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Returns of Upstream Stocks with High and Low Implied Volatilities

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Upstream stocks with high implied volatility

As we learned in the previous part of this series, Cobalt International Energy (CIE) had the highest implied volatility among all of the upstream stocks on September 9, 2016. Its stock has fallen ~76.7% on a YTD (year-to-date) basis. In the last five trading days, it rose 2.4%.

Below are the YTD returns of the upstream stocks that we examined in the previous part of this series. They have the highest implied volatility.

  • California Resources (CRC): -52.4%
  • Whiting Petroleum (WLL): -19.3%
  • Chesapeake Energy (CHK): 69.3%
  • Denbury Resources (DNR): 53%

Below are the five-day returns for these stocks:

  • California Resources (CRC): 15.4%
  • Whiting Petroleum (WLL): 7.2%
  • Chesapeake Energy (CHK): 21.9%
  • Denbury Resources (DNR): 6.9%
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Upstream stocks with low implied volatility

As we saw in Part 1 of this series, Occidental Petroleum (OXY) had the lowest implied volatility among the upstream stocks on September 9. Below are the YTD returns for the upstream stocks that we identified as having low implied volatility:

  • Occidental Petroleum (OXY): 12.6%
  • EOG Resources (EOG): 30.9%
  • ConocoPhillips (COP): -9.5%
  • EQT (EQT): 39.2%
  • Pioneer Natural Resources (PXD): 44.0%

Now, let’s look at the five-day returns for these stocks:

  • Occidental Petroleum (OXY): 0%
  • EOG Resources (EOG): 4.6%
  • ConocoPhillips (COP): 4.1%
  • EQT (EQT): 1.1%
  • Pioneer Natural Resources (PXD): 0.2%

In the final part of this series, we’ll look at the upstream stocks with the highest short interest-to-equity float ratios.

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