EPP Options History — March 2010

In March 2010, EPP traded between $40.95 and $43.50. ATM implied volatility averaged 22.5%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.8% (HV 20d: 20.7%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.45.

Notable Days

  • 2010-03-09: Highest Volume — 5,166 contracts
  • 2010-03-09: Largest IV drop — 14.8% change
  • 2010-03-01: Highest IV Rank — 19.0%
  • 2010-03-01: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.49$40.95$43.50$40.95$42.96
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV22.5%19.8%25.6%25.6%20.9%
Expected Move6.5%5.8%7.3%7.3%6.0%
HV 20d20.7%14.7%29.9%29.9%15.5%
HV 60d25.2%24.3%25.7%25.4%24.3%
IV Rank14.1%5.5%19.0%19.0%10.5%
IV Percentile13.5%1.6%36.9%36.9%4.8%
Term Structure-0.3%-2.1%1.9%-1.3%0.3%
VWIV22.8%20.0%26.2%20.0%21.6%
Skew 25d5.5%1.9%9.5%8.0%6.3%
Skew 10d8.3%1.2%16.6%2.7%16.6%
Call IV 25d18.9%12.8%23.6%19.7%16.8%
Put IV 25d24.4%19.8%27.7%27.7%23.1%
Bid-Ask Spread %75.4222.7596.7491.3327.65
Gamma HHI0.370.300.450.450.35
Net GEX823.3K292.3K1.5M302.7K1.5M
Net DEX-29.2M-41.2M-16.3M-16.3M-35.1M
Net VEX-159.9K-180.2K-101.0K-177.4K-146.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.0010.001.502.59
Total Volume365.43585,16645115
Total OI27,043.82622,75529,49422,75529,494

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$40.95$40.0025.6%7.3%29.9%19.0%20.0%8.0%-1.3%302.7K-16.3M-177.4K1.5091.33N/AN/A182711,13511,620
2010-03-02$41.07$40.0025.0%7.2%29.1%17.6%23.9%4.3%-1.4%292.3K-17.5M-172.6K2.3091.25N/AN/A4710811,15311,621
2010-03-03$41.40$40.0024.9%7.1%29.1%18.1%0.0%1.9%-1.5%329.5K-20.2M-168.4K10.0091.78N/AN/A11011,19811,710
2010-03-04$41.30$40.0024.8%7.1%28.9%18.0%26.2%2.1%-0.6%312.0K-18.7M-172.3K3.6493.21N/AN/A228011,19911,720
2010-03-05$42.23$40.0024.0%6.8%23.9%16.0%0.0%3.3%1.9%331.1K-21.7M-168.8K3.0596.74N/AN/A206111,21211,800
2010-03-08$42.17$40.0023.2%6.5%24.0%14.3%0.0%5.4%1.9%376.6K-23.5M-158.2K0.5786.85N/AN/A1146511,21711,861
2010-03-09$42.52$40.0019.8%6.5%23.7%5.5%24.4%6.8%0.3%388.4K-24.6M-159.7K0.9890.06N/AN/A2,6092,55711,32811,920
2010-03-10$42.61$40.0020.8%6.7%22.0%9.0%25.2%6.7%-1.0%685.6K-28.6M-177.3K1.5490.92N/AN/A568613,90714,477
2010-03-11$42.52$40.0022.5%6.4%21.7%13.9%23.2%5.9%-1.5%659.9K-28.0M-177.3K0.0087.31N/AN/A106013,94314,562
2010-03-12$42.39$40.0022.5%6.5%20.2%14.1%21.9%5.7%0.5%649.2K-29.0M-177.4K0.0090.02N/AN/A93014,02214,562
2010-03-15$42.16$40.0022.9%6.6%19.8%15.3%22.6%6.7%0.9%642.8K-25.6M-180.2K1.2788.65N/AN/A7910014,10414,562
2010-03-16$42.84$40.0022.6%6.5%18.2%16.4%23.2%5.6%-0.5%828.5K-30.9M-166.9K0.4690.48N/AN/A693214,15414,623
2010-03-17$43.22$40.0022.5%6.5%18.2%16.1%20.7%5.6%-0.3%935.1K-35.5M-153.6K0.6492.66N/AN/A1107014,18614,655
2010-03-18$43.06$40.0022.1%6.3%18.3%14.5%22.3%5.2%-0.6%989.9K-35.1M-149.4K0.2291.04N/AN/A1794014,27614,675
2010-03-19$42.70$40.0022.2%6.4%18.4%14.9%22.6%4.0%-0.7%1.0M-33.6M-155.2K0.3794.23N/AN/A1937114,41814,712
2010-03-22$42.79$40.0022.9%6.6%18.3%17.1%24.5%9.5%-1.7%1.1M-31.7M-159.8K0.6593.59N/AN/A996414,25314,160
2010-03-23$43.40$40.0022.5%6.4%17.0%15.9%23.1%5.1%-2.1%1.4M-41.2M-101.0K1.4495.43N/AN/A162314,34314,194
2010-03-24$42.67$40.0021.5%6.2%18.2%12.5%24.5%6.7%0.5%1.1M-31.4M-158.7K1.0023.01N/AN/A24124014,35914,217
2010-03-25$42.60$40.0020.7%5.9%16.3%9.8%21.4%3.4%1.5%1.2M-31.8M-160.2K0.4233.52N/AN/A843514,56114,437
2010-03-26$42.84$40.0021.3%6.1%15.7%11.9%20.4%4.2%0.1%1.2M-33.5M-152.2K0.4222.75N/AN/A622614,63814,468
2010-03-29$43.38$40.0022.1%6.3%14.7%14.6%20.8%7.0%-1.4%1.4M-37.8M-145.8K0.3334.10N/AN/A6214,69014,484
2010-03-30$43.50$40.0020.3%5.8%14.7%8.7%21.6%7.5%-0.1%1.4M-39.4M-137.4K0.0037.98N/AN/A369014,69414,484
2010-03-31$42.96$40.0020.9%6.0%15.5%10.5%0.0%6.3%0.3%1.5M-35.1M-146.9K2.5927.65N/AN/A328315,01014,484