In the previous part, we looked at analysts’ ratings for Phillips 66 (PSX). In this part, we’ll review the changes in Phillips 66’s implied volatility. We’ll estimate Phillips 66’s stock price range for the ten-day period ending on August 11, 2017
Phillips 66 reported its earnings on August 1, 2017. The implied volatility in Phillips 66 fell 2.1% to 14.8%—compared to the previous day. It was lower than the 30-day average implied volatility at 17.1%. On the same day, Phillips 66’s stock price rose 2.2%.
Peers’ implied volatility
Like Phillips 66, the implied volatility in Delek US Holdings (DK) fell 1.0% to 42.4% on August 1—compared to the previous day. The implied volatilities in HollyFrontier (HFC) and PBF Energy (PBF) fell 1.4% and 0.5%, respectively, to 32.4% and 36.3% on August 1. PBF Energy’s stock price rose 2.3% on August 1. HollyFrontier and Delek US Holdings saw their stock prices rise 1.7% and 0.5%, respectively, on the same day.
The SPDR Dow Jones Industrial Average ETF’s (DIA) implied volatility fell 0.9% to 6.4% on August 1. The SPDR S&P 500 ETF’s (SPY) implied volatility fell 3.8% to 6.9%. On August 1, DIA rose 0.3% and SPY rose 0.2%.
Expected price range for Phillips 66 stock
Considering Phillips 66’s implied volatility of 14.8% and assuming a normal distribution of prices (bell curve model) and standard deviation of one (with a probability of 68.2%), Phillips 66’s stock price could close between $87.7 per share and $83.5 per share in the ten-day period after its earnings. The ten-day period ends on August 11.