Mapping Valero’s Stock Direction after the 2Q17 Earnings



Implied volatility in Valero

Valero Energy (VLO) reported earnings on July 27, 2017, and the implied volatility in VLO stock fell 2.7% from the previous day’s 21.7%. However, this is still higher than the 30-day average implied volatility, which stood at 21.4%.

On the same day, Valero stock price fell 0.6%.

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Peer implied volatility

Like VLO, the implied volatility in Delek US Holdings (DK) fell 1.1% from the previous day to 40.2% on July 27. But the implied volatilities in Tesoro (TSO) and HollyFrontier (HFC) stocks rose 0.9% and 1.5%, respectively, to 23.5% and 33.2%, respectively, on July 27.

Notably, HFC’s stock price rose 0.9% on July 27, while TSO and DK stock prices fell 0.1% and 1.4%, respectively, that day.

The SPDR Dow Jones Industrial Average ETF (DIA) saw a 0.6% fall in its implied volatility to 6.5% on July 27, while the SPDR S&P 500 ETF (SPY) witnessed a 1.2% rise in its implied volatility to 7.8%.

On July 27, DIA rose 0.4%, while SPY fell 0.1%.

Expected price range for 8-day period ending August 4

If we consider Valero’s implied volatility of 21.7% and assuming a normal distribution of prices (bell curve model) and standard deviation of one (with a probability of 68.2%), Valero’s stock price could close between $69.8 and $65.4 per share in the eight-day period after its earnings release on July 27 (ended August 4).


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