Dow & DuPont Drive Materials Sector Volatility

Posted by ORATS Team on 12/9/15 4:24 PM

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ORATS ETF Component Report News: We have been seeing low implied volatility correlation in the XLB Materials components over the past days and today it is becoming clear why. A massive merger between DuPont and Dow Chemical is reported in advanced stages. Both are up > 10% today driving the beleaguered XLB up 3%.

We also see XLB 5 day historical volatility above the 252 day and implied volatility, usually a negative sign. With the remarkable merger, at the least it looks like XLB has volatility in its future.DupontDowMerger1


Written by ORATS Team

ORATS is a premier options analytics vendor committed to uncovering untapped alpha-generating solutions. ORATS utilizes an advanced, proprietary volatility analysis to produce implied, forecast, and historical volatilities that have been proven to be more accurate market summarizations than those obtained from most commonly available sources.

Topics: Volatility

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