Estimated price range
The implied volatility in Royal Dutch Shell (RDS.A) has risen by nine percentage points compared to October 1 to the current level of 26%. During the same period, Shell stock has declined 15%. The implied volatility in Shell stock and its stock price have moved inversely during the quarter.
Considering Shell’s implied volatility of 26% and assuming a normal distribution of prices (bell curve model) and standard deviation of one (with a probability of 68.2%), Shell’s stock price could close between $62.6 and $55.1 per share in the next 21 calendar days ending on December 31.
Peers’ implied volatilities
Similarly, the implied volatilities in Shell’s peers have risen. The implied volatility in PetroChina (PTR) has increased by four percentage points compared to October 1 to 33%. The implied volatilities in Total (TOT) and YPF (YPF) have risen by nine percentage points and three percentage points, respectively, during the same period. Currently, the implied volatilities in Total and YPF are 28% and 48%, respectively. If we review their stock performances since October 1, then PetroChina, Total, and YPF stocks have fallen 18%, 17%, and 4%, respectively.
The implied volatilities in the SPDR Dow Jones Industrial Average ETF (DIA) and the SPDR S&P 500 ETF’s (SPY), which closely resemble the Dow Jones Industrial Average and the S&P 500 Index, respectively, have risen.
The implied volatilities in DIA and SPY have risen by 11 percentage points each compared to October 1 to the current level of 21% and 19%, respectively. During the same period, DIA and SPY’s values have fallen 8% and 9%, respectively.
Next, we’ll discuss Shell’s dividend yield trend.