Implied volatility in Andeavor
In this part, we’ll look at Andeavor (ANDV) stock’s price forecast range for the ten-day period until its earnings release. ANDV is expected to post its 4Q17 earnings on February 15, 2018. This price range forecast is based on the current level of implied volatility in Andeavor.
Implied volatility in ANDV has risen sharply by 13.8% since January 2, 2018, to its current level of 32.9%. This is in line with the sharp rise in implied volatility witnessed by the broader market and other refining stocks.
For further analysis on the higher volatility in the market, please refer to Bracing for Higher Volatility in 2018. In the same period, Andeavor’s stock price has fallen 13.5%.
Price range for Andeavor stock
Andeavor’s stock price range is estimated considering ANDV’s implied volatility of 32.9%, assuming a normal distribution of prices, a standard deviation of 1.0, and a probability of 68.2%.
Andeavor’s stock price could close between $93.90 and $104.70 per share in the next ten calendar days ending on February 15, which is ANDV’s 4Q17 earnings release day.
Implied volatilities in peers
The implied volatilities in Valero Energy (VLO), Phillips 66 (PSX), and Delek US Holdings (DK) have risen steeply by 13.7%, 12.6%, and 10.6%, respectively, since January 2. Currently, VLO, PSX, and DK have implied volatility readings of 34.4%, 29.1%, and 42.6%, respectively.
The stock prices of VLO, PSX, and DK have fallen 3.3%, 6.4%, and 10.3%, respectively, since January 2, 2018.
The SPDR Dow Jones Industrial Average ETF (DIA) and the SPDR S&P 500 ETF’s (SPY) have observed steep rises in their implied volatilities. While implied volatility in DIA has risen 16.8% since January 2, it has risen 20.1% in SPY.
The implied volatilities in DIA and SPY currently stand at 25.1% and 27.8%, respectively. DIA and SPY saw their values fall 1.9% and 1.8%, respectively, since January 2.