Behind Valero’s Implied Volatility ahead of the 1Q17 Results



Implied volatility in Valero

The implied volatility of Valero Energy (VLO) stock now stands at 24%. This level is equal to VLO’s 30-day average implied volatility. So far in April, Valero’s implied volatility has remained rangebound between 24% and 26%, but during the same period, VLO’s stock price has fallen 2%.

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Peer implied volatility

By comparison, peer Tesoro (TSO) has higher implied volatility standing of 31%, while Phillips 66 (PSX) has a lower implied volatility of 20%. 

If you’re looking for exposure to refining sector stocks, you might consider the iShares North American Natural Resources ETF (IGE). IGE has ~7% exposure to downstream sector stocks.

In the next part of this series, we’ll compare the short interest in Valero Energy (VLO) with the short interest in its major peers.


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