EMLP Options History — December 2015 In December 2015, EMLP traded between $19.14 and $21.50. ATM implied volatility averaged 127.4%, placing in the 56.6% IV rank vs the trailing year. The 30-day expected move averaged 32.6%. IV traded above realized volatility by 102.2% (HV 20d: 25.2%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2015-12-02 : Highest Volume — 70 contracts2015-12-09 : Largest IV drop — 60.6% change2015-12-07 : Highest IV Rank — 86.6%2015-12-31 : Largest Expected Move — 43.9%Monthly Statistics Metric Avg Min Max Open Close Price $19.96 $19.14 $21.50 $21.50 $20.20 Max Pain $22.00 $22.00 $22.00 $22.00 $22.00 ATM IV 127.4% 73.7% 187.1% 110.1% 153.0% Expected Move 32.6% 21.1% 43.9% 31.6% 43.9% HV 20d 25.2% 18.5% 29.6% 18.5% 28.6% HV 60d 24.5% 21.5% 26.5% 22.8% 21.6% IV Rank 56.6% 29.7% 86.6% 48.0% 69.5% IV Percentile 75.7% 14.7% 99.6% 71.4% 92.5% Term Structure -47.3% -67.8% -31.7% -47.3% -67.8% VWIV 155.0% 155.0% 155.0% 155.0% 155.0% Skew 25d 18.8% 8.4% 94.0% 13.3% 9.3% Skew 10d 50.7% 35.1% 63.0% 50.9% 63.0% Call IV 25d 140.6% 51.4% 190.6% 183.4% 114.7% Put IV 25d 159.4% 121.8% 199.8% 196.7% 124.1% Bid-Ask Spread % 151.93 146.56 153.53 147.72 153.25 Gamma HHI 0.85 0.68 1.00 0.68 1.00 Net GEX 540 0 2.3K 2.0K 0 Net DEX -15.9K -77.4K 0 -77.4K 0 Net VEX -28 -135 0 -135 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 38.182 0 70 0 0 Total OI 48.364 0 76 76 0
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 2015-12-01 $21.50 $22.00 110.1% 31.6% 18.5% 48.0% 0.0% 13.3% -47.3% 2.0K -77.4K -135 0.00 147.72 0 0 76 0 2015-12-02 $20.93 $22.00 115.5% 33.1% 18.8% 50.6% 155.0% 8.4% -54.7% 1.9K -67.3K -120 0.00 146.56 70 0 76 0 2015-12-03 $20.48 $0.00 151.8% 25.7% 19.4% 68.9% 0.0% 10.1% -31.7% 1.8K -60.3K -108 0.00 153.28 70 0 76 0 2015-12-04 $20.07 $0.00 159.0% 26.3% 20.0% 72.5% 0.0% 10.1% -34.2% 1.7K -56.8K -103 0.00 151.21 70 0 76 0 2015-12-07 $19.42 $0.00 187.1% 28.6% 21.3% 86.6% 0.0% 92.8% -37.2% 2.0K -41.3K -81 0.00 151.55 0 0 76 0 2015-12-08 $19.44 $0.00 187.0% 28.9% 21.5% 86.5% 0.0% 94.0% -38.1% 13 -11 0 0.00 151.47 70 0 76 0 2015-12-09 $20.06 $0.00 73.7% 21.1% 25.4% 29.7% 0.0% 10.9% -39.0% 2.3K -45.9K -76 0.00 151.52 70 0 76 0 2015-12-10 $19.85 $0.00 75.1% 21.5% 25.4% 30.4% 0.0% 11.6% -41.2% 41 -34 0 0.00 152.83 70 0 76 0 2015-12-11 $19.31 $0.00 105.6% 30.3% 25.2% 45.7% 0.0% 12.0% -42.1% 0 0 0 0.00 152.59 70 0 76 0 2015-12-14 $19.14 $0.00 111.0% 31.8% 25.2% 48.4% 0.0% 12.6% -47.0% 0 0 0 0.00 152.22 70 0 76 0 2015-12-15 $19.31 $0.00 112.3% 32.2% 23.4% 49.1% 0.0% 12.1% -47.4% 0 0 0 0.00 152.56 70 0 76 0 2015-12-16 $19.88 $0.00 109.4% 31.4% 26.5% 47.6% 0.0% 12.0% -49.0% 0 0 0 0.00 152.49 70 0 76 0 2015-12-17 $19.56 $0.00 111.8% 32.1% 26.5% 48.8% 0.0% 11.9% -51.4% 0 0 0 0.00 152.39 70 0 76 0 2015-12-18 $19.44 $0.00 117.2% 33.6% 26.5% 51.5% 0.0% 12.2% -49.8% 0 0 0 0.00 152.64 70 0 76 0 2015-12-21 $19.58 $0.00 120.4% 34.5% 26.9% 53.1% 0.0% 13.2% -44.6% 0 0 0 0.00 151.53 0 0 0 0 2015-12-22 $19.94 $0.00 121.9% 34.9% 28.1% 53.9% 0.0% 13.5% -44.4% 0 0 0 0.00 151.84 0 0 0 0 2015-12-23 $20.37 $0.00 123.0% 35.2% 29.4% 54.4% 0.0% 12.7% -43.7% 0 0 0 0.00 153.32 0 0 0 0 2015-12-24 $20.39 $0.00 125.5% 36.0% 29.4% 55.7% 0.0% 12.2% -45.5% 0 0 0 0.00 153.51 0 0 0 0 2015-12-28 $20.15 $0.00 139.9% 40.1% 29.6% 62.9% 0.0% 9.1% -57.5% 0 0 0 0.00 152.27 0 0 0 0 2015-12-29 $20.14 $0.00 144.0% 41.3% 29.6% 65.0% 0.0% 9.4% -60.8% 0 0 0 0.00 153.53 0 0 0 0 2015-12-30 $20.01 $0.00 149.0% 42.7% 29.6% 67.5% 0.0% 9.4% -65.5% 0 0 0 0.00 152.18 0 0 0 0 2015-12-31 $20.20 $0.00 153.0% 43.9% 28.6% 69.5% 0.0% 9.3% -67.8% 0 0 0 0.00 153.25 0 0 0 0
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