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Integrated Energy and Refiner Stocks with High Implied Volatility


Dec. 4 2020, Updated 10:53 a.m. ET

High implied volatility

As of November 8, 2016, Alon USA Partners (ALDW) had the highest implied volatility among the integrated energy and refining companies we’re reviewing in this series. The stock’s volatility figures are:

  • implied volatility – 80.4%
  • 15-day average implied volatility – 73.9%
  • current volatility – about 8.8% higher than its 15-day average

On October 26, 2016, Alon USA Partners announced its quarterly results. The high implied volatility in the units could be due to the expectation of a large movement in the prices following its financial results.

The implied volatilities of other integrated energy and refining stocks as of November 8 are as follows:

  • Calumet Specialty Products Partners (CLMT) – 69.5%, or ~5.3% less than its 15-day average
  • Petrobras (PBR) – 58.3%, or ~11% more than its 15-day average
  • Alon USA Energy (ALJ) – 57.9%, or 3% less than its 15-day average
  • CVR Refining (CVRR) – 55.9%, or ~10.3% less than its 15-day average
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Petrobras agreed to settle a lawsuit related to corruption in the company with Pacific Investment Management, Dodge & Cox, Al Shams Investments, and Janus Capital, according to a Wall Street Journal report on October 24, 2016. It cost shareholders billions of dollars in losses. Petrobras still has many more individual lawsuits and a class-action lawsuit pending against it related to the corruption scandal. The company will report earnings on November 10. The company will likely witness high implied volatility because of the earnings.

Overall, the weak refining environment and volatility in oil and refined product prices can cause volatility in energy companies. The refiners listed above are among the smaller refining companies in the US. They have concentrated operations compared to their larger peers.

Low implied volatility

As of November 8, ExxonMobil (XOM) has the lowest implied volatility figure among our list of integrated energy companies and refiners. Below are its volatility figures:

  • implied volatility – 17.6%
  • 15-day average implied volatility – 17.7%
  • current implied volatility – 0.7% less than its 15-day average

Now, let’s look at some other integrated energy companies and refiners with low implied volatilities as of November 8:

  • Chevron (CVX) – implied volatility of 18.4%, or 5.7% lower than its 15-day average
  • Total SA (TOT) – implied volatility of 23.1%, or 0.2% more than its 15-day average
  • Royal Dutch Shell (RDS.A) – implied volatility of 23.2%, or 0.9% less than its 15-day average
  • BP (BP) – implied volatility of 23.6%, or 3% more than its 15-day average

These companies with low implied volatility are integrated energy companies. They have integrated and diversified business models by business and geography.

Usually, weaker stocks that fall sharply or that have negative news announced about them experience higher volatility. In the next part, we’ll look at integrated energy companies and refiners’ returns.


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