Phillips 66 Stock: Implied Volatility and Price Range



Implied volatility

In the previous part, we discussed analysts’ ratings for Phillips 66 (PSX). In this part, we’ll review the changes in the company’s implied volatility. We’ll also estimate Phillips 66’s stock price range for the seven-day period ending on August 6.

Phillips 66 reported its earnings on July 27. After the earnings, the implied volatility in Phillips 66 fell by 3.2 percentage points to the current level of 19.3%. The implied volatility is lower than the 30-day average implied volatility at 23.9%. Since July 27, Phillips 66’s stock price has risen 5.3%.

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Expected price range

Considering Phillips 66’s implied volatility of 19.3% and assuming a normal distribution of prices (bell curve model) and a standard deviation of one (with a probability of 68.2%), Phillips 66’s stock price could close between $125.4 and $118.9 per share in the next seven-day period ending on August 6.

Peers’ implied volatilities

The implied volatility in Delek US Holdings (DK) has risen 0.4% since July 27 to 43.6%. The implied volatility in HollyFrontier (HFC) and PBF Energy (PBF) has increased 1.0% and 1.2% to 37.8% and 36.7%, respectively. Delek US Holdings’ stock price has risen 1.2% since July 27. HollyFrontier and PBF Energy’s stock prices have risen 0.7% and 0.4%, respectively, during the same period.

The implied volatility in the SPDR Dow Jones Industrial Average ETF (DIA), which represents the Dow Jones Industrial Average, has risen by 1.2 percentage points since July 27 to 11.4%. The implied volatility in the SPDR S&P 500 ETF (SPY), which represents the S&P 500 Index, has risen by 1.7 percentage points since July 27 to 9.8%. If we consider their values since July 27, DIA and SPY have fallen 0.9% and 1.2%, respectively.


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