Implied volatility in Shell
In this post-earnings release series, we’ve looked at analyst ratings for Royal Dutch Shell (RDS.A). In this part, we will look at changes in Shell’s implied volatility. We’ll also estimate Shell’s stock price range for the eight-day period ending August 3, 2018.
Royal Dutch Shell (RDS.A) released earnings on July 26. On the day, implied volatility in Shell fell by 1.9 percentage points over the previous day to 17.8%. This was also lower than Shell’s 30-day average implied volatility of 19.6%. On the same day, Shell’s stock price fell by 3.7%.
Expected price range for Shell stock for eight-day period ending on August 3
Considering Shell’s implied volatility of 17.8% and assuming a normal distribution of prices (bell curve model) and a standard deviation of one (with a probability of 68.2%), Shell stock could close between $69.5 and $66.0 per share in the eight-day period ending on August 3, 2018.
Peers’ implied volatility
Like Shell, implied volatility in ExxonMobil (XOM) also fell by 0.8 percentage points over the previous day to 17.0% on July 26. Also, implied volatilities in Total (TOT) and Suncor Energy (SU) decreased by 3.3 percentage points and 4.6 percentage points, respectively, to 15.1% and 19.1%, respectively, on the day. XOM, TOT, and SU stock prices rose by 0.8%, 1.1%, and 2.1%, respectively, on the day.
Implied volatility in the SPDR Dow Jones Industrial Average ETF (DIA), which represents the Dow Jones Industrial Average, stood flat over the previous day to 10.2% on July 26. However, implied volatility in the SPDR S&P 500 ETF (SPY), which represents the S&P 500 Index, fell by 0.3 percentage points to 8.2% on the day. Also, if we consider their values on July 26, then DIA rose by 0.4%, but SPY fell by 0.2%.