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Utility Stocks with High Implied Volatilities

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Dec. 22 2016, Published 10:50 a.m. ET

Utility stocks with high implied volatilities

On December 21, 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 40.3% on December 21. Its 15-day average implied volatility was 45.2%. Its current volatility is 10.8% lower than its 15-day average.

Let’s take a look at the implied volatilities of other utility stocks on December 21, 2016:

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  • AES’s (AES) implied volatility was 25.7%—about 1.6% lower than its 15-day average.
  • Exelon’s (EXC) implied volatility was 22.8%—1.6% lower than its 15-day average.
  • FirstEnergy’s (FE) implied volatility was 21.9%—4.8% lower than its 15-day average.
  • CMS Energy’s (CMS) implied volatility was 20.1%—1.7% more than its 15-day average.

Utility stocks with low implied volatilities

On December 21, Duke Energy (DUK) had the lowest implied volatility of all the utility companies that make up XLU. Its implied volatility was 16%. Its 15-day average implied volatility was 18.7%. Its current implied volatility is 14.5% lower than its 15-day average.

Let’s look at the other utility stocks with low implied volatilities on December 21:

  • Dominion Resources’ (D) implied volatility was 16.4%—9.2% lower than its 15-day average.
  • Pinnacle West Capital’s (PNW) implied volatility was 16.6%—11.8% lower than its 15-day average.
  • Southern Company’s (SO) implied volatility was 16.6%—17.6% lower than its 15-day average.
  • NextEra Energy’s (NEE) implied volatility was 16.9%—1.7% more 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 part, we’ll discuss the returns of the above stocks.

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