EPP Options History — December 2008

In December 2008, EPP traded between $22.38 and $26.35. ATM implied volatility averaged 61.5%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded below realized volatility by 20.5% (HV 20d: 82.0%). Max pain ranged from $25.00 to $40.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.29.

Notable Days

  • 2008-12-18: Highest Volume — 76 contracts
  • 2008-12-26: Largest IV drop — 20.0% change
  • 2008-12-11: Highest IV Rank — 31.8%
  • 2008-12-08: Largest Expected Move — 22.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.57$22.38$26.35$22.43$26.35
Max Pain$37.27$25.00$40.00$25.00$40.00
ATM IV61.5%47.6%74.8%58.3%51.5%
Expected Move18.0%13.7%22.4%16.7%14.8%
HV 20d82.0%49.2%102.0%101.0%49.2%
HV 60d96.5%91.4%99.2%97.6%91.4%
IV Rank24.2%16.2%31.8%22.3%18.5%
IV Percentile77.5%65.7%88.1%78.0%67.6%
Term Structure2.1%-12.2%29.7%29.7%5.4%
VWIV62.7%51.0%70.9%64.8%58.0%
Skew 25d6.6%-16.0%18.6%-1.8%18.6%
Skew 10d9.7%-15.3%25.6%0.6%25.2%
Call IV 25d61.1%33.7%80.4%74.2%33.7%
Put IV 25d67.7%46.5%87.9%72.5%52.3%
Bid-Ask Spread %102.1832.21133.30124.0532.21
Gamma HHI0.590.280.850.850.45
Net GEX-51.0K-152.8K6.6K-126.0K6.6K
Net DEX77.1M69.2M82.3M69.5M82.3M
Net VEX-7.5K-16.9K-2.4K-15.2K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.002.000.000.00
Total Volume20.63607606
Total OI33,018.13632,53833,20833,14032,548

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$22.43$25.0058.3%16.7%101.0%22.3%0.0%-1.8%29.7%-126.0K69.5M-15.2K0.00124.05N/AN/A001,19631,944
2008-12-02$23.52$25.0056.5%16.2%102.0%21.3%0.0%13.0%10.7%-124.2K73.0M-16.9K0.00109.39N/AN/A001,19631,944
2008-12-03$23.54$25.0062.6%17.9%99.2%24.8%64.8%14.5%4.9%-16.6K74.5M-4.2K0.00133.30N/AN/A0311,19631,944
2008-12-04$22.38$25.0066.8%19.2%99.3%27.2%0.0%-16.0%15.1%-131.6K69.2M-16.6K0.00124.33N/AN/A0141,19631,965
2008-12-05$23.52$40.0064.7%15.9%98.5%26.0%0.0%15.9%11.0%2.3K74.7M-2.4K0.00112.31N/AN/A081,19631,978
2008-12-08$25.21$40.0054.1%22.4%99.2%19.9%0.0%9.1%-12.2%-152.8K78.0M-16.3K0.0094.71N/AN/A0201,19631,986
2008-12-09$25.08$40.0060.4%19.9%98.6%23.5%0.0%0.9%-5.3%-55.6K78.9M-7.8K0.0098.37N/AN/A1101,19632,002
2008-12-10$24.84$40.0063.7%20.4%97.4%25.4%0.0%9.5%-6.4%-105.0K77.6M-11.8K0.0090.35N/AN/A001,20632,002
2008-12-11$24.36$40.0074.8%21.5%95.4%31.8%0.0%9.0%-8.5%-111.9K76.0M-13.3K0.0089.61N/AN/A001,20632,002
2008-12-12$24.74$40.0074.7%21.4%91.6%31.7%70.9%6.7%-9.2%-74.4K77.6M-9.3K0.0097.13N/AN/A4001,20632,002
2008-12-15$24.56$40.0072.9%20.9%86.2%30.7%70.9%7.6%0.6%-58.7K77.3M-7.1K0.0095.01N/AN/A5201,16632,002
2008-12-16$26.03$40.0065.9%18.9%88.1%26.7%56.7%10.5%6.5%-51.2K82.0M-6.7K0.42112.97N/AN/A38161,17132,002
2008-12-17$25.64$40.0064.6%18.5%88.4%25.9%0.0%-3.5%-2.9%-39.8K80.8M-5.8K0.00102.00N/AN/A3801,15932,018
2008-12-18$24.88$40.0068.5%19.6%82.6%28.1%66.0%8.2%-6.7%-55.4K78.3M-7.4K0.6592.85N/AN/A46301,14832,018
2008-12-19$25.10$40.0065.2%18.7%76.2%26.3%63.5%10.8%0.8%-35.7K79.2M-5.6K0.0096.81N/AN/A1001,12432,014
2008-12-22$24.90$40.0054.7%15.7%60.2%20.3%51.0%4.4%0.7%22279.1M-2.5K0.38106.42N/AN/A32121,00231,962
2008-12-23$24.19$40.0054.9%15.7%60.8%20.4%0.0%0.4%0.2%-88476.8M-2.7K0.00107.99N/AN/A001,00931,973
2008-12-24$24.54$40.0059.6%17.1%60.7%23.1%58.0%1.0%0.8%-5.1K77.0M-3.2K2.00104.35N/AN/A10201,00931,639
2008-12-26$24.78$40.0047.6%13.7%59.9%16.2%0.0%9.7%6.2%5.8K77.6M-2.6K0.00108.73N/AN/A1001,00931,555
2008-12-29$24.60$40.0052.7%15.1%59.8%19.1%0.0%2.3%4.2%5.0K77.0M-2.5K0.00113.52N/AN/A001,01931,555
2008-12-30$25.34$40.0058.9%16.9%50.0%22.6%0.0%15.0%0.3%3.1K79.2M-2.8K0.00101.55N/AN/A1001,01931,519
2008-12-31$26.35$40.0051.5%14.8%49.2%18.5%0.0%18.6%5.4%6.6K82.3M-2.9K0.0032.21N/AN/A601,02931,519