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Returns of Upstream Stocks with High and Low Implied Volatilities

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Sep. 27 2016, Published 5:29 a.m. ET

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 23, 2016. Its stock has fallen ~79.9% on a YTD (year-to-date) basis. In the last five trading days, it rose 11%.

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) at -46.8%
  • Denbury Resources (DNR) at 40.6%
  • Whiting Petroleum (WLL) at -13.3%
  • Chesapeake Energy (CHK) at 50.7%

Below are the five-day returns for these stocks:

  • California Resources at -1.3%
  • Denbury Resources at -4.8%
  • Whiting Petroleum at 4%
  • Chesapeake Energy at -10.2%
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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 23. Below are the YTD returns for the upstream stocks that we identified as having low implied volatility:

  • Occidental Petroleum (OXY) – 2.9%
  • EQT (EQT) – 41.3%
  • ConocoPhillips (COP) at -14.5%
  • EOG Resources (EOG) – 26.8%
  • Pioneer Natural Resources (PXD) – 40%

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

  • Occidental Petroleum at -2.7%
  • EQT – 3.6%
  • ConocoPhillips at -0.1%
  • EOG Resources at -2.2%
  • Pioneer Natural Resources at 1.2%

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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