EPP Options History — November 2008

In November 2008, EPP traded between $19.58 and $28.83. ATM implied volatility averaged 69.6%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 19.3%. IV traded below realized volatility by 35.5% (HV 20d: 105.1%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 2.45.

Notable Days

  • 2008-11-11: Highest Volume — 187 contracts
  • 2008-11-24: Largest IV drop — 35.6% change
  • 2008-11-20: Highest IV Rank — 39.0%
  • 2008-11-20: Largest Expected Move — 25.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.47$19.58$28.83$27.23$24.56
Max Pain$26.05$25.00$30.00$30.00$25.00
ATM IV69.6%52.2%87.4%81.5%53.1%
Expected Move19.3%14.7%25.0%23.4%15.2%
HV 20d105.1%96.2%118.4%113.5%96.2%
HV 60d88.6%80.8%96.4%80.8%96.1%
IV Rank28.8%18.8%39.0%35.6%19.3%
IV Percentile86.3%76.2%97.2%94.0%76.2%
Term Structure3.8%-18.7%20.7%-16.9%15.5%
VWIV58.8%44.5%71.0%69.6%55.0%
Skew 25d10.4%-23.7%29.7%15.4%5.3%
Skew 10d15.3%-36.8%43.9%20.9%14.8%
Call IV 25d66.5%50.4%87.9%67.3%69.2%
Put IV 25d76.8%60.1%89.6%82.7%74.5%
Bid-Ask Spread %111.7176.33133.30104.28133.30
Gamma HHI0.850.750.890.870.81
Net GEX-232.7K-502.6K-66.3K-396.0K-130.8K
Net DEX73.7M60.0M82.4M79.1M76.2M
Net VEX-33.5K-74.7K-8.6K-58.9K-16.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.450.006.670.000.00
Total Volume50.5260187120
Total OI33,177.84233,04933,31833,11533,140

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$27.23$30.0081.5%23.4%113.5%35.6%69.6%15.4%-16.9%-396.0K79.1M-58.9K0.00104.28N/AN/A1201,39931,716
2008-11-04$28.83$30.0055.4%15.9%115.6%20.7%44.5%18.1%-0.6%-502.6K82.4M-65.5K5.71120.48N/AN/A7401,40631,716
2008-11-05$27.46$30.0066.3%19.0%115.5%26.9%59.1%21.3%-3.1%-488.0K77.5M-74.7K5.00124.62N/AN/A2101,41331,736
2008-11-06$25.51$30.0079.8%22.9%116.5%34.6%0.0%5.9%-18.7%-280.3K76.2M-37.1K6.67106.05N/AN/A3201,41431,746
2008-11-07$27.13$25.0069.5%14.7%118.4%28.7%0.0%12.3%18.9%-304.7K81.0M-39.3K4.0998.96N/AN/A22901,41731,746
2008-11-10$26.22$25.0071.8%19.5%104.5%30.1%47.7%17.3%0.6%-250.8K79.4M-32.9K1.00101.38N/AN/A30301,41931,826
2008-11-11$25.09$25.0080.0%19.6%105.0%34.7%68.0%-11.4%-1.0%-198.6K76.4M-28.2K3.5676.33N/AN/A411461,42331,837
2008-11-12$23.71$25.0078.3%20.2%99.1%33.8%71.0%-23.7%-1.3%-204.6K71.7M-30.1K1.6191.44N/AN/A18291,43731,881
2008-11-13$25.56$25.0068.9%19.7%100.6%28.4%58.3%29.7%5.6%-221.3K77.6M-30.0K0.5896.35N/AN/A83481,42631,892
2008-11-14$23.48$25.0066.2%19.0%103.3%26.8%70.2%-12.7%6.8%-256.2K70.1M-40.6K0.08119.43N/AN/A140111,35731,921
2008-11-17$23.10$25.0065.6%18.8%98.2%26.5%0.0%25.2%10.5%-243.4K68.8M-40.3K2.25100.74N/AN/A8181,24731,921
2008-11-18$23.08$25.0066.6%19.1%97.4%27.1%0.0%11.4%-3.6%-137.3K71.3M-21.3K5.50117.75N/AN/A4221,25031,921
2008-11-19$21.15$25.0078.6%22.5%98.1%33.9%0.0%13.9%6.7%-179.6K64.0M-30.3K0.00114.52N/AN/A001,24931,943
2008-11-20$19.58$25.0087.4%25.0%100.9%39.0%0.0%21.2%-10.6%-132.1K60.0M-21.5K0.00126.42N/AN/A001,24931,942
2008-11-21$22.48$25.0081.0%23.2%110.0%35.3%0.0%20.4%20.2%-126.2K69.6M-19.6K0.00109.05N/AN/A011,24931,942
2008-11-24$23.10$25.0052.2%15.0%108.7%18.8%44.5%7.4%20.7%-66.3K72.6M-8.6K0.17128.45N/AN/A1831,12231,927
2008-11-25$23.52$25.0060.3%17.3%97.2%23.5%55.0%9.0%12.6%-172.7K72.1M-24.0K0.61128.22N/AN/A33201,13631,924
2008-11-26$24.20$25.0059.2%17.0%97.9%22.9%0.0%11.4%9.3%-129.0K75.1M-17.4K0.00124.74N/AN/A5101,14531,944
2008-11-28$24.56$25.0053.1%15.2%96.2%19.3%0.0%5.3%15.5%-130.8K76.2M-16.9K0.00133.30N/AN/A001,19631,944