EPP Options History — July 2008 In July 2008, EPP traded between $42.80 and $45.50. ATM implied volatility averaged 30.6%. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 9.0% (HV 20d: 21.6%). Max pain ranged from $40.00 to $48.33. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.52.
Notable Days 2008-07-09 : Highest Volume — 339 contracts2008-07-17 : Largest IV drop — 13.3% change2008-07-15 : Largest Expected Move — 9.5%Monthly Statistics Metric Avg Min Max Open Close Price $43.93 $42.80 $45.50 $44.28 $43.25 Max Pain $44.17 $40.00 $48.33 $48.33 $40.00 ATM IV 30.6% 27.2% 34.8% 31.0% 31.5% Expected Move 8.7% 7.8% 9.5% 8.9% 9.0% HV 20d 21.6% 17.7% 25.9% 19.9% 25.4% HV 60d 21.6% 20.4% 22.7% 22.0% 22.7% Term Structure -0.7% -3.5% 2.3% -0.5% -1.8% VWIV 29.7% 21.4% 33.2% 29.6% 31.6% Skew 25d 5.5% 2.6% 9.1% 5.5% 9.1% Skew 10d 7.2% -4.9% 14.3% 5.4% 3.3% Call IV 25d 26.5% 20.5% 30.5% 27.5% 20.5% Put IV 25d 32.0% 26.7% 35.7% 33.0% 29.7% Bid-Ask Spread % 98.37 75.29 134.73 96.14 133.45 Gamma HHI 0.36 0.23 0.53 0.33 0.37 Net GEX -54.0K -132.8K 47.9K -124.2K 2.3K Net DEX 1.9M -562.8K 4.0M 3.5M -32.2K Net VEX -3.4K -5.2K 0 -5.2K -57 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.52 0.00 17.50 0.63 0.00 Total Volume 71.238 0 339 39 0 Total OI 1,139.619 0 1,941 1,614 17
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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2008-07-01 $44.28 $48.33 31.0% 8.9% 19.9% 0.0% 0.0% 5.5% -0.5% -124.2K 3.5M -5.2K 0.63 96.14 N/A N/A 24 15 435 1,179 2008-07-02 $43.65 $48.33 32.4% 9.3% 20.1% 0.0% 0.0% 7.6% -0.8% -99.1K 3.9M -4.6K 0.00 97.33 N/A N/A 0 0 435 1,194 2008-07-03 $43.73 $48.33 31.3% 9.0% 19.1% 0.0% 29.6% 6.2% -0.4% -103.6K 3.9M -4.4K 10.00 99.54 N/A N/A 12 120 435 1,194 2008-07-07 $43.66 $43.33 34.4% 9.1% 17.7% 0.0% 0.0% 5.7% -1.3% -97.0K 4.0M -4.6K 0.00 75.47 N/A N/A 66 0 447 1,221 2008-07-08 $43.96 $43.33 34.8% 9.3% 18.2% 0.0% 33.0% 4.3% -2.0% -102.5K 4.0M -4.5K 1.00 75.29 N/A N/A 6 6 450 1,221 2008-07-09 $43.14 $43.33 31.2% 9.0% 18.4% 0.0% 0.0% 2.6% -1.7% -72.4K 4.0M -4.0K 3.91 109.03 N/A N/A 69 270 456 1,179 2008-07-10 $43.84 $43.33 31.5% 9.0% 19.7% 0.0% 31.4% 6.5% -1.2% -132.8K 3.9M -4.6K 0.00 77.50 N/A N/A 165 0 507 1,293 2008-07-11 $43.50 $43.33 31.6% 9.1% 19.6% 0.0% 31.6% 3.8% -1.9% -77.0K 3.9M -4.5K 2.00 86.20 N/A N/A 6 12 657 1,278 2008-07-14 $43.61 $43.33 31.8% 9.1% 19.3% 0.0% 29.3% 4.4% -1.4% -79.1K 3.9M -4.2K 17.50 79.15 N/A N/A 12 210 657 1,284 2008-07-15 $42.80 $43.33 33.0% 9.5% 20.1% 0.0% 33.1% 5.3% -2.3% -77.3K 3.5M -3.7K 5.00 80.53 N/A N/A 9 45 666 1,104 2008-07-16 $44.05 $43.33 32.4% 9.3% 23.0% 0.0% 33.2% 5.3% -1.4% -72.2K 950.4K -3.9K 1.83 81.97 N/A N/A 18 33 675 681 2008-07-17 $44.10 $43.33 28.1% 8.0% 23.0% 0.0% 27.4% 4.0% 1.4% -71.7K 893.4K -4.0K 1.03 88.42 N/A N/A 93 96 693 708 2008-07-18 $44.03 $43.33 29.4% 8.4% 22.9% 0.0% 0.0% 4.4% -3.5% -108.1K 1.1M -4.6K 0.00 90.29 N/A N/A 0 12 786 801 2008-07-21 $44.97 $43.33 30.3% 8.7% 22.3% 0.0% 21.4% 8.6% -1.2% 8.4K -100.2K -4.3K 0.00 86.59 N/A N/A 81 0 339 330 2008-07-22 $45.07 $43.33 28.4% 8.2% 22.1% 0.0% 28.9% 5.0% -0.3% 21.6K -198.8K -4.6K 0.00 90.94 N/A N/A 90 0 417 330 2008-07-23 $45.50 $43.33 28.6% 8.2% 22.4% 0.0% 27.3% 9.1% 0.4% 47.9K -562.8K -5.0K 0.00 94.02 N/A N/A 9 0 507 330 2008-07-25 $44.46 $0.00 27.6% 7.9% 23.7% 0.0% 27.6% 0.0% 0.9% 0 0 0 0.00 130.06 N/A N/A 8 0 0 0 2008-07-28 $43.07 $45.00 28.0% 8.0% 25.1% 0.0% 0.0% 0.0% 0.8% 873 -5.9K -34 0.00 128.73 N/A N/A 1 0 8 0 2008-07-29 $43.68 $45.00 27.2% 7.8% 25.6% 0.0% 0.0% 0.0% 2.3% 1.1K -10.7K -43 0.00 130.44 N/A N/A 0 0 9 0 2008-07-30 $44.12 $45.00 28.3% 8.1% 25.9% 0.0% 31.6% 0.0% 1.5% 1.2K -11.9K -44 0.00 134.73 N/A N/A 8 0 9 0 2008-07-31 $43.25 $40.00 31.5% 9.0% 25.4% 0.0% 0.0% 0.0% -1.8% 2.3K -32.2K -57 0.00 133.45 N/A N/A 0 0 17 0
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