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Analyzing Utility Stocks with High Volatility

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Utility stocks with high implied volatility

On December 6, 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 49.7% on December 6. Its 15-day average implied volatility was 52.1%. Its current volatility is 4.6% lower than its 15-day average.

Let’s take a look at the implied volatilities of other utility stocks as of December 6, 2016:

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  • AES’s (AES) implied volatility is 27.2%—about 2.1% less than its 15-day average.
  • FirstEnergy’s (FE) implied volatility is 23.8%—2.9% higher than its 15-day average
  • Exelon’s (EXC) implied volatility is 23.1%—4.3% higher than its 15-day average
  • NiSource’s (NI) implied volatility is 20.9%—5.7% lower than its 15-day average.

Utility stocks with low implied volatility

On December 6, DTE Energy (DTE) had the lowest implied volatility of all the utility companies that make up XLU. DTE Energy’s implied volatility is 17.4%. Its 15-day average implied volatility is 18.8%. Its current implied volatility is 7.6% lower than its 15-day average.

Let’s look at the other utility stocks with low implied volatilities as of December 6, 2016.

  • Dominion Resources’ (D) implied volatility is 17.6%—1.1% lower than its 15-day average.
  • Southern Company’s (SO) implied volatility is 18%—3.2% lower than its 15-day average.
  • Eversource Energy’s (ES) implied volatility is 18.7%—8% less than its 15-day average.
  • American Electric Power Company’s (AEP) implied volatility is 18.9%—4.4% less than its 15-day average.

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

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