EPP Options History — July 2010

In July 2010, EPP traded between $35.82 and $40.16. ATM implied volatility averaged 22.7%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 5.3% (HV 20d: 28.0%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 12.63.

Notable Days

  • 2010-07-01: Highest Volume — 1,263 contracts
  • 2010-07-15: Largest IV spike — 31.8% change
  • 2010-07-01: Highest IV Rank — 53.5%
  • 2010-07-01: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.40$35.82$40.16$35.82$40.02
Max Pain$37.62$37.00$38.00$38.00$38.00
ATM IV22.7%18.2%31.1%31.1%19.9%
Expected Move6.8%5.7%8.9%8.9%5.7%
HV 20d28.0%23.4%35.0%35.0%23.5%
HV 60d39.7%38.7%40.4%39.1%38.7%
IV Rank24.5%8.8%53.5%53.5%14.9%
IV Percentile28.9%1.6%88.1%88.1%6.0%
Term Structure1.7%-1.6%11.4%1.0%2.2%
VWIV23.4%18.0%32.4%31.8%21.1%
Skew 25d5.2%-0.1%8.4%4.7%5.4%
Skew 10d8.1%-0.6%11.6%9.6%8.3%
Call IV 25d21.8%18.6%27.7%27.5%19.2%
Put IV 25d27.0%22.1%32.2%32.2%24.6%
Bid-Ask Spread %54.9729.46108.4489.5563.66
Gamma HHI0.300.130.720.490.13
Net GEX-438.1K-2.3M1.1M-2.3M112.0K
Net DEX4.3M-1.9M24.5M24.5M-1.6M
Net VEX-27.6K-59.7K-16.2K-48.9K-20.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.630.00166.0056.410.09
Total Volume170.28631,2631,2633
Total OI16,875.0954,27828,46526,4745,094

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$35.82$38.0031.1%8.9%35.0%53.5%31.8%4.7%1.0%-2.3M24.5M-48.9K56.4189.55N/AN/A221,24111,87914,595
2010-07-02$35.87$38.0028.3%8.1%31.1%43.8%0.0%3.8%3.7%-2.1M22.9M-59.7K5.2786.33N/AN/A115811,89315,743
2010-07-06$36.47$37.0025.7%6.5%30.9%34.8%18.0%-0.1%11.4%-2.1M16.8M-48.3K3.72108.44N/AN/A3211911,90415,800
2010-07-07$37.40$37.0026.2%8.4%30.4%36.6%32.4%6.9%-0.3%-1.1M9.6M-33.5K0.6445.88N/AN/A473011,93615,908
2010-07-08$37.97$37.0020.9%7.3%30.7%18.4%22.8%5.9%0.7%-721.2K5.8M-35.5K4.3332.15N/AN/A5122111,94615,918
2010-07-09$38.32$37.0018.6%7.4%26.4%10.2%26.4%7.5%-1.6%-474.7K2.9M-29.3K0.0038.77N/AN/A6011,96116,107
2010-07-12$38.14$37.0021.3%7.0%26.4%19.7%27.3%7.4%1.7%-655.9K4.2M-26.5K10.3329.46N/AN/A66211,96216,097
2010-07-13$38.62$37.0020.2%6.7%26.8%16.0%21.7%6.3%1.6%1.1M791.5K-28.5K0.0034.46N/AN/A81011,96616,150
2010-07-14$38.71$37.0018.2%6.5%25.1%8.8%21.8%4.6%0.2%538.7K693.4K-22.5K0.5031.51N/AN/A10512,04416,150
2010-07-15$38.60$37.0024.0%6.9%25.1%28.8%21.1%7.0%0.1%149.7K1.0M-21.5K0.1437.27N/AN/A3284612,04716,078
2010-07-16$37.54$38.0026.1%7.5%26.9%36.3%28.0%5.5%1.4%-1.9M6.8M-23.2K0.2738.39N/AN/A1072912,35916,106
2010-07-19$37.73$38.0021.8%6.2%27.0%21.2%21.6%8.4%3.6%-102.2K1.2M-16.2K0.4889.74N/AN/A190911,4392,839
2010-07-20$38.81$38.0023.7%6.8%28.4%28.0%23.0%4.8%0.4%-50.9K611.1K-19.5K0.0056.12N/AN/A9201,6032,878
2010-07-21$37.98$38.0024.2%6.9%28.8%29.7%23.7%6.1%0.7%-34.5K1.0M-21.6K3.2154.06N/AN/A14451,6902,878
2010-07-22$38.98$38.0023.3%6.7%29.8%26.4%24.1%5.0%0.7%7.2K116.9K-20.8K0.1443.97N/AN/A143201,6902,908
2010-07-23$39.64$38.0020.5%5.9%29.4%16.9%20.0%3.2%1.2%53.6K-751.8K-19.8K0.1252.42N/AN/A216261,8082,928
2010-07-26$40.16$38.0020.0%5.7%29.6%15.0%20.0%5.0%2.3%121.5K-1.9M-20.5K0.6749.38N/AN/A642,0192,932
2010-07-27$40.00$38.0021.2%6.1%29.4%19.4%20.9%3.1%1.4%109.0K-1.8M-20.5K166.0062.19N/AN/A11662,0242,932
2010-07-28$39.65$38.0020.8%6.0%24.0%18.0%19.5%4.1%1.9%83.6K-1.1M-21.6K0.2551.17N/AN/A2872,0243,054
2010-07-29$39.95$38.0021.2%6.1%23.4%19.2%21.1%4.1%1.1%95.9K-1.5M-21.0K0.0959.49N/AN/A1112,0273,061
2010-07-30$40.02$38.0019.9%5.7%23.5%14.9%0.0%5.4%2.2%112.0K-1.6M-20.7K0.0063.66N/AN/A032,0333,061