EPP Options History — September 2008

In September 2008, EPP traded between $33.86 and $40.22. ATM implied volatility averaged 40.6%, placing in the 55.2% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 4.0% (HV 20d: 44.7%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 21.20.

Notable Days

  • 2008-09-17: Highest Volume — 413 contracts
  • 2008-09-17: Largest IV spike — 166.9% change
  • 2008-09-17: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.47$33.86$40.22$40.22$35.90
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV40.6%19.9%70.0%23.0%64.2%
Expected Move11.3%5.0%20.1%6.6%18.4%
HV 20d44.7%20.7%72.6%21.1%72.6%
HV 60d31.9%21.7%45.5%22.1%45.5%
IV Rank55.2%1.6%100.0%26.3%88.4%
IV Percentile71.0%0.8%100.0%22.2%98.6%
Term Structure-3.8%-16.5%11.0%0.5%-11.5%
VWIV47.7%24.5%71.4%29.2%58.3%
Skew 25d9.4%-5.0%30.8%8.7%6.7%
Skew 10d17.8%0.9%33.3%6.8%22.7%
Call IV 25d44.1%16.5%64.6%16.5%59.0%
Put IV 25d53.5%23.0%80.5%25.2%65.7%
Bid-Ask Spread %110.6366.72143.48123.3167.04
Gamma HHI0.980.971.001.000.98
Net GEX-3.4M-5.3M-1.8M-5.3M-2.4M
Net DEX98.7M82.2M111.6M82.2M105.6M
Net VEX-293.8K-355.7K-221.2K-355.7K-246.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio21.200.00126.00126.000.04
Total Volume111.810413029
Total OI42,194.42941,08642,93041,08642,875

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$40.22$40.0023.0%6.6%21.1%0.0%0.0%0.0%0.5%-5.3M82.2M-355.7K0.00123.31N/AN/A009140,995
2008-09-03$39.76$40.0022.5%6.5%20.7%0.0%0.0%0.0%0.8%-5.0M87.2M-345.9K0.00125.08N/AN/A009140,995
2008-09-04$37.65$40.0031.4%9.0%27.3%0.0%29.2%0.0%-11.3%-3.9M105.5M-294.5K126.00107.91N/AN/A22529140,995
2008-09-05$37.76$40.0028.2%6.2%26.6%26.3%0.0%0.0%-1.0%-4.3M109.1M-289.8K0.00105.49N/AN/A40109141,247
2008-09-08$39.13$40.0019.9%7.1%30.0%1.6%0.0%0.0%-1.9%-5.1M96.8M-323.9K0.0090.95N/AN/A03049141,246
2008-09-09$36.93$40.0040.7%7.7%35.7%63.6%0.0%0.0%9.1%-3.1M103.5M-287.6K0.00110.08N/AN/A30049141,266
2008-09-10$37.62$40.0030.6%5.0%36.6%33.7%0.0%8.7%10.8%-4.1M104.4M-296.5K0.00108.07N/AN/A018052141,266
2008-09-11$37.33$40.0027.2%7.8%36.7%23.5%30.3%4.1%7.6%-3.7M110.5M-278.3K20.00103.23N/AN/A12052141,446
2008-09-12$38.47$40.0029.7%8.5%38.7%31.0%0.0%-5.0%-2.7%-4.3M99.8M-312.7K0.0097.67N/AN/A0152241,466
2008-09-15$36.21$40.0049.0%14.0%43.7%88.3%46.8%12.8%-14.1%-2.8M108.1M-260.7K0.00143.48N/AN/A0252241,467
2008-09-16$36.54$40.0024.3%7.0%44.0%15.0%24.5%2.5%11.0%-3.2M111.6M-256.6K2.23137.34N/AN/A12127052241,468
2008-09-17$34.29$40.0065.0%18.6%48.7%100.0%64.1%6.5%-16.5%-2.0M95.5M-270.2K0.1896.38N/AN/A3506363641,687
2008-09-18$36.19$40.0053.1%15.2%52.4%74.0%52.5%15.2%-6.2%-2.7M101.6M-283.7K3.0966.72N/AN/A6620495341,727
2008-09-19$38.08$40.0048.9%14.0%56.1%64.8%47.8%8.7%-6.8%-2.9M91.5M-314.1K0.00134.28N/AN/A0111,00341,927
2008-09-22$38.23$40.0048.4%13.9%56.0%63.6%71.4%19.5%-5.4%-3.1M88.9M-311.5K1.00134.09N/AN/A1199741,905
2008-09-23$37.78$40.0046.9%13.4%55.7%60.3%0.0%30.8%-2.7%-2.8M91.5M-305.6K0.00135.05N/AN/A01399841,915
2008-09-24$38.32$40.0042.9%12.3%55.9%51.6%0.0%4.3%-13.8%-3.0M90.3M-308.6K0.00135.54N/AN/A3099841,925
2008-09-25$38.44$40.0042.5%12.2%55.7%50.8%0.0%1.9%-15.0%-3.4M88.2M-311.9K10.00133.95N/AN/A66099841,925
2008-09-26$38.14$40.0045.1%12.9%55.2%56.4%51.7%13.2%-1.8%-3.3M96.0M-294.8K113.0076.31N/AN/A22261,00141,925
2008-09-29$33.86$40.0070.0%20.1%68.6%100.0%0.0%10.7%-10.0%-1.8M104.0M-221.2K0.0091.18N/AN/A301,00341,874
2008-09-30$35.90$40.0064.2%18.4%72.6%88.4%58.3%6.7%-11.5%-2.4M105.6M-246.6K0.0467.04N/AN/A2811,00141,874