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Has XOM’s Implied Volatility Spiked as a Result of the SEC Probe?

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ExxonMobil’s implied volatility

ExxonMobil’s (XOM) implied volatility rose from 16.7% on September 19, 2016, to 18% on September 20, 2016. This was higher than XOM’s 30-day average implied volatility of 15.6%. On September 20, XOM’s stock price fell 1.5%.

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Peers’ implied volatilities

On the same day, ExxonMobil’s peer’s YPF’s (YPF) and Petrobras’s (PBR) implied volatilities fell 0.4% and 0.7%, respectively, over the previous day to 33.6% and 56.5%, respectively.

On the other hand, Total (TOT) saw a rise of 0.3% in its implied volatility to 23.8% on September 20. The iShares North American Natural Resources ETF (IGE) has ~22% exposure to the sector.

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