EPP Options History — June 2010

In June 2010, EPP traded between $35.15 and $39.69. ATM implied volatility averaged 27.5%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 16.6% (HV 20d: 44.1%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 3.13.

Notable Days

  • 2010-06-08: Highest Volume — 861 contracts
  • 2010-06-04: Largest IV spike — 30.0% change
  • 2010-06-07: Highest IV Rank — 74.6%
  • 2010-06-07: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.61$35.15$39.69$36.19$35.74
Max Pain$37.68$37.00$40.00$39.00$38.00
ATM IV27.5%21.4%37.2%34.4%28.8%
Expected Move7.8%6.1%10.1%9.9%8.3%
HV 20d44.1%34.0%53.0%53.0%35.0%
HV 60d37.5%34.4%39.1%34.4%39.1%
IV Rank41.0%20.1%74.6%64.8%45.6%
IV Percentile59.9%12.7%97.2%93.7%81.7%
Term Structure0.8%-9.6%6.4%-9.6%3.8%
VWIV26.6%17.4%33.7%28.3%31.9%
Skew 25d6.3%1.1%14.9%9.1%6.1%
Skew 10d13.5%6.5%22.0%10.5%11.5%
Call IV 25d24.1%18.2%29.6%29.6%27.0%
Put IV 25d30.4%19.3%38.7%38.7%33.1%
Bid-Ask Spread %63.1738.05114.8988.2873.93
Gamma HHI0.460.340.600.430.41
Net GEX34.3K-1.8M1.8M-320.8K-1.8M
Net DEX3.6M-21.4M22.5M14.4M21.1M
Net VEX-83.3K-110.1K-54.0K-106.2K-54.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.130.0030.181.110.00
Total Volume213.7731086139036
Total OI28,127.90925,87429,68827,52226,449

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$36.19$39.0034.4%9.9%53.0%64.8%0.0%9.1%-9.6%-320.8K14.4M-106.2K1.1188.28N/AN/A18520513,50514,017
2010-06-02$37.33$39.0030.4%8.7%52.3%51.0%28.3%14.9%0.2%-558.4K8.7M-101.5K0.3791.81N/AN/A42815713,60514,127
2010-06-03$37.40$39.0025.9%7.4%52.3%35.6%0.0%1.1%6.4%-65.5K6.3M-110.1K30.18114.89N/AN/A1133213,98314,243
2010-06-04$35.76$37.0033.7%9.5%50.0%62.5%29.5%8.0%-0.5%-544.2K18.9M-100.4K1.0169.06N/AN/A16716913,99414,372
2010-06-07$35.15$37.0037.2%10.1%50.1%74.6%29.8%7.4%-1.6%-690.9K22.5M-89.7K0.6160.91N/AN/A25615514,15114,376
2010-06-08$36.23$37.0033.5%8.6%45.3%61.9%28.2%6.6%0.2%-740.0K16.9M-94.8K1.0661.16N/AN/A41844314,40014,510
2010-06-09$36.26$37.0031.3%9.2%45.0%54.2%29.2%8.5%-1.6%-463.1K14.7M-103.5K0.0560.04N/AN/A19114,75114,906
2010-06-10$37.94$37.0028.4%8.1%48.2%44.2%28.7%6.6%-1.1%18.6K79.5K-104.4K0.1838.05N/AN/A39714,75314,906
2010-06-11$38.14$37.0027.0%7.7%48.2%39.3%26.5%8.9%-0.1%538.1K976.9K-103.5K0.3944.75N/AN/A18714,77314,906
2010-06-14$38.24$37.0028.5%8.2%47.2%44.4%33.7%6.9%-0.7%482.8K-3.6M-98.8K8.7546.56N/AN/A87014,78214,906
2010-06-15$39.22$37.0025.5%7.3%48.0%34.1%19.7%4.5%-0.5%753.3K-13.5M-83.1K2.3745.88N/AN/A194514,73414,936
2010-06-16$39.07$37.0023.6%6.8%47.4%27.5%0.0%4.6%2.0%1.0M-13.7M-73.7K0.0043.32N/AN/A01014,72514,941
2010-06-17$38.96$37.0023.8%6.8%46.4%28.4%0.0%3.7%4.2%852.3K-10.7M-81.4K0.0046.31N/AN/A03014,72514,931
2010-06-18$39.06$37.0022.5%6.5%40.1%23.8%21.6%5.2%3.6%1.2M-14.0M-77.1K0.2439.39N/AN/A34814,72514,857
2010-06-21$39.69$37.0021.4%6.1%38.2%20.1%23.8%5.1%5.1%1.8M-21.4M-68.5K2.2245.90N/AN/A419114,33714,606
2010-06-22$39.06$38.0021.8%6.2%38.8%21.2%17.4%5.4%2.4%869.0K-6.7M-58.9K0.2349.36N/AN/A1914311,86414,674
2010-06-23$38.42$40.0025.9%7.4%39.3%35.4%25.7%5.5%-0.6%518.7K3.0M-72.1K0.1388.88N/AN/A4466011,21214,662
2010-06-24$37.72$38.0023.8%6.8%39.9%28.3%0.0%4.0%2.1%31.2K4.6M-69.2K0.6766.44N/AN/A432911,59714,436
2010-06-25$38.04$38.0024.3%7.0%34.4%30.1%25.1%5.5%1.6%-120.4K4.8M-65.3K0.0071.60N/AN/A07711,63014,465
2010-06-28$37.69$38.0024.1%6.9%34.0%29.2%27.0%5.5%2.7%-189.9K6.1M-60.7K9.5065.18N/AN/A109511,63014,513
2010-06-29$36.05$38.0028.9%8.3%36.8%46.0%31.9%5.3%0.4%-1.8M19.4M-54.0K0.3278.01N/AN/A2287211,63014,569
2010-06-30$35.74$38.0028.8%8.3%35.0%45.6%0.0%6.1%3.8%-1.8M21.1M-54.9K0.0073.93N/AN/A36011,85414,595