Implied volatility in BP
In the previous part, we looked at the performance of BP (BP) stock compared to oil prices and the broader market in the past month. In this part, we’ll look at the stock’s price forecast for the 22-day period before its earnings release.
BP is expected to post its Q3 2018 earnings on October 30. The price forecast will be based on the current level of implied volatility in BP.
Implied volatility in BP has risen 4 percentage points since September 7 to its current level of 21.9%. During the same period, BP stock has risen 9%.
Expected price for BP stock through October 30
Considering BP’s implied volatility of 21.9% and assuming a normal distribution of prices (bell curve model) and a standard deviation of one (with a probability of 68.2%), BP stock could close between $48.30 per share and $43.30 per share in the 22-day period ending October 30.
Implied volatilities for peers
Implied volatilities in Petrobras (PBR) and Eni (E) have risen 3.7 percentage points and 1.3 percentage points, respectively, since September 7. Currently, implied volatilities in Petrobras and Eni are 69.4% and 25.4%, respectively. Implied volatility in Total (TOT) has risen 2.3 percentage points since September 7 to the current level of 22.1%.
Petrobras, Eni, and Total stocks have risen 39.3%, 0.6%, and 3.5%, respectively, in the same period.
In the next part, we’ll look at analysts’ ratings for BP ahead of its third-quarter earnings.