EPP Options History — April 2010

In April 2010, EPP traded between $42.13 and $45.11. ATM implied volatility averaged 21.1%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.8% (HV 20d: 17.2%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2010-04-19: Highest Volume — 590 contracts
  • 2010-04-13: Largest IV drop — 23.8% change
  • 2010-04-28: Highest IV Rank — 35.7%
  • 2010-04-28: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.84$42.13$45.11$43.80$42.25
Max Pain$42.38$40.00$43.00$40.00$43.00
ATM IV21.1%15.6%25.4%18.8%24.8%
Expected Move6.4%5.4%7.3%5.4%7.1%
HV 20d17.2%15.1%21.5%16.6%21.5%
HV 60d23.3%21.8%24.7%24.6%22.8%
IV Rank17.2%0.0%35.7%3.5%33.3%
IV Percentile15.4%0.0%51.6%0.8%40.9%
Term Structure0.4%-1.7%1.7%1.7%0.7%
VWIV22.2%19.5%25.4%19.5%25.0%
Skew 25d4.0%-0.9%5.9%-0.9%3.6%
Skew 10d9.9%1.8%17.6%1.8%11.0%
Call IV 25d20.3%15.7%24.9%17.3%23.2%
Put IV 25d24.3%16.3%28.5%16.3%26.7%
Bid-Ask Spread %33.7615.1754.6919.4041.18
Gamma HHI0.410.290.700.340.44
Net GEX1.3M594.7K2.7M2.0M621.0K
Net DEX-40.6M-55.8M-24.7M-43.4M-25.4M
Net VEX-105.8K-128.5K-70.9K-128.5K-125.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.002.531.092.50
Total Volume165.238859098161
Total OI27,085.09523,08430,59829,60824,281

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$43.80$40.0018.8%5.4%16.6%3.5%19.5%-0.9%1.7%2.0M-43.4M-128.5K1.0919.40N/AN/A475115,04114,567
2010-04-05$44.16$42.0018.7%5.8%15.1%3.1%0.0%3.9%0.5%1.9M-46.5M-117.9K0.0025.39N/AN/A8015,06314,618
2010-04-06$44.36$42.0019.5%6.2%15.1%5.9%21.7%4.8%0.5%1.9M-47.0M-119.7K0.1021.89N/AN/A1041015,07114,618
2010-04-07$44.06$42.0019.2%6.2%15.3%4.9%0.0%3.4%0.3%2.1M-46.1M-116.6K1.1423.10N/AN/A708015,15014,627
2010-04-08$44.07$42.0019.4%6.2%15.3%6.5%0.0%3.9%0.3%1.9M-48.0M-98.8K1.6921.94N/AN/A264415,15014,627
2010-04-09$44.45$42.0017.7%6.2%15.4%0.0%0.0%5.9%-0.1%1.7M-49.4M-109.1K0.2926.51N/AN/A2497115,20514,751
2010-04-12$44.28$42.0020.5%6.3%15.4%10.8%0.0%4.7%0.7%2.0M-48.5M-112.0K0.5715.17N/AN/A1458315,39714,790
2010-04-13$44.26$42.0015.6%6.2%15.2%0.0%21.3%5.5%1.6%2.5M-49.9M-108.3K1.0028.34N/AN/A10810815,44814,827
2010-04-14$45.11$42.0017.4%6.1%15.6%6.5%21.3%4.4%1.3%961.4K-55.8M-92.2K0.0031.40N/AN/A63015,51714,935
2010-04-15$44.95$42.0020.5%5.9%15.6%17.8%20.5%4.4%0.6%956.3K-54.7M-95.9K0.3931.01N/AN/A1586115,53414,935
2010-04-16$43.81$42.0022.4%6.4%18.3%24.7%22.2%5.0%1.2%2.7M-47.0M-109.7K0.4531.22N/AN/A28112615,60214,996
2010-04-19$43.70$43.0023.9%6.9%18.1%30.1%22.5%3.3%-0.8%673.8K-32.1M-108.3K1.9244.31N/AN/A20238811,58911,495
2010-04-20$44.18$43.0022.7%6.5%18.4%25.8%21.5%4.3%0.5%626.3K-33.5M-108.0K0.6939.91N/AN/A1027011,77211,762
2010-04-21$43.91$43.0022.1%6.3%18.0%23.5%0.0%3.1%0.7%718.6K-33.4M-103.8K0.2348.40N/AN/A22511,83211,832
2010-04-22$43.79$43.0022.2%6.4%16.8%23.7%24.3%5.4%-0.1%915.6K-35.7M-78.1K2.5348.17N/AN/A6015211,85411,836
2010-04-23$43.69$43.0021.4%6.1%16.8%21.1%20.9%3.7%1.7%1.1M-36.2M-70.9K0.6945.72N/AN/A161111,91111,968
2010-04-26$43.64$43.0021.7%6.2%16.7%22.2%21.3%4.2%-0.1%735.9K-32.5M-104.4K0.0034.50N/AN/A22011,91511,979
2010-04-27$42.13$43.0025.1%7.2%20.5%34.4%25.4%1.3%-1.7%664.7K-24.7M-121.7K0.7154.69N/AN/A1329411,93711,979
2010-04-28$42.78$43.0025.4%7.3%21.3%35.7%0.0%5.1%-1.7%594.7K-28.4M-110.4K0.0039.82N/AN/A92012,06912,073
2010-04-29$43.24$43.0023.3%6.7%21.2%27.8%23.4%4.1%-0.3%853.7K-33.6M-82.2K1.0036.87N/AN/A242412,16112,073
2010-04-30$42.25$43.0024.8%7.1%21.5%33.3%25.0%3.6%0.7%621.0K-25.4M-125.7K2.5041.18N/AN/A4611512,18412,097