EPP Options History — July 2009

In July 2009, EPP traded between $29.63 and $35.69. ATM implied volatility averaged 28.9%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 2.3% (HV 20d: 31.2%). 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 19 of 22 days. Put/call ratio averaged 0.84.

Notable Days

  • 2009-07-15: Highest Volume — 227 contracts
  • 2009-07-15: Largest IV spike — 54.4% change
  • 2009-07-15: Highest IV Rank — 12.0%
  • 2009-07-08: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.53$29.63$35.69$31.84$35.69
Max Pain$30.45$30.00$35.00$30.00$30.00
ATM IV28.9%23.6%40.2%26.7%25.1%
Expected Move8.2%6.8%9.7%7.7%7.2%
HV 20d31.2%28.4%34.9%28.6%28.4%
HV 60d37.8%34.6%39.4%38.9%34.6%
IV Rank5.5%2.5%12.0%4.2%3.3%
IV Percentile14.7%3.6%46.8%7.1%5.6%
Term Structure2.1%-0.8%10.8%9.2%3.0%
VWIV28.2%24.9%32.8%32.5%25.2%
Skew 25d8.3%1.7%39.0%9.2%3.3%
Skew 10d16.2%3.1%63.2%12.6%11.9%
Call IV 25d28.8%20.4%35.0%20.4%28.4%
Put IV 25d37.1%29.6%71.7%29.6%31.7%
Bid-Ask Spread %63.3533.8593.3753.5233.85
Gamma HHI0.680.520.820.670.82
Net GEX33.1K17.3K53.9K28.2K44.6K
Net DEX-1.1M-2.0M-123.5K-743.9K-2.0M
Net VEX-3.6K-4.8K-2.9K-4.6K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.006.670.006.67
Total Volume39.09102271023
Total OI1,432.3649381,9561,8201,161

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$31.84$30.0026.7%7.7%28.6%4.2%0.0%9.2%9.2%28.2K-743.9K-4.6K0.0053.52N/AN/A010927893
2009-07-02$30.68$30.0030.9%8.9%31.3%6.6%0.0%4.8%2.1%37.4K-270.7K-4.8K0.0079.02N/AN/A00927903
2009-07-06$30.53$35.0032.9%9.4%31.3%7.8%0.0%24.4%0.4%46.0K-472.1K-4.3K0.0062.33N/AN/A00927780
2009-07-07$29.79$35.0034.5%9.3%32.0%8.7%32.5%2.3%3.1%42.6K-359.8K-4.3K0.0089.22N/AN/A240927780
2009-07-08$29.63$30.0031.9%9.7%31.6%7.2%0.0%4.0%-0.8%46.8K-123.5K-4.4K0.8292.97N/AN/A4033951780
2009-07-09$30.11$30.0033.1%9.5%31.5%7.9%0.0%37.0%0.1%44.9K-299.6K-4.3K0.0083.99N/AN/A00944794
2009-07-10$29.92$30.0030.1%9.4%29.9%6.2%0.0%39.0%0.1%49.7K-166.8K-4.2K0.0083.04N/AN/A00944794
2009-07-13$30.13$30.0032.1%9.5%30.1%7.3%0.0%4.6%0.4%53.9K-227.6K-3.6K0.0093.37N/AN/A200917794
2009-07-14$31.08$30.0026.0%9.4%29.8%3.8%32.8%2.9%-0.6%40.5K-1.0M-3.4K2.4072.47N/AN/A512932794
2009-07-15$32.48$30.0040.2%7.7%33.7%12.0%28.2%7.7%10.8%18.9K-1.4M-3.2K0.0548.44N/AN/A21710933806
2009-07-16$32.65$30.0023.6%6.8%33.4%2.5%0.0%8.4%2.2%22.7K-2.0M-3.2K0.0050.88N/AN/A101,140816
2009-07-17$32.64$30.0028.0%8.0%33.3%5.0%0.0%4.2%1.4%17.3K-2.0M-3.1K0.0037.44N/AN/A20001,135771
2009-07-20$33.65$30.0026.4%7.6%34.9%4.0%31.8%3.5%2.2%19.0K-1.3M-2.9K2.8341.86N/AN/A617585353
2009-07-21$33.67$30.0025.6%7.3%31.2%3.6%26.2%2.7%2.5%18.0K-1.3M-2.9K0.0057.18N/AN/A160586370
2009-07-22$33.50$30.0027.2%7.8%30.3%4.5%27.4%4.0%-0.1%19.6K-1.3M-3.1K0.0051.32N/AN/A70601370
2009-07-23$34.32$30.0027.5%7.9%30.7%4.7%0.0%3.8%0.8%21.9K-1.4M-3.0K0.0058.04N/AN/A60606370
2009-07-24$34.19$30.0026.5%7.6%30.1%4.1%26.5%3.9%1.6%23.1K-1.4M-3.0K0.1250.90N/AN/A253612370
2009-07-27$34.68$30.0026.7%7.7%30.3%4.2%26.7%5.3%3.1%28.5K-1.5M-3.1K0.0057.44N/AN/A430637373
2009-07-28$34.94$30.0024.9%7.2%30.3%3.2%24.9%3.6%3.4%31.8K-1.6M-3.1K0.3158.39N/AN/A3912657373
2009-07-29$34.23$30.0027.2%7.8%31.1%4.5%0.0%2.0%0.3%35.7K-1.6M-3.4K1.0060.31N/AN/A1515694385
2009-07-30$35.27$30.0027.8%8.0%32.4%4.8%27.8%1.7%0.6%36.1K-1.8M-3.4K0.0077.64N/AN/A610700400
2009-07-31$35.69$30.0025.1%7.2%28.4%3.3%25.2%3.3%3.0%44.6K-2.0M-3.8K6.6733.85N/AN/A320761400