uploads///Return Utility

How Returns Impact Utility Stocks’ Implied Volatility

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Nov. 20 2020, Updated 2:27 p.m. ET

Utility stocks with high implied volatilities

NRG Energy (NRG) rose 5.1% on a YTD (year-to-date) basis. It has the highest implied volatility of all the utility companies that make up the Utilities Select Sector SPDR ETF (XLU). In the past five days, NRG Energy fell 0.9%.

Below are the YTD returns of the utility stocks we identified as having high implied volatilities:

Now, let’s look at the five-day returns of these stocks:

  • AES – 0.3%
  • Exelon – 1%
  • FirstEnergy – 0.4%
  • CMS Energy – 1.8%
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Returns of utility stocks with low implied volatilities

Duke Energy (DUK) has the lowest implied volatility of all the utility companies that are part of XLU. Below are the YTD returns of the utility stocks we identified as having low implied volatilities:

  • Duke Energy (DUK) – 7.9%
  • Dominion Resources (D) – 12.7%
  • Pinnacle West Capital (PNW) – 19.5%
  • Southern Company (SO) – 5.2%
  • NextEra Energy (NEE) – 14.2%

Here are the five-day returns of these stocks:

  • Duke Energy – 1.9%
  • Dominion Resources – 2.9%
  • Pinnacle West Capital – 1.4%
  • Southern Company – 1.6%
  • NextEra Energy – 2.2%

In the next part of this series, we’ll look at the utility stocks with the highest short interest-to-equity float ratios.

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