EPP Options History — December 2009

In December 2009, EPP traded between $39.77 and $42.79. ATM implied volatility averaged 23.9%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.9% (HV 20d: 25.7%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 3.11.

Notable Days

  • 2009-12-31: Highest Volume — 136 contracts
  • 2009-12-10: Largest IV drop — 11.3% change
  • 2009-12-09: Highest IV Rank — 15.9%
  • 2009-12-09: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.36$39.77$42.79$42.79$41.37
Max Pain$39.91$38.00$40.00$40.00$40.00
ATM IV23.9%20.9%26.9%24.9%20.9%
Expected Move6.8%6.0%7.3%7.1%6.0%
HV 20d25.7%16.8%30.7%30.4%16.8%
HV 60d27.5%26.1%28.5%28.5%26.1%
IV Rank11.7%7.1%15.9%12.5%7.1%
IV Percentile13.0%2.0%35.3%15.5%2.0%
Term Structure2.4%-3.0%11.2%-0.3%2.2%
VWIV25.0%16.9%42.2%25.8%20.3%
Skew 25d4.0%-0.5%6.9%4.3%-0.5%
Skew 10d6.8%0.0%16.7%6.3%2.6%
Call IV 25d22.2%19.4%25.0%23.1%20.7%
Put IV 25d26.2%20.2%29.1%27.4%20.2%
Bid-Ask Spread %86.3944.2995.7674.9744.29
Gamma HHI0.140.090.260.150.12
Net GEX55.6K6.6K99.9K86.8K24.1K
Net DEX-1.3M-2.8M-203.9K-2.5M-933.0K
Net VEX-9.3K-11.4K-6.8K-10.6K-7.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.110.0033.000.2033.00
Total Volume39.591013665136
Total OI2,115.7731,8662,3192,1261,879

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$42.79$40.0024.9%7.1%30.4%12.5%25.8%4.3%-0.3%86.8K-2.5M-10.6K0.2074.97N/AN/A54111,291835
2009-12-02$42.74$40.0024.5%7.0%30.3%11.9%0.0%3.0%-0.8%93.8K-2.8M-11.4K0.0087.10N/AN/A001,333824
2009-12-03$42.58$40.0024.1%6.9%30.3%11.0%0.0%3.7%-1.5%99.9K-2.6M-11.0K0.0086.41N/AN/A101,333824
2009-12-04$42.24$38.0024.4%7.0%30.4%11.7%28.0%6.2%3.9%97.8K-2.3M-10.8K8.6986.74N/AN/A131131,334824
2009-12-07$41.69$40.0025.3%6.7%30.7%13.1%0.0%6.9%4.3%88.7K-1.9M-10.6K0.0086.33N/AN/A001,337878
2009-12-08$41.08$40.0026.7%7.2%27.3%15.6%26.5%4.2%2.9%81.4K-1.4M-10.3K8.0083.27N/AN/A10801,337878
2009-12-09$41.45$40.0026.9%7.3%27.5%15.9%27.9%5.5%1.5%70.9K-1.4M-10.7K0.1988.26N/AN/A3671,332958
2009-12-10$41.77$40.0023.8%6.8%27.6%10.6%27.7%2.9%8.2%72.8K-1.8M-10.6K0.0089.24N/AN/A021,328965
2009-12-11$41.60$40.0022.9%6.6%26.8%9.0%23.6%3.3%2.9%78.4K-1.6M-9.9K5.6089.61N/AN/A5281,328966
2009-12-14$41.92$40.0023.9%6.9%26.5%10.8%22.5%6.0%3.7%79.6K-1.7M-9.9K0.0984.74N/AN/A1111,329985
2009-12-15$41.30$40.0024.8%7.1%26.0%12.7%0.0%2.8%11.2%70.8K-1.4M-9.9K0.0084.73N/AN/A101,333986
2009-12-16$41.21$40.0023.7%6.8%25.8%11.7%24.4%4.9%5.8%67.9K-1.2M-9.5K2.0089.07N/AN/A121,287986
2009-12-17$40.42$40.0024.8%7.1%26.5%13.8%16.9%3.4%-3.0%63.9K-469.2K-8.7K0.1289.75N/AN/A2531,286988
2009-12-18$40.74$40.0023.3%6.7%26.2%10.9%24.4%5.1%3.7%47.3K-650.4K-9.0K0.1985.08N/AN/A2141,284968
2009-12-21$40.43$40.0024.3%7.0%26.2%13.7%23.4%6.0%2.5%7.2K-444.0K-8.3K0.3690.48N/AN/A39141,024910
2009-12-22$39.77$40.0024.8%7.1%25.2%15.9%25.1%2.2%1.2%11.5K-203.9K-8.5K0.0089.89N/AN/A3201,002914
2009-12-23$40.15$40.0022.7%6.5%25.3%11.2%42.2%6.7%0.0%6.6K-294.3K-6.8K0.4194.18N/AN/A79321,004904
2009-12-24$40.84$40.0023.3%6.7%25.0%12.4%22.8%5.6%0.3%19.6K-604.0K-8.3K0.0095.76N/AN/A920994936
2009-12-28$41.05$40.0022.6%6.5%19.8%10.9%22.4%2.3%0.5%13.6K-629.2K-7.6K0.2592.58N/AN/A41968936
2009-12-29$41.44$40.0021.7%6.2%18.8%8.9%0.0%-0.0%1.5%20.7K-777.6K-7.8K0.0093.49N/AN/A70929937
2009-12-30$41.42$40.0021.0%6.0%16.8%7.2%21.4%3.7%1.4%20.7K-767.1K-7.7K0.0094.61N/AN/A60936937
2009-12-31$41.37$40.0020.9%6.0%16.8%7.1%20.3%-0.5%2.2%24.1K-933.0K-7.8K33.0044.29N/AN/A4132942937