EPP Options History — May 2010

In May 2010, EPP traded between $34.72 and $42.80. ATM implied volatility averaged 33.5%, placing in the 65.6% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 8.4% (HV 20d: 41.9%). Max pain ranged from $39.00 to $43.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.57.

Notable Days

  • 2010-05-07: Highest Volume — 811 contracts
  • 2010-05-27: Largest IV drop — 28.5% change
  • 2010-05-20: Highest IV Rank — 100.0%
  • 2010-05-20: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.30$34.72$42.80$42.80$37.01
Max Pain$41.10$39.00$43.00$43.00$39.00
ATM IV33.5%24.2%44.6%24.5%28.0%
Expected Move9.4%6.9%12.8%7.0%8.0%
HV 20d41.9%21.9%53.4%21.9%53.2%
HV 60d29.1%20.9%34.5%20.9%34.5%
IV Rank65.6%29.5%100.0%32.3%42.8%
IV Percentile85.8%36.1%100.0%37.7%76.6%
Term Structure-0.5%-3.1%2.6%-0.7%-0.7%
VWIV31.5%21.7%39.9%23.4%21.7%
Skew 25d7.0%-2.8%11.9%4.1%8.7%
Skew 10d17.7%4.5%35.7%4.5%18.2%
Call IV 25d29.7%22.4%38.7%23.9%22.4%
Put IV 25d36.8%27.6%49.5%28.0%31.1%
Bid-Ask Spread %59.6728.16115.8640.3792.57
Gamma HHI0.430.410.470.470.43
Net GEX100.4K-414.4K784.1K784.1K-130.9K
Net DEX-38.4K-28.4M18.5M-28.4M9.4M
Net VEX-129.3K-149.4K-105.6K-114.6K-113.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.003.322.560.04
Total Volume244.815811139104
Total OI26,106.924,42827,42024,42827,420

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$42.80$43.0024.5%7.0%21.9%32.3%23.4%4.1%-0.7%784.1K-28.4M-114.6K2.5640.37N/AN/A3910012,22812,200
2010-05-04$40.70$43.0028.4%8.1%27.7%46.2%28.4%3.1%-1.4%482.6K-15.7M-135.0K1.4128.16N/AN/A26337012,22212,300
2010-05-05$40.35$43.0030.4%8.7%27.8%53.5%0.0%1.4%-1.1%434.7K-13.6M-141.9K2.0745.65N/AN/A153112,32812,645
2010-05-06$37.90$43.0038.0%10.9%34.5%81.4%36.7%-2.8%-2.2%93.3K185.3K-149.4K2.97115.86N/AN/A8725812,33412,676
2010-05-07$38.22$41.0038.6%10.5%34.5%83.5%35.9%9.1%-2.5%176.1K-26.3K-147.7K1.0144.05N/AN/A40340812,35412,822
2010-05-10$40.72$41.0033.4%8.7%42.7%64.5%28.3%7.8%-0.6%577.8K-14.7M-142.8K2.6557.80N/AN/A349012,59913,143
2010-05-11$39.92$41.0037.9%9.5%43.1%80.6%0.0%8.1%-0.1%385.6K-10.8M-145.6K2.7553.19N/AN/A41112,60813,193
2010-05-12$40.34$41.0034.0%8.9%42.5%66.8%30.3%7.1%2.2%377.7K-13.0M-136.8K2.6065.56N/AN/A256512,60813,204
2010-05-13$40.02$41.0030.2%8.7%42.5%59.3%28.4%6.7%1.4%401.6K-11.3M-139.7K1.9156.78N/AN/A326112,62613,249
2010-05-14$38.88$41.0032.2%9.2%42.7%67.6%32.6%7.6%-0.4%210.4K-3.6M-140.1K0.7359.89N/AN/A836112,65813,310
2010-05-17$38.59$41.0033.2%9.5%42.7%71.4%31.6%9.3%-0.0%155.9K-931.1K-136.2K0.3451.72N/AN/A1404712,72213,341
2010-05-18$37.78$41.0033.4%9.6%42.5%72.5%33.4%5.7%-0.5%56.4K2.9M-134.4K0.7346.54N/AN/A735312,82513,348
2010-05-19$36.86$41.0035.7%10.2%42.9%81.6%39.9%9.5%2.1%-86.5K9.0M-129.3K0.4441.51N/AN/A45219912,89813,390
2010-05-20$34.72$41.0044.6%12.8%46.5%100.0%36.8%10.8%-0.5%-169.6K16.4M-121.2K3.3254.65N/AN/A9230513,33313,532
2010-05-21$36.15$41.0039.1%11.2%50.0%81.1%33.4%10.8%-1.8%-256.6K15.7M-118.1K0.4851.21N/AN/A1386613,39813,831
2010-05-24$36.07$41.0033.6%9.6%50.0%62.2%23.6%11.9%-0.9%-262.6K14.9M-114.4K0.6868.11N/AN/A14810013,20213,715
2010-05-25$35.77$40.0036.5%10.5%49.0%72.1%37.3%7.6%-3.1%-400.5K18.5M-110.8K3.1155.04N/AN/A7623613,33813,764
2010-05-26$35.51$40.0033.8%9.7%48.2%62.8%34.5%9.9%-1.0%-414.4K18.5M-108.2K0.0071.54N/AN/A202013,41413,965
2010-05-27$37.62$39.0024.2%6.9%53.4%29.5%21.7%4.5%2.6%-407.9K5.8M-105.6K0.0493.16N/AN/A24113,48113,914
2010-05-28$37.01$39.0028.0%8.0%53.2%42.8%0.0%8.7%-0.7%-130.9K9.4M-113.4K0.0092.57N/AN/A010413,50513,915