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Identifying Utility Stocks with High Volatilities

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Utility stocks with high implied volatilities

On December 15, 2016, NRG Energy (NRG) had the highest implied volatility among the utility companies that make up the Utilities Select Sector SPDR ETF (XLU).

NRG Energy’s implied volatility was 42.2% on December 15. Its 15-day average implied volatility was 47.8%. Its current volatility is 11.7% lower than its 15-day average.

Let’s take a look at the implied volatilities of other utility stocks on December 15, 2016:

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  • AES’s (AES) implied volatility was 25.5%—about 2.0% lower than its 15-day average.
  • Exelon’s (EXC) implied volatility was 22.9%—1.3% lower than its 15-day average.
  • FirstEnergy’s (FE) implied volatility was 22.3%—3% lower than its 15-day average.
  • NiSource’s (NI) implied volatility was 20.5%—8.0% lower than its 15-day average.

Utility stocks with low implied volatilities

On December 15, Southern Company (SO) had the lowest implied volatility of all the utility companies that make up XLU. SO’s implied volatility was 15.6%. Its 15-day average implied volatility was 18.8%. Its current implied volatility is 17.1% lower than its 15-day average.

Let’s look at the other utility stocks with low implied volatilities on December 15:

  • Dominion Resources’ (D) implied volatility was 16.5%—5.3% lower than its 15-day average.
  • American Electric Power Company’s (AEP) implied volatility was 16.9%—14.7% lower than its 15-day average.
  • NextEra Energy’s (NEE) implied volatility was 17%—17.1% lower than its 15-day average.
  • Duke Energy’s (DUK) implied volatility was 17.2%—8% lower than its 15-day average.

Remember, large movements or expectations of large movements in stocks’ prices can cause their implied volatilities to rise. In the next article, we’ll discuss the returns of the above stocks.

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