Crude oil’s implied volatility
Crude oil’s (USO) (OIIL) implied volatility was 39.71 on June 17, 2016. Its 15-day average implied volatility is 36.16. This means that its current level is 9.8% above its 15-day average.
Crude oil’s implied volatility spiked to 48.0 on May 16. Since then, its implied volatility has fallen by 17.2% to date. Last week, crude oil fell by 2.2%.
What about natural gas?
Natural gas’s (UNG) (GASL) implied volatility was 40.83 on June 17, 2016. Its 15-day average implied volatility is 41.77. This means that its current level of implied volatility is 2.3% below its 15-day average.
Natural gas’s implied volatility spiked to 58.7 on May 24, 2016. Since then, its implied volatility has fallen by 30.4% to date. Last week, natural gas futures rose by 2.6%.
Energy stocks
This analysis could be important for upstream oil and gas stocks such as Abraxas Petroleum (AXAS), Triangle Petroleum (TPLM), Gulfport Energy (GPOR), and Comstock Resources (CRK).
In the next part of this series, we’ll look at some key macroeconomic indicators for crude oil.
