EPP Options History — March 2009

In March 2009, EPP traded between $20.06 and $25.92. ATM implied volatility averaged 45.9%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 5.5% (HV 20d: 51.3%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2009-03-10: Highest Volume — 367 contracts
  • 2009-03-13: Largest IV spike — 29.6% change
  • 2009-03-02: Highest IV Rank — 22.6%
  • 2009-03-02: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.83$20.06$25.92$20.36$24.63
Max Pain$24.55$22.50$25.00$22.50$25.00
ATM IV45.9%37.8%58.7%58.7%41.6%
Expected Move13.2%10.8%16.8%16.8%11.9%
HV 20d51.3%47.2%55.9%49.1%53.7%
HV 60d49.0%46.8%51.2%49.2%51.2%
IV Rank15.2%10.6%22.6%22.6%12.8%
IV Percentile56.5%43.3%75.7%75.7%51.6%
Term Structure-0.5%-8.2%9.2%-3.4%1.3%
VWIV40.0%30.2%48.8%48.8%30.2%
Skew 25d3.2%-8.0%16.0%9.1%2.3%
Skew 10d8.6%-7.5%26.9%24.5%4.0%
Call IV 25d42.6%29.7%55.4%52.7%37.9%
Put IV 25d45.8%32.9%61.8%61.8%40.2%
Bid-Ask Spread %99.8383.41119.0592.7883.41
Gamma HHI0.350.220.640.270.46
Net GEX-565-10.7K7.2K-2.3K7.2K
Net DEX-35.4K-346.7K319.4K319.4K-311.1K
Net VEX-1.7K-2.1K-1.1K-1.2K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.006.000.836.00
Total Volume30.72703671735
Total OI828.0455891,0096551,009

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$20.36$22.5058.7%16.8%49.1%22.6%0.0%9.1%-3.4%-2.3K319.4K-1.2K0.0092.78N/AN/A017339316
2009-03-03$20.57$22.5057.0%16.3%49.2%21.6%0.0%12.4%-1.3%-1.7K192.7K-1.2K0.0094.06N/AN/A00339250
2009-03-04$21.55$22.5051.7%14.8%51.8%18.6%0.0%10.1%3.2%-1.3K160.5K-1.3K0.8399.66N/AN/A2420339250
2009-03-05$20.47$22.5057.0%16.3%54.3%21.6%0.0%-4.9%-1.2%-758170.5K-1.2K0.00101.84N/AN/A00359237
2009-03-06$20.45$25.0055.7%15.8%53.8%20.8%0.0%8.6%-0.5%-820172.1K-1.2K0.0086.23N/AN/A00359237
2009-03-09$20.06$25.0053.8%15.6%50.1%19.8%0.0%3.8%1.7%-984181.7K-1.1K0.0088.05N/AN/A100359237
2009-03-10$21.31$25.0041.4%14.4%55.9%12.7%48.8%5.1%-5.3%-682148.8K-1.2K1.5189.82N/AN/A146221369237
2009-03-11$21.33$25.0049.3%13.8%50.8%17.2%0.0%4.7%-1.0%-7.2K144.8K-2.1K0.0090.35N/AN/A100470448
2009-03-12$21.85$25.0039.8%11.4%50.1%11.7%0.0%-0.8%6.8%-10.7K89.5K-1.9K0.00106.83N/AN/A30470448
2009-03-13$22.32$25.0051.6%14.8%50.8%18.5%0.0%5.7%-0.0%-5.9K37.6K-2.1K0.00104.71N/AN/A01471448
2009-03-16$22.57$25.0045.4%13.0%50.9%15.0%0.0%-5.1%-8.2%-4.3K-26.1K-1.9K0.00114.35N/AN/A00471447
2009-03-17$23.25$25.0038.6%11.1%47.2%11.0%41.4%-8.0%2.5%-6.0K-73.3K-1.8K0.00109.75N/AN/A40471447
2009-03-18$23.63$25.0041.0%11.8%47.4%12.4%0.0%-0.4%-5.6%-2.4K-100.3K-1.9K0.00119.05N/AN/A00474447
2009-03-19$23.73$25.0038.6%11.1%47.4%11.0%0.0%-4.9%-7.5%-133-136.4K-1.8K0.00104.02N/AN/A010474447
2009-03-20$23.57$25.0043.0%12.3%47.4%13.6%0.0%-6.8%-2.6%-1.5K-129.5K-1.8K0.00100.03N/AN/A40474457
2009-03-23$25.60$25.0039.8%11.4%53.8%11.7%39.7%16.0%1.2%4.2K-254.4K-1.5K0.00104.14N/AN/A560454436
2009-03-24$24.88$25.0037.8%10.8%53.6%10.6%30.2%3.1%-5.5%4.2K-240.5K-1.9K0.00114.05N/AN/A310495436
2009-03-25$25.20$25.0043.7%12.5%52.5%14.0%0.0%8.8%1.4%4.7K-282.1K-1.8K0.00101.81N/AN/A100492436
2009-03-26$25.92$25.0037.9%10.9%52.7%10.6%0.0%9.2%9.2%6.1K-346.7K-1.8K1.00101.71N/AN/A1010499436
2009-03-27$25.07$25.0041.7%11.9%53.8%12.8%0.0%5.4%2.5%4.8K-298.3K-1.9K0.7788.85N/AN/A1310509446
2009-03-30$24.02$25.0043.7%12.5%53.4%14.0%0.0%-2.6%2.1%3.0K-197.1K-2.0K0.00100.76N/AN/A310522456
2009-03-31$24.63$25.0041.6%11.9%53.7%12.8%0.0%2.3%1.3%7.2K-311.1K-2.0K6.0083.41N/AN/A530553456