ConocoPhillips’s Implied Volatility and Its Stock Forecast



ConocoPhillips’s implied volatility

As of September 21, 2016, ConocoPhillips (COP) had an implied volatility of ~27.2%, which is ~37.9% below its 260-trading-day historical price volatility of ~43.8%. In the last five days, the company’s implied volatility fell from ~33.3% to ~27.2%.

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ConocoPhillips’s 30-day stock price forecast using implied volatility

Let’s assume a normal distribution of prices, or the bell curve model, and a standard deviation of 1. Based on COP’s implied volatility of ~27.2%, its stock is expected to close between $43.19 and $36.93 after 30 calendar days. Based on the standard statistical formula, COP stock will stay in this range ~68% of the time.

Other upstream stocks

As of September 21, 2016, other upstream stocks such as Denbury Resources (DNR), Diamondback Energy (FANG), and Marathon Oil (MRO) have implied volatilities of ~77.2%, ~32.3%, and ~48.6%, respectively. The SPDR S&P 500 ETF (SPY) has an implied volatility of ~11.9%.

Implied volatility shows the market’s opinion of a stock’s potential moves, but it doesn’t forecast direction. Implied volatility is derived from the option pricing model. This means that data are theoretical in nature and there’s no guarantee these forecasts will be correct.


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