EPP Options History — September 2010

In September 2010, EPP traded between $41.11 and $44.94. ATM implied volatility averaged 19.6%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 2.3% (HV 20d: 21.9%). Max pain ranged from $38.00 to $43.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 5.67.

Notable Days

  • 2010-09-16: Highest Volume — 1,827 contracts
  • 2010-09-23: Largest IV spike — 28.6% change
  • 2010-09-30: Highest IV Rank — 25.8%
  • 2010-09-30: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.07$41.11$44.94$41.11$44.30
Max Pain$40.81$38.00$43.00$38.00$43.00
ATM IV19.6%15.9%23.1%20.4%23.1%
Expected Move5.7%4.6%6.6%5.9%6.6%
HV 20d21.9%14.9%26.6%26.6%14.9%
HV 60d24.4%22.3%26.8%26.8%22.3%
IV Rank13.8%1.0%25.8%16.7%25.8%
IV Percentile12.4%0.4%42.1%9.9%42.1%
Term Structure3.6%-0.3%8.1%1.7%-0.3%
VWIV21.2%17.1%24.5%21.6%24.5%
Skew 25d4.7%1.5%9.4%1.8%3.6%
Skew 10d10.9%0.6%17.3%0.6%17.0%
Call IV 25d17.7%15.1%20.5%19.4%19.8%
Put IV 25d22.5%19.2%25.9%21.2%23.4%
Bid-Ask Spread %73.9327.12112.5736.1949.08
Gamma HHI0.310.100.580.110.47
Net GEX-101.0K-422.8K167.1K27.2K-268.1K
Net DEX-3.3M-5.5M-931.1K-2.5M-3.3M
Net VEX-11.5K-16.4K-6.5K-14.2K-12.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.670.0078.430.510.08
Total Volume169.76211,8277199
Total OI6,441.9525,5347,5745,5347,574

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$41.11$38.0020.4%5.9%26.6%16.7%21.6%1.8%1.7%27.2K-2.5M-14.2K0.5136.19N/AN/A47241,9043,630
2010-09-02$41.29$38.0019.0%5.4%26.6%11.7%0.0%2.0%2.9%35.5K-2.9M-12.4K0.0044.38N/AN/A2501,9053,653
2010-09-03$41.52$39.0016.8%5.7%26.6%4.2%20.7%5.5%5.6%72.9K-3.2M-12.4K0.0030.89N/AN/A1101,9093,653
2010-09-07$41.28$39.0020.4%6.2%26.6%16.5%20.6%5.3%3.9%56.3K-2.8M-13.0K0.0027.12N/AN/A101,9203,653
2010-09-08$41.61$39.0019.6%5.6%26.2%13.7%17.9%4.9%6.4%94.4K-3.3M-11.3K0.0329.76N/AN/A11741,9213,653
2010-09-09$42.12$39.0019.8%5.7%21.2%14.3%17.4%5.3%6.8%131.0K-4.3M-9.6K0.0031.04N/AN/A3902,0043,649
2010-09-10$42.16$39.0017.0%4.9%21.2%4.8%0.0%3.3%8.1%167.1K-4.4M-8.5K0.0042.34N/AN/A0502,0173,649
2010-09-13$43.04$39.0018.4%5.3%22.0%9.5%17.1%5.5%3.0%137.3K-5.2M-7.6K0.2034.27N/AN/A2552,0173,699
2010-09-14$43.23$39.0018.3%5.2%21.9%9.3%19.3%4.6%3.8%153.6K-5.5M-6.5K0.0892.33N/AN/A246202,0173,699
2010-09-15$43.32$39.0020.3%5.8%21.7%16.1%0.0%4.0%3.6%140.0K-5.0M-7.0K0.4495.71N/AN/A25111,9323,719
2010-09-16$43.02$39.0022.6%6.5%21.8%24.0%23.1%1.5%1.1%154.6K-4.8M-7.1K78.43101.23N/AN/A231,8041,9433,710
2010-09-17$42.99$43.0022.7%6.5%20.9%24.6%23.5%6.3%2.1%-329.1K-1.1M-16.4K23.8395.43N/AN/A61431,9435,425
2010-09-20$43.84$43.0020.1%5.8%21.4%15.6%21.0%5.9%3.0%-339.7K-943.2K-14.8K0.0098.49N/AN/A14201,6475,342
2010-09-21$43.73$43.0018.3%5.2%21.4%9.2%22.9%9.4%3.8%-422.8K-931.1K-14.6K0.54111.92N/AN/A2281231,6775,342
2010-09-22$43.79$43.0017.0%4.9%19.5%4.8%24.4%6.9%4.8%-382.2K-2.4M-13.8K1.82102.20N/AN/A17311,8585,456
2010-09-23$43.47$43.0021.9%6.3%20.1%21.6%24.5%7.1%2.2%-381.8K-1.3M-15.5K5.50106.24N/AN/A10551,8745,467
2010-09-24$44.48$43.0015.9%4.6%20.9%1.0%20.6%4.2%5.1%-370.8K-3.7M-10.9K1.33112.57N/AN/A9121,8845,502
2010-09-27$44.57$43.0019.5%5.6%19.9%13.5%19.1%6.7%2.8%-267.7K-3.8M-11.3K0.22106.96N/AN/A102221,8925,502
2010-09-28$44.94$43.0019.8%5.7%19.5%14.6%19.7%1.8%2.4%-301.0K-4.4M-10.1K0.00106.50N/AN/A2901,9895,523
2010-09-29$44.68$43.0021.1%6.1%19.9%19.0%23.6%4.1%2.1%-227.9K-3.7M-12.3K0.3397.83N/AN/A45152,0055,523
2010-09-30$44.30$43.0023.1%6.6%14.9%25.8%24.5%3.6%-0.3%-268.1K-3.3M-12.5K0.0849.08N/AN/A9272,0475,527