EPP Options History — March 2008

In March 2008, EPP traded between $43.09 and $45.50. ATM implied volatility averaged 41.6%. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 2.5% (HV 20d: 39.1%). Max pain ranged from $43.33 to $43.33. Net GEX was positive for 3 of 17 trading days. Term structure was in contango for 1 of 17 days. Put/call ratio averaged 3.62.

Notable Days

  • 2008-03-25: Highest Volume — 327 contracts
  • 2008-03-10: Largest IV spike — 7.3% change
  • 2008-03-19: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.49$43.09$45.50$44.95$45.19
Max Pain$43.33$43.33$43.33$43.33$43.33
ATM IV41.6%35.9%46.6%35.9%43.7%
Expected Move11.9%10.3%13.3%10.3%12.5%
HV 20d39.1%38.4%39.8%39.8%38.4%
Term Structure-3.8%-6.8%0.9%0.9%-3.2%
VWIV36.8%30.0%46.4%37.7%31.5%
Skew 25d6.7%3.6%12.2%4.1%7.7%
Skew 10d6.6%-3.7%15.8%15.8%-3.7%
Call IV 25d33.5%28.0%42.2%34.1%32.6%
Put IV 25d40.1%31.6%47.0%38.2%40.3%
Bid-Ask Spread %95.1249.20109.6456.07109.64
Gamma HHI0.540.300.880.880.42
Net GEX-25.1K-93.8K6.0K0-17.0K
Net DEX123.0K-257.8K1.1M0-189.8K
Net VEX-2.6K-5.5K00-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.620.0025.000.070.00
Total Volume84.706032700
Total OI482.11809960996

Daily Data (17 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-06$44.95$0.0035.9%10.3%0.0%0.0%0.0%4.1%0.9%0000.0056.07N/AN/A0000
2008-03-07$43.89$0.0036.9%10.8%0.0%0.0%37.7%3.6%-5.4%0000.0799.79N/AN/A90600
2008-03-10$43.20$43.3339.6%10.9%0.0%0.0%33.2%3.9%-6.3%6.0K-174.1K-1.2K25.0099.89N/AN/A375903
2008-03-11$45.50$43.3338.0%11.1%0.0%0.0%34.5%8.9%-4.4%3.1K-191.4K-1.4K2.9498.05N/AN/A511509378
2008-03-12$44.83$43.3339.5%11.3%0.0%0.0%0.0%5.7%-4.4%-56.1K119.1K-2.2K0.0097.10N/AN/A00144228
2008-03-13$44.89$43.3339.7%11.4%0.0%0.0%0.0%7.9%-5.8%-58.5K91.3K-2.1K0.0097.50N/AN/A00144228
2008-03-14$44.04$43.3341.5%11.9%0.0%0.0%0.0%12.2%-5.5%-55.7K276.4K-2.0K0.0097.96N/AN/A00144228
2008-03-17$43.09$43.3343.9%12.6%0.0%0.0%0.0%6.5%-6.8%-30.1K439.5K-1.8K0.0795.79N/AN/A906144228
2008-03-18$44.78$43.3344.3%12.7%0.0%0.0%0.0%6.6%-5.5%-93.8K147.9K-1.9K0.9592.55N/AN/A6360144228
2008-03-19$43.16$43.3346.6%13.3%0.0%0.0%46.4%7.6%-4.8%3.2K741.7K-1.6K4.1795.24N/AN/A36150204288
2008-03-20$43.22$43.3345.0%12.9%0.0%0.0%0.0%9.0%-3.4%-14.4K1.1M-2.3K0.0098.86N/AN/A00240438
2008-03-24$44.71$43.3343.8%12.5%0.0%0.0%44.9%4.8%-2.5%-10.8K-29.7K-2.2K0.0049.20N/AN/A0300141198
2008-03-25$45.25$43.3342.2%12.1%0.0%0.0%36.1%3.8%-1.9%-57.0K372.5K-3.4K0.02106.00N/AN/A3216141495
2008-03-26$45.38$43.3342.0%12.1%0.0%0.0%30.0%6.2%-2.5%-16.4K-187.3K-5.4K0.00107.35N/AN/A150462501
2008-03-27$45.11$43.3342.8%12.3%0.0%0.0%0.0%6.2%-2.5%-15.4K-164.8K-5.5K3.00107.30N/AN/A39477501
2008-03-28$45.11$43.3342.1%12.1%39.8%0.0%31.5%8.7%-1.6%-13.7K-257.8K-5.4K0.00108.77N/AN/A60480510
2008-03-31$45.19$43.3343.7%12.5%38.4%0.0%0.0%7.7%-3.2%-17.0K-189.8K-5.1K0.00109.64N/AN/A00486510