CONSOL’s implied volatility
As of November 3, 2016, CONSOL (CNX) had an implied volatility of ~60.1%, which is ~27.4% below its 260-trading day historical price volatility of ~82.8%. After earnings were announced on November 1, 2016, CONSOL Energy’s implied volatility rose from ~55.8% to ~60.1% in three sessions.
CONSOL’s 30-day stock price forecast using implied volatility
Assuming normal distribution of prices (bell curve model) and standard deviation of one, based on its implied volatility of ~60.1%, CONSOL’s stock is expected to close between $19.48 and $13.76 after 30 calendar days. Based on the standard statistical formula, CONSOL Energy’s stock will stay in this range ~68% of the time.
Other upstream stocks
As of November 3, 2016, other upstream stocks like Parsley Energy (PE), Gulfport Energy (GPOR), and Diamondback Energy (FANG) have implied volatilities of ~38.5%, ~45.1%, and ~37.7%, respectively. The SPDR S&P 500 ETF (SPY) has an implied volatility of ~17.1%.
Implied volatility shows the market’s opinion of the stock’s potential moves, but it doesn’t forecast direction. Implied volatility is derived from the option pricing model. This means the data is theoretical in nature, and there’s no guarantee these forecasts will be correct.