Has Implied Volatility in Tesoro Fallen?


Dec. 4 2020, Updated 10:53 a.m. ET

Implied volatility in Tesoro

Tesoro’s (TSO) implied volatility currently stands at 25%, a fall compared to its level of 34% on January 3, 2017. TSO’s current implied volatility is even lower than its 30-day average implied volatility of 26%. Since January 3, 2017, TSO’s stock price has fallen 8%.

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Peers’ implied volatilities

TSO’s peer Phillips 66 (PSX) has the lowest implied volatility of 18%. On the other hand, Alon USA Energy (ALJ) has the highest implied volatility of 48%. PBF Energy (PBF) and Delek US Holdings (DK) have higher implied volatilities than TSO at 40% and 37%, respectively.

For exposure to refining and marketing sector stocks, you can consider the SPDR S&P Oil & Gas Exploration & Production ETF (XOP). The ETF has ~17% exposure to the sector.


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