8%.

Let’s look at some other upstream stocks with low implied volatilities on August 26:

  • EOG Resources (EOG) had an implied volatility of ~26.6% This is 3.9% more than its 15-day average.
  • ConocoPhillips (COP) had an implied volatility of ~27.2%. This is 2.4% lower than its 15-day average.
  • EQT (EQT) had an implied volatility of ~28.1%. This is ~1.7% more than its 15-day average.
  • Diamondback Energy (FANG) had an implied volatility of ~29.4%. This is 1.4% 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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