EPP Options History — May 2009

In May 2009, EPP traded between $27.85 and $32.07. ATM implied volatility averaged 35.9%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 10.2% (HV 20d: 46.1%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.11.

Notable Days

2009-05-26: Highest Volume — 98 contracts
2009-05-27: Largest IV spike — 24.3% change
2009-05-12: Highest IV Rank — 13.7%
2009-05-11: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.13	$27.85	$32.07	$27.85	$32.07
Max Pain	$29.75	$25.00	$30.00	$25.00	$30.00
ATM IV	35.9%	28.5%	43.2%	33.2%	28.6%
Expected Move	10.1%	8.2%	11.9%	9.5%	8.2%
HV 20d	46.1%	39.1%	50.2%	39.1%	45.7%
HV 60d	47.9%	46.2%	49.8%	48.5%	46.2%
IV Rank	9.5%	5.2%	13.7%	7.9%	5.3%
IV Percentile	37.0%	13.9%	53.2%	36.9%	13.9%
Term Structure	-1.8%	-11.8%	9.0%	2.8%	9.0%
VWIV	34.3%	29.5%	37.3%	37.3%	35.3%
Skew 25d	3.1%	-8.0%	14.2%	5.3%	0.9%
Skew 10d	4.4%	-8.1%	20.5%	10.5%	-3.4%
Call IV 25d	28.7%	21.3%	39.0%	29.5%	29.7%
Put IV 25d	31.8%	21.9%	49.7%	34.9%	30.5%
Bid-Ask Spread %	90.58	75.05	101.08	75.05	94.27
Gamma HHI	0.53	0.45	0.66	0.51	0.58
Net GEX	18.5K	13.7K	21.9K	13.7K	21.0K
Net DEX	-899.4K	-1.3M	-639.9K	-751.4K	-1.2M
Net VEX	-3.4K	-4.2K	-2.9K	-3.2K	-3.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.11	0.00	8.33	0.55	1.14
Total Volume	33	0	98	31	77
Total OI	1,092.7	1,016	1,262	1,016	1,262

Daily Data (20 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
2009-05-01	$27.85	$25.00	33.2%	9.5%	39.1%	7.9%	0.0%	5.3%	2.8%	13.7K	-751.4K	-3.2K	0.55	75.05	N/A	N/A	20	11	554	462
2009-05-04	$29.57	$30.00	38.8%	10.7%	43.9%	11.1%	37.3%	1.8%	-5.0%	17.1K	-991.5K	-3.2K	0.89	83.09	N/A	N/A	9	8	574	473
2009-05-05	$29.32	$30.00	41.4%	10.0%	43.6%	12.6%	0.0%	2.2%	-1.7%	16.6K	-1.0M	-3.4K	0.00	77.03	N/A	N/A	10	0	582	469
2009-05-06	$30.35	$30.00	36.3%	10.1%	43.6%	9.7%	0.0%	-2.1%	-0.7%	19.7K	-1.2M	-2.9K	0.00	87.75	N/A	N/A	9	0	592	469
2009-05-07	$30.01	$30.00	38.8%	10.5%	44.1%	11.2%	0.0%	8.2%	-3.0%	17.7K	-1.2M	-3.2K	3.20	76.99	N/A	N/A	10	32	601	469
2009-05-08	$31.25	$30.00	37.9%	10.3%	44.6%	10.6%	0.0%	10.7%	-2.1%	17.3K	-1.3M	-3.3K	0.00	99.48	N/A	N/A	90	0	611	501
2009-05-11	$29.90	$30.00	41.7%	11.9%	48.0%	12.8%	29.5%	-2.8%	-11.8%	17.4K	-888.3K	-3.2K	0.50	89.70	N/A	N/A	6	3	524	501
2009-05-12	$30.13	$30.00	43.2%	11.6%	47.7%	13.7%	0.0%	4.6%	-5.6%	17.2K	-867.8K	-3.2K	0.00	89.77	N/A	N/A	0	0	524	504
2009-05-13	$28.96	$30.00	35.8%	10.3%	49.9%	9.5%	36.0%	14.2%	-3.3%	18.7K	-699.0K	-3.1K	8.33	81.83	N/A	N/A	3	25	524	504
2009-05-14	$29.34	$30.00	36.4%	10.4%	50.0%	9.8%	0.0%	9.5%	-4.3%	19.0K	-639.9K	-3.2K	0.00	85.99	N/A	N/A	20	0	527	524
2009-05-15	$28.88	$30.00	34.8%	10.0%	50.2%	8.9%	0.0%	8.4%	-9.1%	21.5K	-666.9K	-3.0K	2.60	100.14	N/A	N/A	20	52	540	524
2009-05-18	$30.36	$30.00	34.1%	9.8%	47.9%	8.5%	33.5%	11.8%	-4.8%	18.3K	-783.4K	-3.4K	0.00	98.83	N/A	N/A	8	0	549	525
2009-05-19	$30.72	$30.00	34.5%	9.9%	47.3%	8.7%	0.0%	0.3%	-1.1%	14.5K	-871.9K	-3.4K	0.29	96.27	N/A	N/A	45	13	546	525
2009-05-20	$30.66	$30.00	35.3%	10.1%	46.6%	9.1%	0.0%	2.6%	-9.1%	17.5K	-852.6K	-3.2K	0.33	95.43	N/A	N/A	15	5	543	538
2009-05-21	$30.05	$30.00	35.9%	10.3%	46.7%	9.5%	34.1%	3.8%	-4.2%	18.4K	-652.3K	-3.8K	0.60	90.29	N/A	N/A	10	6	558	543
2009-05-22	$30.34	$30.00	32.2%	9.2%	46.7%	7.4%	0.0%	-8.0%	9.0%	21.3K	-707.8K	-3.4K	0.00	94.16	N/A	N/A	5	0	568	546
2009-05-26	$31.30	$30.00	28.5%	8.2%	45.5%	5.2%	0.0%	-2.1%	7.9%	21.2K	-871.7K	-3.5K	0.11	101.08	N/A	N/A	88	10	573	546
2009-05-27	$30.61	$30.00	35.4%	10.1%	46.1%	9.2%	35.3%	-6.3%	0.8%	21.9K	-934.1K	-4.2K	1.50	96.61	N/A	N/A	20	30	661	556
2009-05-28	$30.87	$30.00	34.5%	9.9%	44.2%	8.7%	0.0%	-1.3%	0.8%	20.4K	-951.8K	-4.2K	0.00	97.78	N/A	N/A	0	0	676	586
2009-05-29	$32.07	$30.00	28.6%	8.2%	45.7%	5.3%	0.0%	0.9%	9.0%	21.0K	-1.2M	-3.9K	1.14	94.27	N/A	N/A	36	41	676	586