EPP Options History — June 2009

In June 2009, EPP traded between $30.19 and $33.88. ATM implied volatility averaged 30.3%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 5.7% (HV 20d: 36.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 2.07.

Notable Days

  • 2009-06-08: Highest Volume — 170 contracts
  • 2009-06-08: Largest IV spike — 72.0% change
  • 2009-06-15: Highest IV Rank — 9.9%
  • 2009-06-15: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.17$30.19$33.88$33.22$31.67
Max Pain$30.45$30.00$35.00$30.00$30.00
ATM IV30.3%20.3%36.6%26.5%29.3%
Expected Move8.7%6.6%10.5%7.6%8.4%
HV 20d36.0%29.4%46.7%46.7%29.4%
HV 60d42.5%39.0%45.0%44.9%39.0%
IV Rank6.3%0.6%9.9%4.1%5.7%
IV Percentile19.3%1.2%37.7%5.2%13.5%
Term Structure0.6%-7.1%12.8%0.4%6.9%
VWIV40.4%17.8%130.1%29.3%24.3%
Skew 25d6.4%1.8%15.0%2.4%11.3%
Skew 10d8.9%1.0%33.4%1.0%13.4%
Call IV 25d26.1%18.3%32.6%29.7%21.2%
Put IV 25d32.5%29.7%36.1%32.1%32.5%
Bid-Ask Spread %79.0144.62108.5795.0155.01
Gamma HHI0.670.490.800.520.68
Net GEX29.0K5.6K42.0K11.3K29.0K
Net DEX-1.1M-2.2M562.7K-1.5M-663.7K
Net VEX-5.1K-5.7K-4.0K-4.2K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.070.009.712.000.00
Total Volume50.6360170301
Total OI1,780.6821,3392,1661,3391,820

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$33.22$30.0026.5%7.6%46.7%4.1%29.3%2.4%0.4%11.3K-1.5M-4.2K2.0095.01N/AN/A1020712627
2009-06-02$33.46$30.0025.3%7.2%42.6%3.4%40.7%7.0%-3.0%5.6K-1.6M-4.0K0.0390.93N/AN/A903722647
2009-06-03$32.73$30.0028.4%8.1%43.5%5.2%0.0%5.5%-1.7%16.8K-1.5M-4.6K0.43108.57N/AN/A7030809644
2009-06-04$32.75$30.0028.9%8.3%42.1%5.5%0.0%6.6%-5.5%24.1K-1.4M-5.1K0.4490.81N/AN/A4520879674
2009-06-05$32.68$30.0020.3%7.7%41.8%0.6%0.0%6.5%3.3%25.1K-1.6M-5.2K0.0086.31N/AN/A00924694
2009-06-08$32.26$30.0034.9%10.4%39.9%8.9%36.6%5.9%-6.1%28.0K-1.3M-5.3K0.0688.01N/AN/A16010924694
2009-06-09$32.60$30.0025.8%7.0%36.2%3.7%0.0%6.4%2.2%38.1K-1.8M-5.7K0.0086.03N/AN/A0101,064704
2009-06-10$33.16$30.0033.6%6.9%36.4%8.2%0.0%6.3%5.5%34.2K-2.0M-5.2K0.0090.93N/AN/A001,064714
2009-06-11$33.88$30.0024.9%7.1%32.8%3.2%27.5%3.5%3.2%28.8K-2.2M-5.3K1.0258.69N/AN/A53541,064714
2009-06-12$33.42$30.0023.2%6.6%33.6%2.2%0.0%5.3%5.6%28.2K-2.0M-5.1K0.0092.64N/AN/A0101,058754
2009-06-15$32.12$30.0036.6%10.5%36.7%9.9%0.0%3.9%-6.5%37.2K-1.6M-5.4K5.4498.01N/AN/A18981,058764
2009-06-16$31.75$30.0035.8%10.3%33.1%9.4%37.0%1.8%-2.9%37.7K-1.3M-5.4K9.7174.83N/AN/A141361,069852
2009-06-17$31.45$30.0036.3%10.4%33.1%9.7%35.4%9.6%-3.5%42.0K-573.4K-5.5K5.1098.12N/AN/A10511,083988
2009-06-18$31.75$30.0036.6%10.5%33.2%9.9%17.8%4.8%-7.1%35.6K-542.0K-5.7K5.0075.52N/AN/A9451,0931,039
2009-06-19$31.96$30.0034.2%9.8%32.2%8.5%130.1%3.4%-1.1%30.7K-714.1K-5.5K0.4092.91N/AN/A25101,0921,074
2009-06-22$30.73$35.0033.6%9.6%35.4%8.2%30.6%3.5%-0.3%36.2K18.1K-5.2K0.0067.58N/AN/A0409751,030
2009-06-23$30.19$35.0035.7%10.2%34.1%9.4%35.7%5.0%-1.3%30.1K562.7K-5.2K0.0044.62N/AN/A0138991,070
2009-06-24$30.75$30.0033.1%9.5%33.9%7.9%0.0%7.0%0.9%29.3K-275.6K-5.4K1.4367.57N/AN/A710899883
2009-06-25$31.49$30.0027.9%8.0%34.8%4.9%24.3%10.9%7.9%36.3K-495.2K-4.8K0.0053.62N/AN/A230906893
2009-06-26$31.76$30.0030.0%8.6%32.1%6.1%0.0%8.4%3.2%27.9K-637.6K-5.0K0.0069.49N/AN/A00908893
2009-06-29$32.03$30.0026.5%7.6%29.4%4.1%0.0%15.0%12.8%25.5K-744.1K-4.9K0.0052.96N/AN/A190908893
2009-06-30$31.67$30.0029.3%8.4%29.4%5.7%0.0%11.3%6.9%29.0K-663.7K-4.9K0.0055.01N/AN/A10927893