EPP Options History — January 2009

In January 2009, EPP traded between $22.12 and $26.90. ATM implied volatility averaged 52.1%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 7.9% (HV 20d: 44.2%). Max pain ranged from $25.00 to $40.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.37.

Notable Days

  • 2009-01-12: Highest Volume — 121 contracts
  • 2009-01-05: Largest IV spike — 27.6% change
  • 2009-01-07: Highest IV Rank — 24.5%
  • 2009-01-05: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.08$22.12$26.90$26.55$22.39
Max Pain$26.00$25.00$40.00$40.00$25.00
ATM IV52.1%38.5%62.2%47.5%48.1%
Expected Move14.7%11.0%18.0%13.6%13.8%
HV 20d44.2%34.9%51.7%49.2%49.0%
HV 60d79.7%70.5%91.4%91.4%70.7%
IV Rank18.8%11.0%24.5%16.2%16.5%
IV Percentile66.1%48.2%76.3%64.4%62.6%
Term Structure7.2%-4.5%16.6%16.6%12.0%
VWIV48.4%42.7%54.7%44.8%45.9%
Skew 25d12.4%-0.6%20.6%11.3%9.5%
Skew 10d22.6%3.1%40.5%20.6%7.6%
Call IV 25d45.2%39.0%53.9%39.2%44.7%
Put IV 25d57.6%49.7%64.4%50.5%54.2%
Bid-Ask Spread %85.3468.93106.65106.6597.23
Gamma HHI0.490.210.680.620.61
Net GEX1.1K-7.4K13.0K13.0K-6.3K
Net DEX43.4M254.3K83.9M82.9M323.7K
Net VEX-2.3K-3.0K-1.8K-2.8K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.0011.100.002.80
Total Volume20.150121738
Total OI18,243.2568932,70832,551722

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$26.55$40.0047.5%13.6%49.2%16.2%44.8%11.3%16.6%13.0K82.9M-2.8K0.00106.65N/AN/A701,03231,519
2009-01-05$26.34$30.0060.7%18.0%44.8%23.7%54.7%20.6%-4.5%6.1K82.2M-2.8K0.6368.93N/AN/A19121,03931,519
2009-01-06$26.90$25.0061.8%17.0%42.3%24.4%0.0%18.2%5.2%6.5K83.9M-3.0K0.0075.87N/AN/A601,05831,531
2009-01-07$26.12$25.0062.2%16.9%37.2%24.5%49.3%18.8%2.3%7.9K81.5M-2.8K0.0070.99N/AN/A2001,06431,521
2009-01-08$26.20$25.0052.2%16.3%37.1%18.8%50.7%-0.6%3.7%10.3K81.8M-2.7K0.0074.18N/AN/A301,08431,521
2009-01-09$25.07$25.0051.9%14.7%40.4%18.6%44.9%1.8%0.1%10.1K78.3M-2.5K0.0081.62N/AN/A0101,08431,521
2009-01-12$24.55$25.0059.3%15.6%40.5%22.9%54.5%12.1%8.8%9.9K76.8M-2.4K11.1080.61N/AN/A101111,08431,531
2009-01-13$24.21$25.0057.4%15.1%40.4%21.8%0.0%20.0%7.4%3.2K75.9M-2.5K0.0074.52N/AN/A1301,08431,624
2009-01-14$23.55$25.0057.5%14.9%41.4%21.8%0.0%17.8%11.3%1.6K73.8M-2.5K0.0078.55N/AN/A001,08731,606
2009-01-15$23.58$25.0052.7%15.1%34.9%19.1%0.0%18.8%1.6%1.5K74.0M-2.3K2.5080.12N/AN/A251,08731,606
2009-01-16$23.90$25.0051.4%14.7%35.2%18.4%0.0%15.4%2.1%2.3K74.1M-2.2K0.0079.30N/AN/A0111,08531,267
2009-01-20$22.12$25.0060.2%17.3%43.1%23.4%0.0%7.3%-2.2%-3.6K282.2K-2.0K0.0086.78N/AN/A60364325
2009-01-21$23.44$25.0048.0%13.8%48.5%16.4%42.7%14.4%9.7%-5.3K322.6K-2.0K0.8383.13N/AN/A2420364325
2009-01-22$22.60$25.0041.8%12.0%49.9%12.9%0.0%11.8%9.9%-4.5K330.4K-2.0K1.1086.74N/AN/A1011357345
2009-01-23$22.40$25.0052.2%15.0%49.1%18.8%0.0%11.6%13.8%-4.7K379.3K-1.9K0.0085.30N/AN/A00357355
2009-01-26$22.45$25.0051.5%14.8%48.7%18.5%0.0%8.1%10.1%-5.3K330.1K-1.8K0.0095.52N/AN/A00357338
2009-01-27$22.92$25.0040.9%11.7%49.3%12.4%0.0%8.3%10.6%-5.9K302.8K-2.0K0.00103.48N/AN/A10357338
2009-01-28$23.71$25.0046.2%13.2%51.0%15.4%45.9%13.2%13.2%-7.4K254.3K-2.1K1.5599.36N/AN/A2031357338
2009-01-29$22.69$25.0038.5%11.0%51.7%11.0%0.0%9.6%12.3%-6.7K308.2K-2.0K0.0097.92N/AN/A130353359
2009-01-30$22.39$25.0048.1%13.8%49.0%16.5%0.0%9.5%12.0%-6.3K323.7K-1.8K2.8097.23N/AN/A1028363359