EMLP Options History — June 2015 In June 2015, EMLP traded between $25.39 and $27.19. ATM implied volatility averaged 95.2%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 24.3%. IV traded above realized volatility by 84.3% (HV 20d: 10.9%). Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.16.
Notable Days 2015-06-29 : Highest Volume — 27 contracts2015-06-10 : Largest IV drop — 48.0% change2015-06-09 : Highest IV Rank — 64.5%2015-06-30 : Largest Expected Move — 32.7%Monthly Statistics Metric Avg Min Max Open Close Price $26.24 $25.39 $27.19 $27.19 $25.39 ATM IV 95.2% 74.6% 143.5% 76.4% 113.9% Expected Move 24.3% 19.8% 32.7% 21.9% 32.7% HV 20d 10.9% 9.2% 12.5% 10.5% 12.5% HV 60d 10.9% 9.9% 12.1% 12.1% 11.0% IV Rank 40.0% 29.6% 64.5% 30.6% 49.5% IV Percentile 56.9% 23.6% 94.4% 31.1% 80.4% Term Structure -34.6% -46.8% -24.6% -36.4% -46.8% Skew 25d 10.5% 7.7% 24.1% 11.0% 12.7% Skew 10d 39.2% 30.0% 48.0% 38.3% 47.6% Call IV 25d 119.1% 94.1% 154.6% 131.7% 154.6% Put IV 25d 129.7% 101.8% 167.3% 142.7% 167.3% Bid-Ask Spread % 150.04 149.13 151.01 150.49 150.77 Gamma HHI 0.53 0.51 0.62 0.55 0.57 Net GEX 797 639 1.1K 686 1.1K Net DEX -23.3K -26.4K -21.6K -23.8K -26.0K Net VEX -156 -186 -138 -148 -186 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.16 0.00 0.18 0.16 0.13 Total Volume 19.955 3 27 22 27 Total OI 26.045 23 33 23 33
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2015-06-01 $27.19 $0.00 76.4% 21.9% 10.5% 30.6% 0.0% 11.0% -36.4% 686 -23.8K -148 0.16 150.49 19 3 20 3 2015-06-02 $27.15 $0.00 78.7% 22.6% 10.5% 31.7% 0.0% 11.2% -38.8% 705 -23.5K -147 0.00 150.50 3 0 20 3 2015-06-03 $26.80 $0.00 81.7% 23.4% 10.9% 33.2% 0.0% 24.1% -43.2% 791 -26.4K -169 0.18 149.89 17 3 23 3 2015-06-04 $26.36 $0.00 116.6% 19.8% 11.6% 50.9% 0.0% 7.7% -24.6% 779 -24.2K -164 0.18 149.38 17 3 23 3 2015-06-05 $26.33 $0.00 120.8% 20.0% 11.6% 53.0% 0.0% 7.8% -25.2% 776 -24.1K -163 0.18 149.33 17 3 23 3 2015-06-08 $26.18 $0.00 136.8% 20.9% 10.6% 61.1% 0.0% 8.2% -27.8% 772 -23.4K -161 0.18 149.50 17 3 23 3 2015-06-09 $26.16 $0.00 143.5% 21.1% 10.6% 64.5% 0.0% 7.9% -28.6% 771 -23.2K -160 0.18 149.72 17 3 23 3 2015-06-10 $26.26 $0.00 74.6% 21.4% 10.7% 29.6% 0.0% 8.2% -29.0% 778 -23.7K -160 0.18 149.28 17 3 23 3 2015-06-11 $26.16 $0.00 75.8% 21.7% 10.5% 30.2% 0.0% 8.4% -30.1% 770 -23.3K -159 0.18 150.14 17 3 23 3 2015-06-12 $25.97 $0.00 77.1% 22.1% 10.4% 30.9% 0.0% 8.6% -31.7% 761 -22.4K -155 0.18 150.37 17 3 23 3 2015-06-15 $26.07 $0.00 80.5% 23.1% 9.4% 32.6% 0.0% 9.0% -34.2% 793 -22.4K -154 0.18 149.13 17 3 23 3 2015-06-16 $26.09 $0.00 81.8% 23.5% 9.2% 33.3% 0.0% 9.4% -35.2% 831 -21.8K -153 0.18 149.50 17 3 23 3 2015-06-17 $26.23 $0.00 83.0% 23.8% 9.7% 33.9% 0.0% 9.3% -35.7% 836 -22.5K -153 0.18 150.12 17 3 23 3 2015-06-18 $26.39 $0.00 84.1% 24.1% 10.2% 34.4% 0.0% 9.8% -36.1% 843 -23.4K -155 0.18 150.30 17 3 23 3 2015-06-19 $26.17 $0.00 86.0% 24.7% 10.2% 35.4% 0.0% 10.5% -38.4% 835 -22.1K -151 0.18 149.49 17 3 23 3 2015-06-22 $26.54 $0.00 88.4% 25.4% 11.8% 36.6% 0.0% 11.2% -33.5% 852 -24.1K -153 0.18 151.01 17 3 23 3 2015-06-23 $26.46 $0.00 92.0% 26.4% 10.9% 38.4% 0.0% 10.9% -31.7% 846 -24.4K -153 0.18 150.92 17 3 23 3 2015-06-24 $26.13 $0.00 94.7% 27.1% 11.5% 39.8% 0.0% 11.1% -34.6% 838 -22.7K -148 0.18 149.87 17 3 23 3 2015-06-25 $25.95 $0.00 97.2% 27.9% 11.6% 41.1% 0.0% 11.2% -37.0% 835 -21.6K -147 0.18 150.08 17 3 23 3 2015-06-26 $25.87 $0.00 99.6% 28.6% 11.5% 42.3% 0.0% 11.3% -39.1% 734 -22.3K -146 0.18 150.96 17 3 23 3 2015-06-29 $25.46 $0.00 110.5% 31.7% 12.5% 47.8% 0.0% 12.1% -43.9% 639 -21.6K -138 0.13 150.18 24 3 23 3 2015-06-30 $25.39 $0.00 113.9% 32.7% 12.5% 49.5% 0.0% 12.7% -46.8% 1.1K -26.0K -186 0.13 150.77 24 3 30 3
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