Devon Energy’s implied volatility
As of November 1, 2016, Devon Energy (DVN) had an implied volatility of ~48.4%, which is ~22.5% below its 260-trading-day historical price volatility of ~62.4%. In the last five days leading into the earnings, Devon Energy’s implied volatility rose from ~41.8% to ~48.4%.
Devon Energy’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 ~48.4%, Devon Energy’s stock is expected to close between $42.91 and $32.47 after 30 calendar days. Based on the standard statistical formula, Devon Energy’s stock will stay in this range ~68% of the time.
Other upstream stocks
As of November 1, 2016, Marathon Oil (MRO), Murphy Oil (MUR), and CONSOL Energy (CNX) have implied volatilities of ~52.6%, ~51.2%, and ~54.1%, respectively. The SPDR S&P 500 ETF (SPY) has an implied volatility of ~15.6%.
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.