EPP Options History — October 2010

In October 2010, EPP traded between $44.63 and $46.68. ATM implied volatility averaged 21.2%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.9% (HV 20d: 17.4%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2010-10-25: Highest Volume — 538 contracts
  • 2010-10-05: Largest IV drop — 19.3% change
  • 2010-10-27: Highest IV Rank — 30.8%
  • 2010-10-27: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.74$44.63$46.68$44.73$45.58
Max Pain$43.86$43.00$45.00$43.00$44.00
ATM IV21.2%16.8%24.6%21.7%22.7%
Expected Move6.3%5.9%7.0%6.2%6.5%
HV 20d17.4%13.8%21.2%15.0%20.7%
HV 60d21.3%19.6%22.4%22.2%21.1%
IV Rank19.4%4.0%30.8%21.1%24.3%
IV Percentile28.8%0.8%60.3%28.2%42.9%
Term Structure1.1%-0.2%3.5%-0.0%-0.2%
VWIV23.0%14.9%35.1%25.0%24.2%
Skew 25d4.9%2.5%8.4%3.8%8.4%
Skew 10d9.6%5.4%20.4%14.9%20.4%
Call IV 25d20.5%19.0%22.0%19.0%19.5%
Put IV 25d25.4%22.8%28.2%22.8%27.9%
Bid-Ask Spread %47.1827.40100.13100.1347.42
Gamma HHI0.370.270.500.500.35
Net GEX97.8K-314.9K336.7K-314.9K213.6K
Net DEX-3.9M-6.8M-1.1M-4.0M-2.4M
Net VEX-6.9K-10.8K-3.7K-10.8K-10.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.006.000.001.05
Total Volume86.4290538539
Total OI4,577.4298057,5867,5821,900

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$44.73$43.0021.7%6.2%15.0%21.1%25.0%3.8%-0.0%-314.9K-4.0M-10.8K0.00100.13N/AN/A502,0485,534
2010-10-04$44.63$44.0021.4%6.4%15.2%19.9%0.0%4.5%0.0%-258.1K-4.2M-9.5K0.0037.75N/AN/A002,0525,534
2010-10-05$45.37$44.0017.3%6.0%15.4%5.6%0.0%5.9%1.8%-309.6K-6.1M-5.4K0.3250.55N/AN/A1962,0525,534
2010-10-06$45.66$44.0019.2%5.9%15.4%12.3%26.6%3.7%3.0%-9.0K-6.2M-6.4K0.0036.62N/AN/A1202,0475,534
2010-10-07$45.39$44.0017.9%6.5%15.5%8.0%20.7%4.0%1.9%33.3K-6.1M-5.8K1.8334.08N/AN/A6112,0195,534
2010-10-08$46.13$44.0016.8%6.5%16.1%4.0%19.9%7.1%2.9%236.7K-6.8M-3.8K5.0064.09N/AN/A152,0135,545
2010-10-11$46.02$44.0018.4%6.0%15.1%9.4%20.2%5.9%2.6%218.5K-6.8M-4.0K0.0036.61N/AN/A1102,0125,550
2010-10-12$45.85$44.0020.6%5.9%15.3%17.1%20.5%4.0%0.5%206.4K-5.3M-3.7K6.0054.23N/AN/A10601,7155,550
2010-10-13$46.20$44.0021.2%6.0%15.4%19.2%0.0%5.0%3.5%221.9K-5.3M-4.2K0.1758.90N/AN/A242401,7175,610
2010-10-14$46.44$44.0022.6%6.5%14.9%24.1%19.6%4.0%1.5%336.7K-5.9M-5.3K0.0247.60N/AN/A5511,8815,620
2010-10-15$46.36$44.0021.9%6.3%14.9%21.7%35.1%2.5%1.6%274.3K-6.0M-5.6K0.0075.72N/AN/A1501,9345,621
2010-10-18$46.68$43.0021.5%6.2%13.8%20.2%22.6%3.4%0.0%77.4K-1.5M-4.9K0.1142.46N/AN/A576578227
2010-10-19$45.04$43.0024.2%6.9%19.5%29.6%23.8%5.9%0.6%70.5K-1.1M-5.9K0.6827.40N/AN/A10169626229
2010-10-20$45.92$44.0021.9%6.3%20.5%21.9%21.9%3.8%1.1%87.9K-1.4M-6.3K0.2832.82N/AN/A16746682298
2010-10-21$45.46$43.0022.7%6.5%20.7%24.4%21.6%5.2%0.9%115.8K-1.5M-7.2K2.1535.37N/AN/A2656822317
2010-10-22$45.71$45.0020.9%6.0%19.2%18.4%14.9%3.9%1.3%107.2K-1.5M-7.5K0.0039.17N/AN/A100836367
2010-10-25$46.48$44.0022.4%6.4%20.0%23.5%22.5%2.9%1.0%117.4K-1.9M-6.9K0.0644.86N/AN/A50830846367
2010-10-26$46.07$44.0022.1%6.3%20.2%22.3%26.1%6.8%0.1%213.0K-2.7M-10.6K1.1046.08N/AN/A29321,344390
2010-10-27$45.25$44.0024.6%7.0%21.2%30.8%24.6%6.3%0.1%207.3K-2.1M-10.1K1.1939.04N/AN/A37441,366422
2010-10-28$45.48$44.0023.9%6.8%21.0%28.5%24.0%6.0%0.0%206.8K-2.3M-10.6K0.7439.93N/AN/A34251,388465
2010-10-29$45.58$44.0022.7%6.5%20.7%24.3%24.2%8.4%-0.2%213.6K-2.4M-10.7K1.0547.42N/AN/A19201,415485