Implied volatility in ExxonMobil
In this part of the series, we’ll look at changes in ExxonMobil’s (XOM) implied volatility. We’ll also estimate ExxonMobil’s stock price range for the seven-day period ending May 4.
ExxonMobil (XOM) reported earnings on April 27. On the day, implied volatility in XOM dropped by 4.1 percentage points to 15.7% compared to the previous day. This implied volatility on April 27 was lower than the 30-day average implied volatility, which stood at 19.5%. On the same day, ExxonMobil’s stock price fell 3.8%.
Expected price range for ExxonMobil stock for the 7-day period ending May 4
Considering ExxonMobil’s implied volatility of 15.7% and assuming a normal distribution of prices (bell curve model) and standard deviation of one (with a probability of 68.2%), ExxonMobil stock could close between $79.5 and $76.1 per share in the seven-day period ending May 4.
Peers’ implied volatility
Like ExxonMobil, implied volatility in Statoil (STO) fell by 0.3 percentage points over the previous day to 22.2% on April 27. Also, implied volatilities in Total (TOT) and Petrobras (PBR) fell 1.3 percentage points and 1.8 percentage points, respectively, to 16.1% and 35.4%, respectively, on April 27. In terms of stock price change, STO and TOT fell 0.1% and 0.7%, respectively, but PBR rose 0.6% on the same day.
The SPDR Dow Jones Industrial Average ETF (DIA) saw a fall in its implied volatility by 0.7 percentage points to 13.7% on April 27. Also, the SPDR S&P 500 ETF (SPY) witnessed a fall in its implied volatility by 1.3 percentage points to 11.8% on the day. However, on April 27, while SPY rose 0.1%, DIA fell 0.1%.