Implied volatility in PSX
In the previous part, we looked at analyst ratings for Phillips 66 (PSX). In this concluding part, we’ll review the changes in PSX’s implied volatility. We’ll also estimate Phillips 66’s stock price range for the ten-day period ending November 10, 2017.
Phillips 66 reported earnings on October 31, 2017. Post-earnings, implied volatility in PSX fell 1.6% to the current level of 15.7%. Also, this was lower than the 30-day average implied volatility, which stood at 16.1%. Since October 27, Phillips 66 stock price has fallen 0.2%.
Expected price range for Phillips 66 stock for ten-day period ending on November 10
Considering PSX’s implied volatility of 15.7% and assuming a normal distribution of prices (bell curve model) and a standard deviation of one with a probability of 68.2%, Phillips 66’s stock price could close between $93.4 and $88.7 per share in the ten-day period ending on November 10.
Implied volatilities in peers
Contrary to the trend in PSX, implied volatility in Delek US Holdings (DK) rose 0.1% since October 27 to the current level of 37.2%. Also, implied volatilities in HollyFrontier (HFC) and PBF Energy (PBF) rose 0.3% and 0.5%, respectively, to the current levels of 33.1% and 36.4%, respectively. DK stock price has risen 0.1% since October 27. Also, HFC and PBF stock prices rose 2.2% and 3.3%, respectively, in the same period.
The SPDR Dow Jones Industrial Average ETF (DIA) saw a fall in its implied volatility by 0.6% since October 27 to the current level of 9.3%. Also, the SPDR S&P 500 ETF (SPY) witnessed a decline in its implied volatility by 2.7% to 7.5%. However, since October 27, DIA and SPY have followed opposite trends. While SPY rose 0.4% since October 27, DIA fell 0.2%.