Implied volatility in BP
In the last part of this series, we looked at analyst ratings for BP (BP). In this part, we’ll look at changes in BP’s implied volatility. We’ll also estimate BP stock’s price range for the ten-day period ending May 11.
BP reported earnings on May 1. On that day, implied volatility in BP (BP) fell by 3.9 percentage points to 18.8%, which was lower than the 30-day average implied volatility, which stood at 21.2%. On the same day, BP stock price rose 0.5%.
Expected price range for BP stock for the ten-day period ending May 11
Considering BP’s implied volatility of 18.8% and assuming a normal distribution of prices (bell curve model) and standard deviation of one (with a probability of 68.2%), BP stock could close between $46.2 and $43.4 per share in the ten-day period ending May 11.
Peers’ implied volatility
Like BP, implied volatility in Total (TOT) and Statoil (STO) fell by 0.4 percentage points and 1.0 percentage points, respectively, over the previous day to 16.4% and 22.1% on May 1. Also, implied volatility in Royal Dutch Shell (RDS.A) fell by 0.5 percentage points to 16.4% on the same day. In terms of stock price change, TOT and PBR stock price fell by 0.8% and 2.3%, respectively, on May 1. Shell stock fell 1.2% on the same day.
On May 1, implied volatilities in the SPDR Dow Jones Industrial Average ETF (DIA) and the SPDR S&P 500 ETF (SPY) stood almost flat at 14.1% and 12.4%, respectively. While DIA fell 0.3%, SPY rose 0.2%.