EPP Options History — October 2009

In October 2009, EPP traded between $38.61 and $43.23. ATM implied volatility averaged 24.0%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 1.9% (HV 20d: 25.9%). Max pain ranged from $35.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2009-10-28: Highest Volume — 216 contracts
  • 2009-10-15: Largest IV spike — 26.8% change
  • 2009-10-28: Highest IV Rank — 19.6%
  • 2009-10-28: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.47$38.61$43.23$39.21$39.59
Max Pain$40.64$35.00$42.00$35.00$42.00
ATM IV24.0%17.8%31.4%25.0%29.2%
Expected Move7.3%6.4%9.0%7.2%8.4%
HV 20d25.9%23.9%30.7%25.4%30.7%
HV 60d24.4%23.1%26.1%25.2%26.1%
IV Rank6.3%0.0%19.6%2.7%16.4%
IV Percentile10.8%0.0%38.5%9.1%36.5%
Term Structure1.6%-3.8%6.0%4.3%0.1%
VWIV24.7%19.5%29.2%29.2%28.8%
Skew 25d3.5%-2.6%7.8%4.3%2.2%
Skew 10d5.7%-3.6%16.3%2.5%1.3%
Call IV 25d23.5%21.7%28.8%21.7%28.8%
Put IV 25d27.0%20.6%31.1%26.0%31.1%
Bid-Ask Spread %78.2345.90122.8981.70109.44
Gamma HHI0.250.140.490.380.18
Net GEX52.6K11.7K85.5K71.9K11.7K
Net DEX-2.2M-3.4M-603.4K-2.1M-603.4K
Net VEX-11.4K-12.0K-11.0K-11.4K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.005.000.000.54
Total Volume39.0450216063
Total OI1,945.5451,5722,3122,1131,825

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$39.21$35.0025.0%7.2%25.4%2.7%0.0%4.3%4.3%71.9K-2.1M-11.4K0.0081.70N/AN/A001,206907
2009-10-02$38.61$35.0025.7%7.4%26.0%3.1%0.0%2.6%2.4%67.9K-1.6M-11.2K0.00105.07N/AN/A101,206907
2009-10-05$39.42$40.0023.8%8.2%26.2%2.0%29.2%7.8%-0.2%85.4K-1.9M-11.1K5.0053.25N/AN/A3151,206907
2009-10-06$40.02$40.0024.8%7.7%24.7%2.6%26.4%3.8%1.3%76.1K-2.2M-11.2K0.0066.50N/AN/A801,209922
2009-10-07$40.53$40.0022.1%7.5%25.0%1.0%0.0%2.7%1.7%85.5K-2.4M-11.2K0.1958.51N/AN/A1631,212922
2009-10-08$41.69$40.0022.8%7.2%26.4%1.5%23.8%3.8%1.9%57.9K-3.0M-11.1K0.1152.65N/AN/A4451,225925
2009-10-09$41.61$40.0021.3%7.2%26.3%0.6%26.6%3.2%1.5%75.7K-3.1M-11.1K2.5749.27N/AN/A14361,262930
2009-10-12$41.58$40.0019.0%7.2%26.1%0.0%25.3%3.7%1.1%45.9K-2.9M-11.0K0.0058.21N/AN/A9101,220965
2009-10-13$41.52$40.0017.8%7.4%26.2%0.0%25.7%3.0%0.7%53.5K-2.9M-11.3K0.2945.90N/AN/A49141,257965
2009-10-14$42.80$40.0019.5%6.8%25.3%1.0%20.2%4.7%2.7%42.1K-3.3M-11.5K1.0769.65N/AN/A28301,284979
2009-10-15$42.99$42.0024.7%7.1%24.8%4.0%0.0%3.2%1.0%37.5K-3.4M-11.7K0.0071.31N/AN/A8801,3031,009
2009-10-16$42.39$42.0026.0%7.5%25.5%11.5%24.4%4.9%-0.6%38.2K-3.1M-11.4K0.0471.11N/AN/A2311,272989
2009-10-19$43.11$42.0023.4%6.7%25.5%7.9%25.4%4.9%0.6%41.7K-2.0M-11.8K0.3880.83N/AN/A135991581
2009-10-20$42.90$42.0023.1%6.6%25.0%7.5%23.3%4.4%3.4%42.8K-2.0M-11.8K0.9177.39N/AN/A1110998586
2009-10-21$42.88$42.0024.2%6.9%24.8%9.0%22.2%4.2%1.7%44.4K-2.1M-11.8K0.0083.69N/AN/A301,009596
2009-10-22$43.23$42.0024.6%7.1%23.9%9.6%23.0%3.1%3.0%45.8K-2.0M-11.7K0.0086.90N/AN/A2901,012596
2009-10-23$42.78$42.0023.9%6.8%24.5%8.5%23.6%2.9%5.4%51.7K-2.0M-11.7K0.0092.10N/AN/A2001,039596
2009-10-26$42.35$42.0022.2%6.4%24.7%6.3%19.5%1.7%6.0%59.8K-2.1M-11.4K0.0096.74N/AN/A101,059596
2009-10-27$41.79$42.0024.9%7.2%25.4%10.0%0.0%3.8%1.3%56.9K-1.7M-11.4K0.0089.42N/AN/A1301,060596
2009-10-28$40.17$42.0031.4%9.0%29.2%19.6%27.7%-2.6%-3.8%44.3K-1.1M-11.0K3.00122.89N/AN/A541621,053596
2009-10-29$41.14$42.0027.8%8.0%27.7%14.4%0.0%4.9%0.0%19.9K-1.0M-12.0K0.2098.51N/AN/A511,083741
2009-10-30$39.59$42.0029.2%8.4%30.7%16.4%28.8%2.2%0.1%11.7K-603.4K-11.5K0.54109.44N/AN/A41221,083742