EPP Options History — August 2010

In August 2010, EPP traded between $38.41 and $41.31. ATM implied volatility averaged 22.5%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 1.6% (HV 20d: 24.1%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 11.88.

Notable Days

  • 2010-08-31: Highest Volume — 362 contracts
  • 2010-08-20: Largest IV spike — 29.5% change
  • 2010-08-16: Highest IV Rank — 39.4%
  • 2010-08-16: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.80$38.41$41.31$41.23$39.35
Max Pain$38.45$38.00$40.00$38.00$38.00
ATM IV22.5%18.1%27.0%19.9%22.7%
Expected Move6.5%5.2%7.7%5.7%6.5%
HV 20d24.1%21.1%28.8%24.9%21.1%
HV 60d31.7%26.1%36.9%36.9%26.1%
IV Rank23.6%8.4%39.4%14.8%24.4%
IV Percentile30.8%1.6%75.8%6.0%32.5%
Term Structure1.4%-5.4%9.1%0.8%2.1%
VWIV23.7%20.4%26.3%25.6%21.1%
Skew 25d4.3%0.3%8.6%5.6%3.7%
Skew 10d7.4%-2.8%15.7%5.2%14.9%
Call IV 25d20.4%16.5%24.5%16.5%21.5%
Put IV 25d24.8%21.6%28.5%22.1%25.2%
Bid-Ask Spread %62.3829.50139.8065.1249.29
Gamma HHI0.150.130.230.140.14
Net GEX45.3K-186.3K144.8K129.8K-57.6K
Net DEX-894.5K-3.4M2.1M-3.3M46.4K
Net VEX-19.2K-22.8K-17.3K-17.3K-17.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.880.00180.001.18180.00
Total Volume91.27310362203362
Total OI5,470.5914,9645,9795,0915,265

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$41.23$38.0019.9%5.7%24.9%14.8%0.0%5.6%0.8%129.8K-3.3M-17.3K1.1865.12N/AN/A931102,0333,058
2010-08-03$40.94$38.0020.6%5.9%25.1%17.2%0.0%4.4%-0.0%126.8K-2.8M-18.7K3.3057.95N/AN/A10332,0883,131
2010-08-04$41.11$38.0020.4%5.9%24.0%16.7%0.0%3.7%0.1%135.7K-3.1M-18.6K0.0052.98N/AN/A01182,0983,115
2010-08-05$40.94$38.0019.9%5.7%23.9%14.6%0.0%1.3%1.5%135.4K-2.7M-19.2K34.0070.08N/AN/A31022,0983,223
2010-08-06$40.97$40.0019.2%5.9%23.8%12.3%0.0%3.1%1.1%128.0K-2.7M-18.9K4.3329.50N/AN/A21912,1013,315
2010-08-09$41.31$40.0020.4%6.2%23.7%16.5%0.0%3.8%0.8%107.6K-3.4M-18.0K0.0044.25N/AN/A1102,1013,406
2010-08-10$40.77$40.0021.3%6.2%24.2%19.5%25.6%3.9%0.9%128.4K-2.4M-19.0K0.0055.32N/AN/A02222,1013,406
2010-08-11$39.13$40.0026.9%7.2%28.8%38.9%21.8%5.1%-0.5%32.0K318.9K-22.8K0.0043.65N/AN/A6802,1013,628
2010-08-12$39.04$40.0021.9%6.3%28.8%21.6%25.7%0.3%4.7%73.3K646.8K-22.4K0.0161.96N/AN/A14222,1293,628
2010-08-13$39.31$38.0022.2%6.4%26.8%22.9%25.4%4.5%4.4%89.6K-470.2K-21.9K0.2763.80N/AN/A49132,2453,630
2010-08-16$39.58$38.0027.0%7.7%26.8%39.4%0.0%5.2%-5.4%108.7K-1.1M-19.9K0.00139.80N/AN/A1102,2943,642
2010-08-17$40.11$38.0023.5%6.7%25.4%27.1%0.0%5.2%1.2%138.7K-1.9M-20.1K0.0051.23N/AN/A5202,2953,642
2010-08-18$39.88$38.0023.4%6.7%24.1%26.8%23.3%3.9%1.2%144.8K-1.6M-19.5K0.0051.92N/AN/A1602,3323,642
2010-08-19$39.36$38.0018.1%5.2%23.0%8.4%0.0%8.6%9.1%141.6K-752.8K-20.1K2.4889.37N/AN/A21522,3293,642
2010-08-20$39.26$38.0023.4%6.7%22.2%26.9%0.0%2.4%2.9%115.8K-353.1K-19.3K0.0060.33N/AN/A0102,3193,660
2010-08-23$39.11$38.0023.1%6.6%21.6%25.8%20.4%6.8%1.5%-109.8K701.8K-18.1K0.0975.95N/AN/A3431,6063,358
2010-08-24$38.41$38.0026.4%7.6%22.4%37.1%0.0%6.3%1.5%-161.1K2.1M-19.2K0.0078.36N/AN/A1001,6353,361
2010-08-25$38.46$38.0024.5%7.0%22.3%30.8%26.3%4.3%1.5%-186.3K2.0M-17.7K0.0553.86N/AN/A233111,6353,361
2010-08-26$38.57$38.0022.5%6.4%22.1%23.6%0.0%5.1%0.4%-108.1K1.1M-19.1K0.0063.86N/AN/A4801,8593,363
2010-08-27$39.52$38.0023.5%6.7%23.9%27.1%21.1%2.7%1.4%-60.7K96.7K-18.5K0.0359.73N/AN/A3611,8703,363
2010-08-30$39.30$38.0023.4%6.7%21.1%27.1%0.0%4.9%0.7%-55.9K-51.2K-17.5K0.0054.03N/AN/A2001,8833,362
2010-08-31$39.35$38.0022.7%6.5%21.1%24.4%0.0%3.7%2.1%-57.6K46.4K-17.5K180.0049.29N/AN/A23601,9033,362