EPP Options History — May 2008

In May 2008, EPP traded between $48.65 and $51.87. ATM implied volatility averaged 28.0%. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 4.3% (HV 20d: 23.7%). Max pain ranged from $48.33 to $50.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 9.74.

Notable Days

  • 2008-05-20: Highest Volume — 612 contracts
  • 2008-05-14: Largest IV drop — 9.7% change
  • 2008-05-01: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.28$48.65$51.87$49.20$50.09
Max Pain$49.60$48.33$50.00$48.33$50.00
ATM IV28.0%24.4%32.0%30.7%25.6%
Expected Move8.0%7.0%8.8%8.8%7.3%
HV 20d23.7%22.1%26.5%22.1%22.8%
HV 60d29.0%27.7%30.3%30.3%27.7%
Term Structure1.0%-1.8%2.2%0.4%1.7%
VWIV25.7%16.0%32.0%32.0%24.9%
Skew 25d3.1%-1.2%11.2%1.8%8.0%
Skew 10d-1.4%-10.3%8.0%-5.2%8.0%
Call IV 25d26.1%16.2%30.8%30.8%21.1%
Put IV 25d29.2%25.1%32.6%32.6%29.1%
Bid-Ask Spread %85.1065.3295.8191.4689.09
Gamma HHI0.320.260.380.380.28
Net GEX20.2K-108.9K140.7K52.6K-1.9K
Net DEX-1.3M-3.8M641.5K-1.3M-117.9K
Net VEX-7.7K-11.0K-5.0K-6.5K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.740.00101.000.204.00
Total Volume99.57106121815
Total OI1,471.5718341,8751,1041,875

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$49.20$48.3330.7%8.8%22.1%0.0%32.0%1.8%0.4%52.6K-1.3M-6.5K0.2091.46N/AN/A153675429
2008-05-02$49.85$48.3330.0%8.6%22.4%0.0%0.0%-1.2%-1.8%56.2K-1.7M-6.2K2.6095.81N/AN/A75195678432
2008-05-05$50.17$48.3329.4%8.3%22.4%0.0%29.0%1.9%2.0%48.5K-1.8M-7.3K0.0076.84N/AN/A180744627
2008-05-06$50.60$48.3329.5%8.3%22.5%0.0%0.0%1.8%0.2%50.5K-2.1M-6.8K0.0078.93N/AN/A00750627
2008-05-07$48.65$48.3329.6%8.4%25.4%0.0%28.4%3.0%1.6%48.7K-932.7K-7.7K16.0071.19N/AN/A696750627
2008-05-08$49.80$50.0027.3%8.0%26.5%0.0%0.0%2.2%2.2%56.2K-1.7M-7.6K0.0077.42N/AN/A30750723
2008-05-09$49.66$50.0027.8%8.2%26.0%0.0%30.4%1.8%1.2%55.6K-1.6M-7.6K2.0065.32N/AN/A612750723
2008-05-12$50.68$50.0029.7%8.3%26.3%0.0%28.9%1.5%1.7%57.6K-2.4M-6.2K2.0084.37N/AN/A36753735
2008-05-13$50.46$50.0032.0%8.4%26.2%0.0%0.0%1.7%1.6%63.7K-2.2M-6.3K0.2882.15N/AN/A15042756732
2008-05-14$50.60$50.0028.9%8.3%23.5%0.0%0.0%1.8%2.0%140.7K-2.8M-6.4K0.0084.26N/AN/A30906774
2008-05-15$51.42$50.0028.9%8.3%22.9%0.0%0.0%0.8%1.2%95.7K-3.2M-5.6K50.0088.66N/AN/A3150906774
2008-05-16$51.87$50.0029.1%8.4%23.0%0.0%0.0%0.4%0.6%38.4K-3.8M-5.0K6.6391.64N/AN/A24159909774
2008-05-19$51.65$50.0028.3%8.1%22.3%0.0%27.8%2.8%1.0%7.9K-1.0M-5.0K0.0081.90N/AN/A180387447
2008-05-20$50.70$50.0026.6%7.6%23.5%0.0%0.0%3.7%0.8%11.0K-907.0K-5.4K101.0085.48N/AN/A6606405447
2008-05-21$50.24$50.0026.6%7.6%23.1%0.0%21.7%4.1%0.0%-101.5K327.7K-9.8K10.0087.15N/AN/A3304051,047
2008-05-22$50.47$50.0025.8%7.4%22.9%0.0%24.3%2.9%0.9%-108.9K336.4K-9.8K0.0080.26N/AN/A5104051,077
2008-05-23$49.70$50.0025.8%7.4%23.6%0.0%16.0%11.2%1.0%-104.7K641.5K-10.3K0.0494.69N/AN/A324124561,077
2008-05-27$50.09$50.0025.9%7.4%23.7%0.0%19.3%6.4%0.7%-19.0K-104.5K-11.0K0.0092.44N/AN/A3007711,077
2008-05-28$50.08$50.0025.9%7.4%23.3%0.0%24.9%4.1%0.8%-14.5K-116.5K-11.0K0.0093.88N/AN/A2407741,077
2008-05-29$49.97$50.0024.4%7.0%23.1%0.0%0.0%5.2%1.5%-7.8K-181.3K-10.2K0.0094.12N/AN/A307951,077
2008-05-30$50.09$50.0025.6%7.3%22.8%0.0%0.0%8.0%1.7%-1.9K-117.9K-10.8K4.0089.09N/AN/A3127981,077