EPP Options History — August 2009

In August 2009, EPP traded between $35.34 and $37.30. ATM implied volatility averaged 25.5%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 0.1% (HV 20d: 25.6%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 7.95.

Notable Days

  • 2009-08-24: Highest Volume — 180 contracts
  • 2009-08-13: Largest IV spike — 21.3% change
  • 2009-08-19: Highest IV Rank — 5.7%
  • 2009-08-19: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.37$35.34$37.30$36.56$36.95
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV25.5%21.9%29.2%22.5%22.3%
Expected Move7.5%6.4%8.4%6.5%6.4%
HV 20d25.6%21.5%28.5%28.5%21.5%
HV 60d30.5%28.1%34.7%34.7%28.2%
IV Rank3.5%1.4%5.7%1.8%1.4%
IV Percentile9.8%1.6%21.0%2.0%1.6%
Term Structure4.4%0.7%13.2%8.5%13.2%
VWIV26.9%25.4%28.1%25.4%25.9%
Skew 25d1.9%-3.8%7.2%2.3%5.8%
Skew 10d8.1%-1.9%25.6%12.5%25.6%
Call IV 25d27.7%23.7%29.6%28.2%26.7%
Put IV 25d29.6%24.6%35.5%30.5%32.6%
Bid-Ask Spread %61.2335.9182.5861.5460.37
Gamma HHI0.590.380.830.830.67
Net GEX32.9K18.9K50.7K42.0K22.0K
Net DEX-1.6M-2.2M-1.1M-2.1M-1.1M
Net VEX-4.7K-7.2K-3.6K-3.6K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.950.00100.005.501.64
Total Volume55.28611801329
Total OI1,374.0481,1531,5681,1811,568

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$36.56$35.0022.5%6.5%28.5%1.8%0.0%2.3%8.5%42.0K-2.1M-3.6K5.5061.54N/AN/A211761420
2009-08-04$36.48$35.0025.8%7.4%26.0%3.7%25.4%2.5%2.9%36.6K-2.0M-3.6K1.3360.22N/AN/A1824723430
2009-08-05$35.89$35.0026.5%7.6%27.2%4.1%27.0%-3.8%2.1%39.8K-1.8M-3.9K11.0035.91N/AN/A111726453
2009-08-06$35.98$35.0024.1%6.9%27.2%2.7%0.0%2.9%7.1%34.7K-1.9M-3.8K0.0071.26N/AN/A1400727464
2009-08-07$36.17$35.0021.9%8.0%26.6%1.5%28.1%2.4%1.4%50.7K-2.0M-4.2K100.0063.95N/AN/A1100866464
2009-08-10$35.79$35.0026.0%8.0%27.5%3.8%26.8%2.1%2.3%37.2K-1.7M-4.6K0.0658.37N/AN/A342866564
2009-08-11$35.55$35.0027.6%8.2%26.7%4.8%0.0%3.0%1.2%36.6K-1.8M-4.6K0.0059.00N/AN/A160897566
2009-08-12$36.27$35.0022.4%8.0%23.4%1.8%27.8%-3.7%1.9%35.5K-2.0M-4.4K23.0082.58N/AN/A123913566
2009-08-13$37.02$35.0027.2%7.8%24.0%4.5%0.0%1.1%4.1%25.8K-2.2M-4.2K0.0044.37N/AN/A10914579
2009-08-14$36.34$35.0026.4%7.6%25.5%4.1%0.0%-0.1%5.0%37.5K-1.9M-4.3K0.0852.76N/AN/A252864579
2009-08-17$35.34$35.0028.6%8.2%26.3%5.3%0.0%2.4%1.7%45.9K-1.5M-4.4K0.2572.20N/AN/A5514864577
2009-08-18$36.05$35.0028.0%8.0%27.0%5.0%0.0%2.2%2.2%36.0K-1.8M-4.4K0.0076.94N/AN/A010886587
2009-08-19$36.14$35.0029.2%8.4%26.8%5.7%0.0%3.4%0.7%34.6K-1.3M-4.3K0.0078.74N/AN/A010750586
2009-08-20$36.23$35.0027.8%8.0%25.7%4.9%0.0%-2.2%1.6%26.2K-1.4M-4.2K0.0078.46N/AN/A750750596
2009-08-21$36.26$35.0027.5%7.9%25.6%4.7%27.5%1.9%2.3%22.9K-1.3M-4.3K0.0046.04N/AN/A210738596
2009-08-24$36.84$35.0026.5%7.6%25.7%4.1%25.9%-0.1%2.5%23.6K-1.2M-4.0K0.7545.66N/AN/A10377656544
2009-08-25$36.81$35.0023.1%6.6%25.7%2.1%0.0%2.1%9.8%24.4K-1.2M-5.4K0.7053.27N/AN/A10271732621
2009-08-26$36.57$35.0026.0%7.5%24.4%3.8%0.0%7.2%2.5%18.9K-1.1M-6.3K0.2055.54N/AN/A7615766670
2009-08-27$37.17$35.0023.1%6.6%22.9%2.2%0.0%4.3%10.3%29.2K-1.3M-6.9K5.0066.23N/AN/A210822685
2009-08-28$37.30$35.0023.2%6.7%22.7%2.2%0.0%4.0%8.2%30.5K-1.3M-6.8K1.6362.49N/AN/A3049824695
2009-08-31$36.95$35.0022.3%6.4%21.5%1.4%0.0%5.8%13.2%22.0K-1.1M-7.2K1.6460.37N/AN/A1118824744