EPP Options History — February 2009 In February 2009, EPP traded between $21.32 and $24.01. ATM implied volatility averaged 47.0%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 4.4% (HV 20d: 51.4%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.77.
Notable Days 2009-02-25 : Highest Volume — 34 contracts2009-02-12 : Largest IV spike — 39.1% change2009-02-17 : Highest IV Rank — 21.7%2009-02-17 : Largest Expected Move — 16.4%Monthly Statistics Metric Avg Min Max Open Close Price $22.50 $21.32 $24.01 $22.59 $21.32 Max Pain $23.03 $22.50 $25.00 $25.00 $22.50 ATM IV 47.0% 31.8% 57.2% 37.4% 51.2% Expected Move 14.1% 9.1% 16.4% 10.7% 14.7% HV 20d 51.4% 46.8% 59.5% 49.0% 46.8% HV 60d 61.1% 49.4% 69.7% 69.7% 49.4% IV Rank 15.9% 7.2% 21.7% 10.4% 18.3% IV Percentile 60.0% 36.1% 73.5% 46.9% 63.4% Term Structure 6.1% -10.4% 29.3% 21.9% 4.8% VWIV 49.3% 47.4% 50.8% 50.8% 47.4% Skew 25d 13.4% 2.1% 31.2% 22.2% 15.4% Skew 10d 18.0% 0.2% 30.4% 12.9% 26.3% Call IV 25d 44.2% 27.6% 55.0% 32.2% 43.2% Put IV 25d 57.6% 50.4% 63.1% 54.4% 58.6% Bid-Ask Spread % 88.50 74.35 110.94 109.47 89.50 Gamma HHI 0.38 0.19 0.61 0.56 0.22 Net GEX -5.4K -12.1K -1.9K -6.8K -2.2K Net DEX 352.2K 254.6K 466.6K 375.6K 284.8K Net VEX -1.6K -2.0K -1.3K -1.8K -1.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.77 0.00 5.00 0.00 1.43 Total Volume 7.842 0 34 0 0 Total OI 722.053 625 773 739 655
Daily Data (19 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 2009-02-02 $22.59 $25.00 37.4% 10.7% 49.0% 10.4% 0.0% 22.2% 21.9% -6.8K 375.6K -1.8K 0.00 109.47 N/A N/A 0 0 360 379 2009-02-03 $23.03 $25.00 32.4% 9.3% 50.0% 7.5% 0.0% 29.8% 25.2% -6.9K 345.8K -1.9K 0.00 100.53 N/A N/A 3 0 360 379 2009-02-04 $22.56 $25.00 31.8% 9.1% 49.1% 7.2% 0.0% 17.8% 17.5% -6.9K 370.4K -1.7K 0.48 106.84 N/A N/A 21 10 363 379 2009-02-05 $22.89 $25.00 37.0% 10.6% 49.1% 10.1% 0.0% 31.2% 29.3% -7.7K 364.0K -1.9K 0.00 110.94 N/A N/A 6 0 352 389 2009-02-06 $24.01 $22.50 39.6% 14.3% 52.7% 11.6% 50.8% 16.4% 2.4% -9.9K 309.8K -2.0K 0.00 77.75 N/A N/A 8 0 352 389 2009-02-09 $23.88 $22.50 37.9% 15.4% 50.6% 10.6% 0.0% 16.3% 0.7% -12.1K 299.5K -1.9K 0.00 74.35 N/A N/A 0 0 360 389 2009-02-10 $22.31 $22.50 52.2% 14.9% 55.4% 18.8% 0.0% 2.1% -10.4% -6.6K 362.9K -1.7K 0.00 84.02 N/A N/A 3 0 360 389 2009-02-11 $23.06 $22.50 38.8% 15.2% 56.9% 11.2% 0.0% 10.0% 2.0% -8.6K 392.8K -1.7K 0.00 88.58 N/A N/A 10 0 363 389 2009-02-12 $23.03 $22.50 54.0% 15.5% 56.1% 19.9% 0.0% 10.6% 3.6% -8.2K 390.5K -1.7K 0.00 88.51 N/A N/A 0 10 372 389 2009-02-13 $23.18 $22.50 53.7% 15.4% 56.2% 19.7% 49.5% 10.5% 3.5% -7.9K 386.7K -1.8K 5.00 78.85 N/A N/A 2 10 372 399 2009-02-17 $21.85 $22.50 57.2% 16.4% 59.5% 21.7% 0.0% 7.1% 0.5% -2.6K 455.7K -1.5K 0.00 90.41 N/A N/A 0 0 374 399 2009-02-18 $22.04 $22.50 54.5% 15.6% 53.0% 20.1% 47.4% 12.8% 2.7% -2.6K 466.6K -1.5K 0.00 79.39 N/A N/A 2 0 374 399 2009-02-19 $22.12 $22.50 54.1% 15.5% 48.4% 19.9% 0.0% 8.7% 1.3% -3.8K 448.7K -1.5K 0.00 78.01 N/A N/A 0 0 373 399 2009-02-20 $22.02 $22.50 52.7% 15.1% 46.8% 19.1% 0.0% 12.4% 2.8% -1.9K 389.5K -1.4K 0.00 81.18 N/A N/A 0 0 373 359 2009-02-23 $21.47 $22.50 50.9% 14.6% 47.5% 18.1% 0.0% 3.4% 1.9% -2.1K 260.5K -1.3K 0.00 83.13 N/A N/A 0 0 329 296 2009-02-24 $22.46 $22.50 54.1% 15.5% 50.4% 19.9% 0.0% 10.1% 1.5% -2.2K 267.3K -1.3K 0.00 89.09 N/A N/A 0 20 329 296 2009-02-25 $21.92 $22.50 54.2% 15.5% 50.4% 20.0% 0.0% 9.0% 1.4% -1.9K 254.6K -1.3K 1.43 88.81 N/A N/A 14 20 329 296 2009-02-26 $21.78 $22.50 50.1% 14.4% 48.6% 17.6% 0.0% 8.8% 3.1% -2.1K 265.5K -1.4K 0.00 82.08 N/A N/A 0 10 339 316 2009-02-27 $21.32 $22.50 51.2% 14.7% 46.8% 18.3% 0.0% 15.4% 4.8% -2.2K 284.8K -1.4K 0.00 89.50 N/A N/A 0 0 339 316
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