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Analyzing California Resources’ Implied Volatility

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California Resources’ implied volatility

As of August 16, 2017, California Resources (CRC) had an implied volatility of 87.6%, which is much lower than 91.6% on August 4, 2017.

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CRC’s price range forecast

Based on its implied volatility of ~87.6% and assuming a bell curve model (or normal distribution of prices), 365 days in a year, and a standard deviation of one, CRC stock is expected to close between $8.23 and $4.98 in the next 30 days. It will stay in that range 68.0% of the time, based on the standard statistical formula.

As of August 16, 2017, the SPDR S&P 500 ETF (SPY) has an implied volatility of 17.2%. Implied volatility doesn’t forecast a stock’s future direction. Implied volatility is derived from an option pricing model, which means the data are theoretical, and there’s no guarantee these forecasts will be correct.

California Resources’ moving averages

As of August 16, 2017, CRC is trading below its 200-day and 50-day moving averages. In fact, it hasn’t moved above its 50-day moving average since February 7, 2017. On August 16, CRC stock closed at $6.65, whereas its 200-day and 50-day moving averages were $14.05 and $8.35, respectively. That means that CRC’s 50-day moving average is below its 200-day moving average, which is technically a bearish sign.

Peers

CRC’s peers such as Consol Energy (CNX), Devon Energy (DVN), and Range Resources (RRC) have implied volatilities of 43.8%, 36.7%, and 49.1%. All these companies have shown considerable changes in implied volatilities compared to their volatilities of 40.3%, 38.7%, and 45.5% on August 4, 2017. The First Trust ISE-Revere Natural Gas ETF (FCG) invests in natural gas producers, whereas the Energy Select Sector SPDR ETF (XLE) generally invests at least 95.0% of its total assets in oil and gas companies.

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