EPP Options History — February 2010

In February 2010, EPP traded between $37.27 and $40.54. ATM implied volatility averaged 28.7%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 1.4% (HV 20d: 30.1%). Max pain ranged from $38.00 to $43.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 2.63.

Notable Days

  • 2010-02-25: Highest Volume — 20,070 contracts
  • 2010-02-04: Largest IV spike — 15.0% change
  • 2010-02-05: Highest IV Rank — 36.5%
  • 2010-02-05: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.23$37.27$40.54$39.03$40.09
Max Pain$39.00$38.00$43.00$43.00$39.00
ATM IV28.7%25.4%32.7%26.6%25.4%
Expected Move8.3%7.3%9.7%7.6%7.3%
HV 20d30.1%25.9%33.6%28.9%30.7%
HV 60d26.5%25.5%27.4%26.0%25.5%
IV Rank26.6%18.7%36.5%21.4%18.7%
IV Percentile56.2%35.7%67.9%46.8%35.7%
Term Structure0.0%-1.7%2.8%1.8%-0.9%
VWIV26.3%17.0%35.3%25.2%25.4%
Skew 25d5.4%-2.3%8.3%3.9%6.2%
Skew 10d11.0%0.1%21.3%2.3%11.0%
Call IV 25d25.9%22.6%30.1%24.3%23.3%
Put IV 25d31.3%22.2%36.8%28.2%29.6%
Bid-Ask Spread %74.3155.3888.6383.8484.91
Gamma HHI0.140.090.450.120.45
Net GEX-51.9K-93.8K220.6K-74.1K220.6K
Net DEX473.8K-11.7M2.5M1.7M-11.7M
Net VEX-18.6K-182.0K-8.2K-8.7K-182.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.630.0021.0021.001.20
Total Volume1,129.158120,0704497
Total OI3,714.9472,21422,6702,22322,670

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$39.03$43.0026.6%7.6%28.9%21.4%25.2%3.9%1.8%-74.1K1.7M-8.7K21.0083.84N/AN/A2429101,313
2010-02-02$39.38$43.0027.0%7.7%26.1%22.6%26.2%5.6%1.6%-74.1K1.4M-8.8K0.0085.66N/AN/A3109121,302
2010-02-03$39.05$42.0026.0%7.5%25.9%20.1%25.7%-2.3%2.2%-67.4K1.4M-8.7K0.4388.63N/AN/A739431,302
2010-02-04$37.39$42.0029.9%8.6%29.0%29.6%28.6%2.8%2.8%-59.9K2.1M-8.2K6.3887.05N/AN/A925879501,305
2010-02-05$37.47$38.0032.7%9.7%29.1%36.5%35.3%7.4%-1.6%-93.8K2.5M-10.8K0.1955.55N/AN/A81151,0421,753
2010-02-08$37.27$38.0030.6%9.7%28.3%31.3%0.0%6.0%-1.2%-87.0K2.2M-10.7K0.0057.44N/AN/A301,0941,746
2010-02-09$38.42$38.0032.1%9.3%31.0%34.9%29.1%5.9%-1.3%-84.0K1.7M-10.7K0.0056.53N/AN/A2301,0941,746
2010-02-10$38.17$38.0031.6%9.3%30.1%33.7%28.8%7.3%-1.7%-85.1K1.9M-10.7K0.0060.80N/AN/A301,0961,746
2010-02-11$39.24$38.0030.3%8.7%32.0%30.7%24.8%7.0%-0.0%-85.2K1.4M-10.5K0.6555.38N/AN/A65421,0991,746
2010-02-12$38.81$38.0030.6%8.8%31.8%31.3%0.0%5.3%-0.4%-85.4K1.7M-10.6K0.0064.41N/AN/A011,1041,778
2010-02-16$39.91$38.0029.6%8.5%33.6%28.9%25.0%5.5%-0.1%-83.1K913.5K-10.0K1.4074.08N/AN/A15211,1041,778
2010-02-17$40.33$38.0027.7%7.9%33.4%24.2%26.7%4.5%0.1%-86.9K597.3K-9.4K0.0070.24N/AN/A6601,0991,765
2010-02-18$40.54$38.0026.9%7.7%32.1%22.2%27.9%5.1%0.8%-85.0K337.9K-9.2K0.0079.00N/AN/A3601,1591,753
2010-02-19$40.22$38.0026.8%7.7%30.0%22.0%17.0%7.2%-0.4%-50.2K501.8K-9.1K15.0073.75N/AN/A1151,1931,753
2010-02-22$40.50$38.0028.2%8.1%29.6%25.5%22.9%7.2%0.5%-26.1K-138.4K-8.7K0.0083.02N/AN/A5309501,554
2010-02-23$39.77$38.0027.5%7.9%29.9%23.7%26.3%3.4%-0.2%-27.9K92.4K-8.8K0.1182.14N/AN/A7181,0021,554
2010-02-24$40.28$38.0027.3%7.8%29.6%23.1%0.0%5.4%-0.4%-14.3K-121.0K-8.7K0.0084.77N/AN/A401,0731,562
2010-02-25$39.49$38.0028.2%8.1%30.4%25.6%25.5%8.3%-1.1%-37.4K481.2K-8.6K1.0084.68N/AN/A10,04510,0251,0721,562
2010-02-26$40.09$39.0025.4%7.3%30.7%18.7%25.4%6.2%-0.9%220.6K-11.7M-182.0K1.2084.91N/AN/A445311,10311,567