EPP Options History — November 2009

In November 2009, EPP traded between $39.90 and $43.44. ATM implied volatility averaged 26.5%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 4.0% (HV 20d: 30.6%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 2.33.

Notable Days

  • 2009-11-27: Highest Volume — 179 contracts
  • 2009-11-04: Largest IV spike — 31.2% change
  • 2009-11-04: Highest IV Rank — 29.7%
  • 2009-11-04: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.91$39.90$43.44$40.13$41.85
Max Pain$40.40$40.00$42.00$42.00$40.00
ATM IV26.5%22.6%38.5%30.4%25.2%
Expected Move7.7%6.5%11.0%8.7%7.2%
HV 20d30.6%27.9%32.5%30.2%29.8%
HV 60d26.4%25.5%28.4%26.2%28.4%
IV Rank13.1%8.4%29.7%18.2%13.1%
IV Percentile23.4%5.2%58.3%38.5%20.2%
Term Structure-0.2%-4.5%1.8%-2.6%-0.6%
VWIV25.7%21.5%32.8%32.8%26.5%
Skew 25d4.2%2.4%7.4%3.8%6.8%
Skew 10d7.1%-1.0%18.1%-1.0%9.2%
Call IV 25d24.0%17.7%28.3%28.3%20.1%
Put IV 25d28.2%24.7%32.1%32.1%26.8%
Bid-Ask Spread %67.3231.08141.45115.5681.45
Gamma HHI0.170.140.220.160.16
Net GEX66.8K10.5K131.7K12.1K70.9K
Net DEX-1.8M-2.6M-570.5K-715.3K-1.7M
Net VEX-11.4K-12.2K-10.5K-12.0K-11.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.330.0019.250.000.85
Total Volume51.8511794074
Total OI2,068.51,8752,2901,8752,087

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$40.13$42.0030.4%8.7%30.2%18.2%32.8%3.8%-2.6%12.1K-715.3K-12.0K0.00115.56N/AN/A4001,113762
2009-11-03$39.90$42.0029.3%8.4%29.8%16.6%0.0%2.5%0.8%10.9K-570.5K-11.7K0.0095.71N/AN/A6301,153762
2009-11-04$40.23$42.0038.5%11.0%29.6%29.7%32.1%7.4%-4.5%26.9K-937.4K-12.2K19.25141.45N/AN/A4771,182762
2009-11-05$40.61$42.0028.5%8.2%27.9%15.4%25.2%2.4%0.7%10.5K-895.8K-12.1K0.0092.11N/AN/A701,186839
2009-11-06$41.06$40.0027.9%8.1%28.2%14.6%0.0%3.3%-0.6%15.1K-1.1M-12.1K0.0042.51N/AN/A031,190839
2009-11-09$42.76$40.0025.4%8.0%31.8%10.9%28.4%3.9%-2.1%65.3K-2.1M-11.4K0.0837.61N/AN/A6251,190837
2009-11-10$42.64$40.0025.9%7.7%31.8%11.6%0.0%3.8%-0.5%61.8K-2.2M-12.0K0.0031.08N/AN/A301,242841
2009-11-11$42.94$40.0025.9%7.5%30.0%11.7%26.4%4.1%1.6%83.5K-2.4M-11.8K12.5035.38N/AN/A81001,244841
2009-11-12$42.13$40.0027.0%7.7%30.7%13.2%23.9%4.6%0.8%77.9K-2.1M-11.1K0.3045.92N/AN/A33101,210921
2009-11-13$42.70$40.0025.1%7.2%30.7%10.5%0.0%2.8%1.0%98.3K-2.2M-11.7K0.0045.44N/AN/A031,235951
2009-11-16$43.44$40.0025.1%7.2%30.7%10.5%24.6%3.0%0.4%104.6K-2.6M-11.0K0.5050.52N/AN/A60301,235954
2009-11-17$42.97$40.0024.7%7.1%30.9%10.0%0.0%2.9%-0.3%131.7K-2.4M-11.4K0.0057.65N/AN/A101,293984
2009-11-18$42.73$40.0024.9%7.2%31.0%10.3%23.4%3.7%-1.9%124.8K-2.2M-11.5K0.0454.05N/AN/A2411,293984
2009-11-19$41.99$40.0026.0%7.4%31.4%11.8%24.7%3.3%0.4%84.8K-1.7M-11.6K0.0066.45N/AN/A15801,305985
2009-11-20$41.68$40.0025.4%7.3%31.3%10.9%25.2%4.8%-0.1%63.1K-1.5M-11.0K0.0059.68N/AN/A0151,287987
2009-11-23$42.58$40.0024.2%6.9%32.1%10.1%22.5%3.2%1.5%67.5K-2.1M-10.9K0.1067.74N/AN/A3031,164718
2009-11-24$42.02$40.0023.2%6.6%32.1%9.5%23.4%3.3%1.8%74.2K-1.8M-10.9K0.4575.54N/AN/A2091,193720
2009-11-25$42.87$40.0022.6%6.5%29.2%8.4%24.6%7.2%1.3%81.9K-2.3M-10.8K4.0078.29N/AN/A3121,212727
2009-11-27$41.04$40.0025.8%7.4%32.5%14.0%21.5%6.8%-0.5%69.6K-1.3M-10.5K1.5672.20N/AN/A701091,215727
2009-11-30$41.85$40.0025.2%7.2%29.8%13.1%26.5%6.8%-0.6%70.9K-1.7M-11.0K0.8581.45N/AN/A40341,262825