EPP Options History — April 2009

In April 2009, EPP traded between $25.25 and $27.82. ATM implied volatility averaged 34.5%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 12.2% (HV 20d: 46.7%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 9.31.

Notable Days

  • 2009-04-01: Highest Volume — 148 contracts
  • 2009-04-06: Largest IV spike — 61.1% change
  • 2009-04-06: Highest IV Rank — 16.1%
  • 2009-04-02: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.83$25.25$27.82$25.25$27.77
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV34.5%24.1%47.4%40.6%25.8%
Expected Move10.1%6.9%13.1%11.6%7.4%
HV 20d46.7%41.3%52.7%52.2%42.4%
HV 60d50.0%47.6%52.3%51.5%48.8%
IV Rank8.7%2.8%16.1%12.2%3.7%
IV Percentile34.4%2.8%56.3%49.6%4.8%
Term Structure1.1%-9.2%12.9%1.6%12.9%
VWIV33.0%24.9%38.1%38.1%24.9%
Skew 25d5.1%-10.4%23.2%14.0%6.7%
Skew 10d7.3%-7.0%37.0%22.8%2.3%
Call IV 25d29.9%21.4%38.5%35.4%28.5%
Put IV 25d35.0%23.2%54.4%49.4%35.2%
Bid-Ask Spread %95.6459.34129.3759.34118.00
Gamma HHI0.390.280.490.490.44
Net GEX10.0K5.2K13.1K8.4K13.1K
Net DEX-587.9K-776.5K-324.6K-324.6K-731.5K
Net VEX-2.9K-3.3K-2.2K-2.2K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.310.00147.00147.001.38
Total Volume34.19014814838
Total OI1,123.6198071,3921,044978

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$25.25$25.0040.6%11.6%52.2%12.2%0.0%14.0%1.6%8.4K-324.6K-2.2K147.0059.34N/AN/A1147558486
2009-04-02$26.51$25.0045.6%13.1%49.1%15.1%38.1%23.2%3.2%5.2K-432.1K-2.6K0.0066.50N/AN/A530559633
2009-04-03$26.95$25.0029.4%9.7%48.9%5.8%0.0%8.5%3.3%7.2K-512.3K-2.4K1.3089.25N/AN/A1013603633
2009-04-06$26.55$25.0047.4%11.1%48.5%16.1%0.0%9.8%-1.3%7.0K-462.8K-2.7K0.3896.90N/AN/A5320613646
2009-04-07$25.99$25.0032.0%12.2%46.8%7.3%0.0%-9.8%-3.3%8.5K-499.8K-3.0K0.0088.28N/AN/A500666640
2009-04-08$26.00$25.0031.9%11.5%46.8%7.2%0.0%-10.4%-3.5%11.0K-547.3K-3.2K0.3390.99N/AN/A3010716640
2009-04-09$26.91$25.0032.1%9.2%47.4%7.3%0.0%11.8%5.4%11.3K-681.5K-3.2K0.00106.56N/AN/A220728650
2009-04-13$27.38$25.0038.1%10.9%47.3%10.8%0.0%-0.5%4.5%12.1K-717.4K-3.3K0.0093.55N/AN/A00739650
2009-04-14$27.06$25.0035.4%10.2%47.9%9.2%37.6%-3.2%1.3%12.1K-753.8K-3.2K0.0084.25N/AN/A70739650
2009-04-15$27.61$25.0032.7%9.4%47.5%7.7%28.0%4.6%-2.7%11.9K-776.5K-2.9K0.0081.92N/AN/A022742650
2009-04-16$27.82$25.0033.0%9.5%47.4%7.9%0.0%-0.4%-4.2%11.5K-694.1K-2.9K0.0090.50N/AN/A020671652
2009-04-17$27.51$25.0024.1%6.9%47.9%2.8%0.0%-1.8%6.5%9.5K-668.5K-2.9K2.0091.78N/AN/A1020671652
2009-04-20$26.02$25.0037.0%10.6%52.7%10.1%0.0%11.3%6.7%9.5K-496.6K-2.7K0.0095.78N/AN/A02446361
2009-04-21$26.78$25.0035.8%10.3%45.1%9.4%0.0%6.0%-5.5%9.5K-556.0K-2.7K1.00111.02N/AN/A1010446363
2009-04-22$26.33$25.0039.4%11.3%44.2%11.5%0.0%-0.5%-2.1%9.3K-498.3K-2.9K0.6790.28N/AN/A3020456373
2009-04-23$27.16$25.0031.2%8.9%45.2%6.8%36.5%5.6%2.2%11.9K-628.6K-2.9K1.64114.50N/AN/A1118486393
2009-04-24$27.50$25.0028.1%8.0%44.4%5.0%0.0%4.5%8.4%11.4K-683.2K-2.9K0.8399.97N/AN/A1210487411
2009-04-27$26.65$25.0029.1%8.3%44.2%5.6%0.0%13.0%-5.2%7.6K-495.1K-3.3K0.00102.68N/AN/A200498421
2009-04-28$26.28$25.0036.9%10.6%41.3%10.1%0.0%6.9%4.8%9.7K-482.5K-3.3K0.10107.08N/AN/A202518421
2009-04-29$27.42$25.0038.8%11.1%42.9%11.2%0.0%7.9%-9.2%12.6K-704.4K-3.1K1.70129.37N/AN/A1017528423
2009-04-30$27.77$25.0025.8%7.4%42.4%3.7%24.9%6.7%12.9%13.1K-731.5K-3.2K1.38118.00N/AN/A1622538440