EPP Options History — September 2009

In September 2009, EPP traded between $36.22 and $40.53. ATM implied volatility averaged 25.0%, placing in the 2.8% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 2.4% (HV 20d: 22.6%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.50.

Notable Days

  • 2009-09-24: Highest Volume — 249 contracts
  • 2009-09-08: Largest IV drop — 16.6% change
  • 2009-09-01: Highest IV Rank — 4.5%
  • 2009-09-04: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.98$36.22$40.53$36.26$40.53
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV25.0%20.9%27.7%27.7%24.2%
Expected Move7.4%6.7%9.1%7.9%6.9%
HV 20d22.6%18.7%24.6%22.5%21.5%
HV 60d26.6%24.0%28.5%28.3%24.0%
IV Rank2.8%0.6%4.5%4.5%2.3%
IV Percentile8.5%0.8%19.0%17.1%6.3%
Term Structure3.1%-1.1%8.8%3.8%1.7%
VWIV26.7%23.4%34.2%30.5%34.2%
Skew 25d4.8%-1.8%29.5%2.7%3.3%
Skew 10d8.8%0.6%48.3%1.4%9.0%
Call IV 25d23.3%18.3%26.5%26.5%23.0%
Put IV 25d28.1%24.4%50.1%29.1%26.3%
Bid-Ask Spread %59.2234.8297.2846.3093.38
Gamma HHI0.700.370.970.500.38
Net GEX63.7K-4.8K211.6K15.9K67.5K
Net DEX-1.7M-2.4M-747.1K-1.0M-2.3M
Net VEX-8.6K-11.6K-6.9K-7.4K-11.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.0013.4513.450.00
Total Volume63.905024915938
Total OI1,798.5241,5752,0751,5942,075

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$36.26$35.0027.7%7.9%22.5%4.5%30.5%2.7%3.8%15.9K-1.0M-7.4K13.4546.30N/AN/A11148832762
2009-09-02$36.22$35.0027.5%7.9%21.7%4.4%0.0%2.1%2.4%-4.8K-747.1K-7.7K0.0034.82N/AN/A210835852
2009-09-03$36.72$35.0023.4%6.7%22.2%2.1%0.0%2.9%8.8%-2.9K-952.6K-7.6K0.0040.32N/AN/A010843852
2009-09-04$37.41$35.0025.1%9.1%23.0%3.0%30.2%7.6%1.9%16.6K-1.1M-7.7K0.0043.68N/AN/A90843862
2009-09-08$38.53$35.0020.9%7.4%24.6%0.6%25.8%4.7%2.5%46.0K-1.6M-6.9K0.1539.31N/AN/A7912837862
2009-09-09$38.64$35.0021.7%7.2%24.3%0.8%25.2%4.2%4.0%56.2K-1.7M-7.4K0.0091.67N/AN/A140901864
2009-09-10$39.16$35.0024.9%7.1%23.8%2.6%0.0%5.2%5.3%57.9K-1.8M-7.4K0.0049.05N/AN/A021909864
2009-09-11$39.00$35.0025.3%7.3%23.1%2.9%0.0%4.9%2.8%73.8K-1.7M-7.5K0.0045.54N/AN/A60909885
2009-09-14$38.76$35.0025.7%7.4%22.0%3.1%0.0%4.2%3.4%62.3K-1.6M-7.3K0.0041.49N/AN/A020910885
2009-09-15$38.80$35.0025.7%7.4%18.7%3.1%0.0%3.4%4.3%63.8K-1.6M-7.5K0.0747.82N/AN/A13610910905
2009-09-16$40.23$35.0025.3%7.2%21.2%2.9%0.0%29.5%4.4%170.4K-2.4M-8.3K0.1749.54N/AN/A90151,014915
2009-09-17$39.85$35.0024.8%7.1%21.8%2.6%24.4%1.5%5.1%190.7K-2.2M-8.4K0.0062.92N/AN/A4501,023900
2009-09-18$39.72$35.0025.5%7.3%22.0%3.0%25.5%2.2%3.6%211.6K-2.0M-8.3K3.1357.85N/AN/A8251,004900
2009-09-21$39.34$35.0026.5%7.6%22.6%3.6%25.9%4.3%1.7%32.4K-1.5M-8.2K0.0089.82N/AN/A180815760
2009-09-22$40.15$35.0025.0%7.2%22.9%2.7%0.0%3.0%2.0%35.9K-1.8M-8.2K0.5954.23N/AN/A3420833760
2009-09-23$39.94$35.0024.9%7.1%23.1%2.7%25.2%-1.8%-1.0%37.2K-1.9M-8.4K0.1097.28N/AN/A12112867780
2009-09-24$39.36$35.0023.9%6.9%23.8%2.1%23.9%1.0%4.6%43.3K-1.8M-9.7K1.1371.71N/AN/A117132976792
2009-09-25$39.60$35.0024.6%7.1%23.3%2.5%23.4%5.0%2.5%50.9K-1.8M-11.3K6.6757.75N/AN/A3201,082887
2009-09-28$40.13$35.0027.0%7.7%23.6%3.8%26.8%8.6%-1.1%48.1K-1.9M-11.3K0.0063.34N/AN/A14701,082907
2009-09-29$40.21$35.0025.2%7.2%23.1%2.8%0.0%2.4%1.3%65.4K-2.2M-11.6K0.0065.88N/AN/A001,168907
2009-09-30$40.53$35.0024.2%6.9%21.5%2.3%34.2%3.3%1.7%67.5K-2.3M-11.6K0.0093.38N/AN/A3801,168907