EPP Options History — January 2010

In January 2010, EPP traded between $38.18 and $43.66. ATM implied volatility averaged 22.9%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 0.2% (HV 20d: 23.1%). Max pain ranged from $43.00 to $43.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.32.

Notable Days

2010-01-22: Highest Volume — 379 contracts
2010-01-14: Largest IV spike — 17.7% change
2010-01-29: Highest IV Rank — 23.6%
2010-01-29: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.67	$38.18	$43.66	$42.76	$38.18
Max Pain	$43.00	$43.00	$43.00	$43.00	$43.00
ATM IV	22.9%	18.4%	27.4%	21.0%	27.4%
Expected Move	6.7%	6.1%	7.9%	6.3%	7.9%
HV 20d	23.1%	19.3%	27.4%	20.8%	27.4%
HV 60d	26.5%	25.3%	27.8%	26.9%	25.6%
IV Rank	12.2%	1.5%	23.6%	7.2%	23.6%
IV Percentile	17.3%	0.4%	50.8%	2.4%	50.8%
Term Structure	-1.0%	-9.6%	1.6%	-1.1%	1.6%
VWIV	22.1%	15.2%	27.6%	22.1%	27.6%
Skew 25d	2.9%	1.0%	10.0%	10.0%	2.6%
Skew 10d	9.2%	2.0%	13.8%	5.2%	9.5%
Call IV 25d	21.5%	13.9%	25.6%	13.9%	25.2%
Put IV 25d	24.4%	22.3%	28.8%	24.0%	27.8%
Bid-Ask Spread %	62.62	39.17	90.70	39.17	85.67
Gamma HHI	0.14	0.10	0.23	0.11	0.11
Net GEX	22.0K	-67.8K	83.3K	20.2K	-67.8K
Net DEX	-600.6K	-2.0M	1.8M	-1.3M	1.8M
Net VEX	-7.2K	-8.7K	-6.5K	-7.8K	-8.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.32	0.00	11.23	0.00	4.79
Total Volume	82.368	9	379	44	162
Total OI	1,882.579	1,398	2,092	2,011	2,092

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-01-04	$42.76	$43.00	21.0%	6.3%	20.8%	7.2%	22.1%	10.0%	-1.1%	20.2K	-1.3M	-7.8K	0.00	39.17	N/A	N/A	44	0	945	1,066
2010-01-05	$42.98	$43.00	20.8%	6.3%	20.6%	6.9%	19.7%	2.8%	-9.6%	40.8K	-1.7M	-7.4K	0.18	50.31	N/A	N/A	11	2	986	1,066
2010-01-06	$43.20	$43.00	20.9%	6.2%	20.0%	7.0%	0.0%	3.9%	-7.8%	43.1K	-1.7M	-6.8K	0.00	44.65	N/A	N/A	53	0	977	1,068
2010-01-07	$42.86	$43.00	22.2%	6.3%	19.3%	9.9%	21.9%	3.2%	0.4%	43.7K	-1.5M	-7.3K	0.06	46.55	N/A	N/A	16	1	969	1,068
2010-01-08	$43.37	$43.00	20.8%	6.1%	19.5%	7.2%	21.0%	4.0%	-2.3%	58.8K	-1.8M	-6.6K	0.06	46.71	N/A	N/A	32	2	969	1,067
2010-01-11	$43.66	$43.00	21.4%	6.2%	19.5%	8.5%	21.4%	2.3%	-1.5%	75.7K	-2.0M	-6.8K	0.56	50.98	N/A	N/A	36	20	999	1,067
2010-01-12	$42.52	$43.00	20.1%	6.2%	21.9%	5.4%	0.0%	1.3%	0.5%	49.1K	-1.4M	-7.0K	0.00	53.02	N/A	N/A	21	0	976	1,087
2010-01-13	$42.89	$43.00	18.4%	6.2%	21.9%	1.5%	21.2%	3.6%	1.1%	67.3K	-1.5M	-6.6K	2.92	52.20	N/A	N/A	12	35	976	1,087
2010-01-14	$43.16	$43.00	21.6%	6.2%	21.2%	9.1%	0.0%	2.6%	-3.1%	83.3K	-1.5M	-6.7K	0.00	49.11	N/A	N/A	32	0	941	1,092
2010-01-15	$42.46	$43.00	21.9%	6.3%	22.1%	9.8%	22.8%	1.0%	0.5%	50.2K	-1.2M	-6.5K	0.00	50.65	N/A	N/A	133	0	941	1,092
2010-01-19	$43.04	$43.00	21.1%	6.1%	21.1%	7.9%	19.6%	3.7%	0.1%	39.6K	-937.0K	-6.8K	0.57	67.28	N/A	N/A	63	36	788	610
2010-01-20	$41.82	$43.00	22.1%	6.3%	23.8%	10.3%	23.6%	1.8%	-0.3%	27.6K	-463.0K	-7.1K	0.00	64.50	N/A	N/A	18	0	851	637
2010-01-21	$40.46	$43.00	23.5%	6.8%	26.6%	14.1%	23.5%	1.2%	-0.1%	11.3K	-81.3K	-6.8K	2.69	78.08	N/A	N/A	29	78	869	637
2010-01-22	$39.83	$43.00	26.1%	7.5%	26.6%	20.3%	15.2%	1.4%	0.9%	-1.2K	389.3K	-7.2K	11.23	83.55	N/A	N/A	31	348	883	700
2010-01-25	$40.37	$43.00	26.3%	7.5%	26.8%	20.9%	24.1%	2.3%	0.4%	-23.5K	538.2K	-8.3K	0.00	79.06	N/A	N/A	9	0	900	917
2010-01-26	$39.68	$43.00	26.0%	7.4%	26.7%	20.0%	0.0%	1.8%	1.0%	-32.2K	823.1K	-7.7K	0.00	79.03	N/A	N/A	22	0	891	917
2010-01-27	$39.44	$43.00	25.8%	7.4%	26.6%	19.7%	25.8%	3.0%	0.3%	-31.3K	936.5K	-7.9K	0.75	90.70	N/A	N/A	20	15	903	917
2010-01-28	$39.11	$43.00	27.4%	7.8%	26.4%	23.4%	0.0%	3.1%	0.5%	-36.9K	1.1M	-7.5K	0.00	78.61	N/A	N/A	0	284	886	932
2010-01-29	$38.18	$43.00	27.4%	7.9%	27.4%	23.6%	27.6%	2.6%	1.6%	-67.8K	1.8M	-8.7K	4.79	85.67	N/A	N/A	28	134	886	1,206