EMLP Options History — September 2016

In September 2016, EMLP traded between $24.50 and $25.69. ATM implied volatility averaged 97.5%, placing in the 45.5% IV rank vs the trailing year. The 30-day expected move averaged 25.8%. IV traded above realized volatility by 80.7% (HV 20d: 16.8%). Max pain ranged from $20.00 to $24.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 3.95.

Notable Days

2016-09-16: Highest Volume — 64 contracts
2016-09-08: Largest IV spike — 102.7% change
2016-09-08: Highest IV Rank — 82.6%
2016-09-02: Largest Expected Move — 37.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.11	$24.50	$25.69	$24.50	$25.38
Max Pain	$21.38	$20.00	$24.00	$24.00	$21.00
ATM IV	97.5%	43.2%	165.2%	128.7%	104.7%
Expected Move	25.8%	20.5%	37.2%	36.9%	30.0%
HV 20d	16.8%	9.9%	19.2%	9.9%	19.2%
HV 60d	14.2%	12.8%	15.6%	12.8%	14.0%
IV Rank	45.5%	15.7%	82.6%	62.6%	49.4%
IV Percentile	34.4%	0.4%	92.9%	75.4%	49.2%
Term Structure	-31.8%	-59.8%	-23.9%	-53.4%	-34.8%
VWIV	92.8%	49.5%	122.0%	122.0%	99.9%
Skew 25d	-13.1%	-74.1%	42.2%	33.6%	3.0%
Skew 10d	29.5%	-56.0%	43.1%	36.8%	20.4%
Call IV 25d	119.8%	98.4%	150.7%	150.3%	141.8%
Put IV 25d	106.7%	33.9%	192.9%	183.9%	144.8%
Bid-Ask Spread %	147.50	101.04	155.35	155.35	150.84
Gamma HHI	0.58	0.22	1.00	1.00	0.27
Net GEX	-1.1K	-4.6K	241	63	-1.3K
Net DEX	5.9K	-4.5K	16.5K	-2.9K	188
Net VEX	-76	-175	-1	-4	-107
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.95	0.00	10.00	0.00	4.30
Total Volume	33.048	1	64	1	53
Total OI	46.429	2	87	2	86

Daily Data (21 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
2016-09-01	$24.50	$24.00	128.7%	36.9%	9.9%	62.6%	122.0%	33.6%	-53.4%	63	-2.9K	-4	0.00	155.35	1	0	2	0
2016-09-02	$24.83	$24.00	129.7%	37.2%	11.0%	63.2%	120.8%	42.2%	-59.8%	63	-3.0K	-4	0.00	153.98	1	0	2	0
2016-09-06	$25.22	$0.00	152.2%	20.6%	11.8%	75.5%	0.0%	7.9%	-23.9%	64	-3.1K	-3	0.00	149.84	1	0	2	0
2016-09-07	$25.40	$0.00	81.5%	20.8%	12.0%	36.7%	0.0%	8.0%	-24.0%	87	-3.3K	-3	0.00	149.90	1	0	2	0
2016-09-08	$25.69	$0.00	165.2%	20.5%	12.4%	82.6%	0.0%	8.2%	-25.7%	80	-3.4K	-3	0.00	149.96	1	0	2	0
2016-09-09	$24.97	$0.00	94.2%	21.4%	16.2%	43.7%	0.0%	8.0%	-26.5%	104	-3.1K	-3	0.00	149.95	1	0	2	0
2016-09-12	$25.18	$0.00	43.2%	22.2%	16.3%	15.7%	0.0%	8.5%	-28.0%	241	-4.5K	-1	10.00	149.86	1	10	2	0
2016-09-13	$24.53	$0.00	68.0%	22.7%	18.8%	29.3%	0.0%	8.4%	-31.0%	-2.6K	15.8K	-8	10.00	149.75	1	10	2	10
2016-09-14	$24.57	$0.00	80.3%	23.0%	18.8%	36.1%	0.0%	8.6%	-31.7%	-2.9K	16.3K	-6	10.00	149.96	1	10	2	10
2016-09-15	$24.70	$0.00	81.5%	23.4%	18.9%	36.8%	55.4%	-55.8%	-35.7%	-4.6K	15.7K	-4	5.10	101.04	10	51	2	10
2016-09-16	$24.80	$20.00	83.5%	24.0%	18.2%	37.9%	49.5%	-74.1%	-41.6%	-657	16.5K	-84	4.82	133.10	11	53	11	51
2016-09-19	$25.10	$21.00	86.1%	24.7%	18.5%	39.3%	92.6%	-42.1%	-27.6%	-1.4K	10.6K	-161	4.30	148.92	10	43	11	76
2016-09-20	$25.04	$21.00	87.2%	25.0%	18.5%	39.9%	89.4%	-72.6%	-24.5%	-1.3K	12.8K	-175	4.30	150.53	10	43	11	76
2016-09-21	$25.28	$21.00	87.8%	25.2%	18.7%	40.2%	90.1%	-38.2%	-23.9%	-1.2K	9.6K	-166	4.30	150.73	10	43	11	76
2016-09-22	$25.55	$21.00	87.0%	24.9%	18.8%	39.7%	93.2%	-18.4%	-26.1%	-1.2K	10.3K	-161	4.30	150.47	10	43	10	76
2016-09-23	$25.33	$21.00	90.7%	26.0%	19.1%	41.8%	92.5%	-30.0%	-25.7%	-1.2K	10.6K	-157	4.30	150.75	10	43	10	76
2016-09-26	$25.26	$21.00	96.2%	27.6%	18.9%	44.8%	97.0%	-41.0%	-29.4%	-1.2K	11.4K	-150	4.30	150.66	10	43	10	76
2016-09-27	$25.15	$21.00	98.4%	28.2%	19.0%	46.0%	98.4%	-48.3%	-31.1%	-1.3K	11.6K	-147	4.30	150.55	10	43	10	76
2016-09-28	$25.46	$21.00	99.8%	28.6%	19.2%	46.8%	102.0%	6.6%	-31.3%	-1.3K	4.5K	-128	4.30	150.64	10	43	10	76
2016-09-29	$25.36	$21.00	102.3%	29.3%	19.2%	48.1%	96.9%	3.0%	-33.2%	-1.3K	469	-114	4.30	150.77	10	43	10	76
2016-09-30	$25.38	$21.00	104.7%	30.0%	19.2%	49.4%	99.9%	3.0%	-34.8%	-1.3K	188	-107	4.30	150.84	10	43	10	76