EPP Options History — June 2008

In June 2008, EPP traded between $45.13 and $49.39. ATM implied volatility averaged 29.2%. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 10.7% (HV 20d: 18.5%). Max pain ranged from $48.33 to $50.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.95.

Notable Days

  • 2008-06-13: Highest Volume — 207 contracts
  • 2008-06-05: Largest IV drop — 7.6% change
  • 2008-06-30: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.90$45.13$49.39$49.26$45.36
Max Pain$48.65$48.33$50.00$50.00$48.33
ATM IV29.2%26.5%33.7%27.2%32.2%
Expected Move8.3%7.6%9.2%7.8%9.2%
HV 20d18.5%15.8%23.3%23.1%18.7%
HV 60d23.6%21.5%27.7%27.7%21.5%
Term Structure0.6%-1.5%3.8%0.9%-1.5%
VWIV26.0%18.5%33.4%28.8%19.0%
Skew 25d6.7%0.9%13.1%4.9%8.7%
Skew 10d9.8%-1.4%18.5%4.3%3.5%
Call IV 25d24.4%18.7%29.0%24.6%24.2%
Put IV 25d31.1%22.4%35.7%29.4%32.9%
Bid-Ask Spread %87.5167.7299.7795.9495.23
Gamma HHI0.340.260.440.270.39
Net GEX-153.8K-302.7K-24.7K-28.2K-156.4K
Net DEX2.5M372.9K4.1M491.4K3.0M
Net VEX-8.1K-10.4K-6.1K-10.4K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.950.0016.250.000.00
Total Volume39.143020733
Total OI1,935.8571,5122,2831,8661,611

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$49.26$50.0027.2%7.8%23.1%0.0%0.0%4.9%0.9%-28.2K491.4K-10.4K0.0095.94N/AN/A308011,065
2008-06-03$48.74$50.0028.4%8.1%23.3%0.0%0.0%0.9%0.8%-52.7K900.9K-10.0K0.0092.14N/AN/A008011,065
2008-06-04$48.77$50.0028.6%8.2%23.0%0.0%28.8%7.3%-0.7%-51.3K823.3K-10.1K0.0097.89N/AN/A1508011,065
2008-06-05$49.39$50.0026.5%7.6%18.8%0.0%18.5%3.0%1.6%-24.7K372.9K-9.6K0.8999.77N/AN/A84758041,065
2008-06-06$48.16$48.3328.2%8.1%18.9%0.0%31.5%13.1%-0.9%-88.2K1.5M-10.2K6.5078.94N/AN/A6398881,140
2008-06-09$47.85$48.3329.9%8.2%19.0%0.0%33.4%5.2%-0.4%-118.7K1.8M-9.5K0.2978.19N/AN/A105308881,164
2008-06-10$47.03$48.3331.6%8.5%17.8%0.0%0.0%5.6%0.3%-157.5K2.4M-8.7K0.0567.72N/AN/A6638491,176
2008-06-11$46.65$48.3333.7%8.9%17.9%0.0%0.0%5.9%-1.1%-134.9K2.6M-8.5K1.0078.09N/AN/A339061,179
2008-06-12$46.24$48.3331.4%9.0%17.8%0.0%0.0%9.1%-1.0%-137.7K2.9M-8.1K0.0078.76N/AN/A609061,179
2008-06-13$46.59$48.3330.5%8.7%16.7%0.0%32.0%9.0%1.1%-157.7K2.6M-8.1K16.2579.92N/AN/A121959121,179
2008-06-16$46.48$48.3329.3%8.4%16.0%0.0%0.0%5.2%1.0%-218.6K3.3M-8.2K4.0083.38N/AN/A3129121,359
2008-06-17$46.82$48.3327.5%7.9%16.6%0.0%18.5%6.5%3.2%-302.7K3.2M-7.9K0.0082.08N/AN/A909121,371
2008-06-18$46.69$48.3327.5%7.9%15.8%0.0%0.0%4.9%2.0%-278.8K3.2M-7.9K0.0088.37N/AN/A009151,365
2008-06-19$46.88$48.3327.8%8.0%15.9%0.0%25.4%4.2%1.6%-294.1K3.0M-7.9K0.0083.87N/AN/A309151,365
2008-06-20$45.54$48.3328.4%8.1%18.0%0.0%31.9%11.4%3.8%-200.9K4.1M-6.6K12.0092.99N/AN/A3369181,365
2008-06-23$45.91$48.3328.4%8.1%18.1%0.0%23.4%9.4%0.5%-163.8K3.1M-6.1K15.0091.10N/AN/A3453781,134
2008-06-24$45.92$48.3328.0%8.0%17.7%0.0%0.0%5.4%1.1%-169.4K3.3M-6.1K0.0090.02N/AN/A303811,179
2008-06-25$46.09$48.3328.4%8.1%17.8%0.0%24.1%5.8%0.6%-185.4K2.8M-7.0K0.0093.66N/AN/A3303811,179
2008-06-26$45.13$48.3330.0%8.6%18.8%0.0%0.0%4.9%0.4%-146.8K3.2M-6.4K0.0094.55N/AN/A2104111,179
2008-06-27$45.50$48.3330.3%8.7%19.2%0.0%19.0%10.2%-0.4%-160.9K3.0M-6.7K0.0095.09N/AN/A304111,179
2008-06-30$45.36$48.3332.2%9.2%18.7%0.0%0.0%8.7%-1.5%-156.4K3.0M-6.3K0.0095.23N/AN/A304321,179