Implied volatility in BP
BP (BP) is expected to post its 3Q17 earnings on October 31, 2017. This price range forecast will be based on the current level of implied volatility of BP stock.
The implied volatility of BP stock has fallen from 17.1% on July 3, 2017, to its current level of 16.7%. During the same period, BP stock has risen 10.7%.
Expected price range for BP stock until October 31
Given BP’s implied volatility of 16.7% and assuming a normal distribution of prices (bell-curve model) and a standard deviation of one (with a probability of 68.2%), BP stock price could close between $39.9 and $37.6 per share in the 11-day period ending October 31. The stock closed at $37.8 per share on October 20.
Implied volatilities of peers
The implied volatilities of Statoil (STO) and Petrobras (PBR) have fallen 4.6% and 6.8%, respectively, since July 3, 2017, to 17.5% and 32.2%, respectively. But the implied volatility of Total (TOT) has risen 5.8% over July 3 to the current level of 24.4%.
TOT stock has risen 8.1% since July 3, while STO and PBR stocks have risen 22.1% and 28.7%, respectively.
The implied volatility of the Dow Jones Industrial Average ETF (DIA) has risen 1.2% since July 3, while the implied volatility of the SPDR S&P 500 ETF’s (SPY) has fallen 0.8%. DIA’s and SPY’s implied volatilities now stand at 9.4% and 8.0%, respectively, compared with the rises of 8.7% and 6.2%, respectively, in their stock prices since July 3.