Implied volatility in Shell
In this part, we’ll look at changes in Shell’s implied volatility. We’ll also estimate Shell’s stock price range for the eight days ending February 8, 2019.
Royal Dutch Shell (RDS.A) published earnings on January 31, 2019. On the day, implied volatility in Shell fell by 0.4 percentage points over the previous day to 21.0%, which was lower than Shell’s 30-day average implied volatility of 22.3%. On the same day, Shell’s stock price rose by 3.6%.
Expected price range for Shell stock for eight days ending on February 8
Considering Shell’s implied volatility of 21.0% and assuming a normal distribution of prices (bell curve model) and standard deviation of one (with a probability of 68.2%), Shell stock could close between $63.7 and $59.8 per share in the next eight days ending February 8, 2019.
Peers’ implied volatility
Like Shell, implied volatility in Suncor Energy (SU) also fell by 0.1 percentage points over the previous day to 24.9% on January 31, 2019. Also, implied volatilities in ExxonMobil (XOM) and Chevron (CVX) decreased by 0.3 percentage points and 0.2 percentage points, respectively, to 20.5% and 23.0%, respectively, on the day.
If we consider these companies’ stock prices, then Suncor, ExxonMobil, and Chevron rose by 0.2%, 1.4%, and 1.5%, respectively, on January 31.