Implied volatility in Valero
In the previous part of this series, we looked at analyst ratings for Valero Energy (VLO). In this part, we’ll look at changes in VLO’s implied volatility. We’ll also estimate Valero stock’s price range for the eight-day period ending February 9, 2018.
Valero reported earnings on February 1, 2018. On the day, implied volatility in Valero fell by 3.3% over the previous day to 24.4%, which is higher than its 30-day average implied volatility of 22.8%. On the same day, Valero stock fell 1.3%.
Expected price range for Valero stock for eight-day period ending on February 9
Considering Valero’s implied volatility of 24.4% and assuming a normal distribution of prices (bell curve model) and a standard deviation of one (with a probability of 68.2%), Valero stock could close between $98.1 and $91.3 per share in the eight-day post-earnings period, which ends on February 9.
Peers’ implied volatility
Like VLO, implied volatilities in PBF Energy (PBF) and Delek US Holdings (DK) fell 1.0% and 0.4%, respectively, to 34.8% and 36.6%, respectively, on February 1. However, implied volatility in HollyFrontier (HFC) rose 0.1% over the previous day to 34.1% on February 1. HFC stock fell 0.7% on the day. Also, PBF and DK stock prices fell 0.2% and 1.1%, respectively, on February 1.
Implied volatility in the SPDR Dow Jones Industrial Average ETF (DIA) fell 0.1% over the previous day to 12.3% on February 1. However, the SPDR S&P 500 ETF (SPY) witnessed a rise in its implied volatility by 0.3% to 11.4% on the day. Considering the values, on February 1, DIA rose 0.1%, but SPY fell 0.1%.