EPP Options History — April 2008

In April 2008, EPP traded between $45.91 and $49.35. ATM implied volatility averaged 32.6%. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 3.6% (HV 20d: 29.0%). Max pain ranged from $40.00 to $48.33. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.15.

Notable Days

  • 2008-04-16: Highest Volume — 342 contracts
  • 2008-04-07: Largest IV drop — 15.4% change
  • 2008-04-01: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.76$45.91$49.35$46.57$48.70
Max Pain$44.70$40.00$48.33$43.33$48.33
ATM IV32.6%27.5%40.4%40.4%32.1%
Expected Move9.5%7.9%11.6%11.6%9.2%
HV 20d29.0%22.7%38.9%38.9%23.0%
Term Structure0.6%-1.8%5.8%-0.3%0.1%
VWIV31.2%20.1%34.0%32.6%32.2%
Skew 25d4.8%-2.1%17.7%3.4%2.3%
Skew 10d2.3%-5.9%16.2%6.7%-4.8%
Call IV 25d29.1%15.4%36.4%33.1%30.4%
Put IV 25d33.9%25.3%36.7%36.5%32.7%
Bid-Ask Spread %79.0526.10116.22112.7689.23
Gamma HHI0.430.290.660.420.38
Net GEX-10.8K-181.2K86.0K-1.7K49.1K
Net DEX-440.8K-1.3M661.4K-601.3K-1.1M
Net VEX-5.4K-7.2K-3.7K-4.9K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.009.090.080.00
Total Volume540342390
Total OI1,214.4559241,7379961,104

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$46.57$43.3340.4%11.6%38.9%0.0%32.6%3.4%-0.3%-1.7K-601.3K-4.9K0.08112.76N/AN/A363486510
2008-04-02$46.69$48.3339.8%11.4%37.8%0.0%0.0%6.0%-1.4%7.5K-633.9K-5.0K0.00113.61N/AN/A60519513
2008-04-03$47.68$48.3336.0%10.3%37.3%0.0%33.0%3.9%0.6%30.2K-984.4K-4.8K0.00116.22N/AN/A1110525513
2008-04-04$48.01$40.0034.2%10.6%36.4%0.0%0.0%-2.1%1.3%49.5K-1.3M-4.5K0.0093.08N/AN/A30591513
2008-04-07$47.99$40.0028.9%9.2%35.0%0.0%0.0%3.9%2.4%86.0K-1.3M-4.3K9.0931.62N/AN/A33300594513
2008-04-08$47.95$40.0028.7%9.0%34.2%0.0%0.0%5.2%3.2%-34.7K-405.0K-5.0K0.0066.82N/AN/A30567813
2008-04-09$46.83$40.0030.6%9.4%30.9%0.0%34.0%4.8%2.0%-62.2K294.8K-4.8K0.0026.10N/AN/A60570813
2008-04-10$46.80$40.0029.1%8.3%30.3%0.0%0.0%4.5%2.4%-56.5K291.4K-4.8K0.0065.91N/AN/A00576813
2008-04-11$46.23$40.0030.5%8.8%30.7%0.0%0.0%5.3%2.1%-52.4K453.1K-4.4K0.0027.73N/AN/A00576813
2008-04-14$45.91$40.0032.7%9.4%29.9%0.0%31.2%12.9%0.5%-52.0K650.8K-3.7K0.0075.95N/AN/A90576813
2008-04-15$46.66$40.0033.3%9.5%28.9%0.0%20.1%17.7%1.0%-47.6K312.4K-3.8K0.0078.16N/AN/A210573813
2008-04-16$48.32$40.0030.9%8.9%28.4%0.0%31.4%2.8%0.4%-49.0K-637.0K-4.1K7.1476.06N/AN/A42300594813
2008-04-17$47.55$48.3327.5%7.9%25.2%0.0%0.0%2.4%5.8%-137.5K661.4K-5.6K0.0075.08N/AN/A006241,113
2008-04-18$47.69$48.3331.5%9.0%25.2%0.0%0.0%4.2%0.3%-181.2K571.4K-5.4K0.0078.48N/AN/A01206241,113
2008-04-21$48.67$48.3332.8%9.4%23.5%0.0%32.9%8.1%-1.4%16.8K-596.9K-6.0K1.0078.96N/AN/A99489435
2008-04-22$48.47$48.3332.8%9.4%23.5%0.0%0.0%3.0%-1.8%16.5K-510.6K-5.9K0.00104.67N/AN/A00489435
2008-04-23$49.35$48.3331.8%9.1%24.0%0.0%31.6%3.0%0.1%18.1K-865.9K-5.8K0.0082.89N/AN/A1530498429
2008-04-24$48.96$48.3333.2%9.5%24.1%0.0%32.3%2.5%-0.5%36.8K-1.1M-7.2K0.0081.17N/AN/A90651429
2008-04-25$48.83$48.3333.6%9.6%24.2%0.0%32.1%2.4%-0.9%39.2K-1.1M-7.2K0.0083.55N/AN/A30660429
2008-04-28$48.72$48.3334.3%9.8%24.3%0.0%32.2%1.0%-1.1%42.3K-1.1M-6.9K0.0096.85N/AN/A120663429
2008-04-29$48.18$48.3332.8%9.4%22.7%0.0%0.0%8.0%-0.4%46.4K-788.9K-6.9K0.0084.17N/AN/A00675429
2008-04-30$48.70$48.3332.1%9.2%23.0%0.0%0.0%2.3%0.1%49.1K-1.1M-6.8K0.0089.23N/AN/A00675429