Has Halliburton’s Implied Volatility Fallen?



Halliburton’s implied volatility

On December 16, 2016, Halliburton (HAL) had an implied volatility of ~25%. Since HAL’s 3Q16 financial results were announced on October 19, 2016, its implied volatility has fallen from ~29%. HAL makes up 0.15% of the iShares MSCI ACWI Low Carbon Target ETF (CRBN). The energy sector makes up 5.9% of CRBN.

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What does implied volatility mean?

Implied volatility (or IV) reflects investors’ views of a stock’s potential movement. However, IV doesn’t forecast direction. Implied volatility is derived from an option pricing model. Investors should note that the correctness of implied-volatility-suggested prices can be uncertain. CARBO Ceramic’s (CRR) implied volatility on December 16 was ~63%, while Helmerich & Payne’s (HP) implied volatility was was ~30% that day. Weatherford International’s (WFT) implied volatility on December 16 was ~62%.

Energy stocks are typically correlated with crude oil prices. Has HAL’s correlation with crude oil prices increased? Let’s look at this in the following part of the series.


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