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Option Traders: Look at These Upstream Stocks

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Sep. 19 2016, Published 9:10 a.m. ET

High implied volatility

On September 16, 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 ~147%. This is ~8.1% less than its 15-day average of 135.1%.

Now, let’s look at the implied volatilities of other upstream stocks on September 16:

  • California Resources (CRC) had an implied volatility of ~93.7%. This is 11.1% less than its 15-day average.
  • Memorial Resource Development (MRD) had an implied volatility of 86.7%. This is 42.6% more than its 15-day average.
  • Chesapeake Energy (CHK) had an implied volatility of ~77.1%. This is ~3.9% more than its 15-day average.
  • Sanchez Energy (SN) had an implied volatility of ~73.9%. This is ~1.9% more than its 15-day average.
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Low implied volatility

On September 16, Occidental Petroleum (OXY) had the lowest implied volatility among the upstream stocks. Its implied volatility was ~21.1%. This is ~12.3% more than its 15-day average of ~18.8%.

Let’s look at some other upstream stocks with low implied volatilities on September 16:

  • EQT (EQT) had an implied volatility of ~26.7%. This is ~4.1 less than its 15-day average.
  • EOG Resources (EOG) had an implied volatility of ~29.1%. This is 9.9% more than its 15-day average.
  • Pioneer Natural Resources (PXD) had an implied volatility of ~29.1%. This is 2.6% less than its 15-day average.
  • ConocoPhillips (COP) had an implied volatility of ~31.2%. This is 10.3% more 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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