How Will Chevron Trend Leading Up to Its Second-Quarter Results?


Jul. 17 2018, Updated 7:33 a.m. ET

Implied volatility in Chevron

In this article, we’ll look at Chevron’s (CVX) stock price forecast range for the 16-day period leading up to its earnings based on its implied volatility. Chevron is expected to post its second-quarter earnings on July 27.

Implied volatility in Chevron has risen 4.5 percentage points over June 11 to its current level of 21.9%. During the same period, Chevron stock has fallen 3.2%.

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Expected price range for Chevron stock for the 16-day period ending July 27

Considering Chevron’s implied volatility of 21.9% and assuming a normal distribution of prices (using the bell curve model) and a standard deviation of one (with a probability of 68.2%), Chevron stock could close between $129.2 and $117.9 per share in the 16-day period ending on July 27.

Peers’ implied volatilities

Implied volatility in PetroChina (PTR) has also increased by 0.9 percentage points over June 11 to 28.1%. The implied volatilities in YPF (YPF) and Eni (E) have risen 11.0 percentage points and 4.5 percentage points, respectively, in the same period. YPF’s and E’s implied volatilities currently stand at 46.1% and 26.3%, respectively. In the stated period, PTR’s and YPF’s stock prices have fallen 13.8% and 17.8%, respectively, but Eni’s stock price has risen 2.8% since June 11.

The implied volatilities in the SPDR Dow Jones Industrial Average ETF (DIA) and the SPDR S&P 500 ETF (SPY), which closely track the Dow Jones Industrial Average and the S&P 500 Index, respectively, have also risen in the past month. Their implied volatilities have risen 1.1 percentage points and 1.3 percentage points, respectively, since June 11 to their current levels of 11.9% and 9.6%, respectively. However, in the same period, DIA and SPY have fallen 2.5% and 0.6%, respectively.

In the next article, we’ll review where analysts’ ratings for Chevron stand ahead of its earnings.


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