EPP Options History — November 2010

In November 2010, EPP traded between $44.49 and $48.91. ATM implied volatility averaged 24.8%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 1.2% (HV 20d: 23.6%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2010-11-02: Highest Volume — 182 contracts
  • 2010-11-26: Largest IV spike — 75.5% change
  • 2010-11-26: Highest IV Rank — 80.9%
  • 2010-11-26: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.58$44.49$48.91$46.06$44.49
Max Pain$45.62$44.00$46.00$44.00$45.00
ATM IV24.8%19.5%39.0%23.2%30.0%
Expected Move7.1%6.1%11.2%6.7%8.6%
HV 20d23.6%21.0%26.8%21.0%26.6%
HV 60d20.9%19.9%22.4%21.2%21.4%
IV Rank31.7%13.5%80.9%26.3%49.7%
IV Percentile57.3%10.3%99.2%48.0%88.1%
Term Structure0.2%-4.0%2.5%0.7%-4.0%
VWIV24.5%19.9%28.1%20.6%27.2%
Skew 25d7.5%1.3%47.0%3.5%6.0%
Skew 10d10.8%-2.7%64.1%-2.7%19.3%
Call IV 25d22.4%19.9%26.6%23.0%26.6%
Put IV 25d29.9%23.6%67.1%26.5%32.6%
Bid-Ask Spread %40.5319.09125.1944.0838.03
Gamma HHI0.330.260.390.350.32
Net GEX234.9K160.9K329.8K219.2K179.8K
Net DEX-3.3M-5.6M-856.1K-2.8M-856.1K
Net VEX-9.5K-11.1K-7.6K-10.5K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.004.060.110.26
Total Volume68.04851825148
Total OI2,188.4761,6962,5211,9071,924

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$46.06$44.0023.2%6.7%21.0%26.3%20.6%3.5%0.7%219.2K-2.8M-10.5K0.1144.08N/AN/A4651,422485
2010-11-02$46.85$44.0022.8%6.5%21.0%24.7%25.5%5.4%0.1%230.6K-3.7M-10.5K4.0658.43N/AN/A361461,466490
2010-11-03$47.46$45.0023.0%6.6%21.4%25.4%21.6%4.0%0.0%210.5K-4.0M-10.5K0.1752.84N/AN/A70121,491631
2010-11-04$48.85$45.0022.4%6.4%23.2%23.3%22.7%1.3%-1.4%199.9K-5.4M-9.3K0.3242.44N/AN/A63201,543643
2010-11-05$48.91$46.0019.5%6.1%22.7%13.5%19.9%4.1%-1.1%208.5K-5.6M-9.2K0.0120.60N/AN/A9711,587643
2010-11-08$48.63$46.0021.5%6.2%22.8%20.4%0.0%5.3%-0.6%238.2K-5.5M-9.4K2.2019.09N/AN/A5111,640644
2010-11-09$47.82$46.0022.4%6.6%23.8%23.6%24.1%5.6%-0.4%252.1K-4.8M-10.1K0.4421.79N/AN/A106471,645655
2010-11-10$48.06$46.0023.2%6.7%23.7%26.2%0.0%5.5%-1.4%272.2K-5.0M-10.6K0.0719.56N/AN/A5741,721702
2010-11-11$47.61$46.0022.8%6.5%24.0%24.9%22.1%4.9%-1.0%293.9K-4.7M-10.8K0.0022.09N/AN/A4001,762706
2010-11-12$46.68$46.0025.0%7.2%25.1%32.3%26.8%5.8%2.0%274.5K-3.8M-11.1K0.2921.47N/AN/A49141,793706
2010-11-15$46.66$46.0024.8%7.1%25.0%31.7%25.5%4.5%2.5%285.7K-3.9M-10.6K0.4624.45N/AN/A1361,797712
2010-11-16$45.74$46.0027.0%7.8%22.5%39.4%25.7%3.8%1.3%222.2K-2.6M-10.2K0.8728.66N/AN/A38331,808713
2010-11-17$45.75$46.0026.9%7.7%21.4%38.8%26.9%4.0%0.6%219.1K-2.6M-9.9K0.2527.08N/AN/A411,804702
2010-11-18$46.74$46.0024.1%6.9%22.4%29.5%0.0%7.1%2.1%329.8K-3.9M-9.7K0.2823.58N/AN/A36101,805702
2010-11-19$46.27$46.0023.0%6.6%22.7%25.6%24.4%5.8%2.2%327.4K-3.3M-9.0K2.0731.36N/AN/A28581,798712
2010-11-22$46.09$46.0023.5%6.7%21.9%27.1%24.5%5.2%2.4%226.4K-2.0M-8.4K2.0645.13N/AN/A36741,255441
2010-11-23$44.53$46.0026.4%7.6%24.9%37.2%27.2%3.6%-0.9%160.9K-918.4K-7.8K1.3033.77N/AN/A56731,285488
2010-11-24$45.52$46.0022.2%6.4%25.5%22.9%23.0%18.3%1.5%213.1K-1.6M-9.0K0.18110.86N/AN/A2851,330531
2010-11-26$44.51$46.0039.0%11.2%26.6%80.9%25.6%47.0%0.8%166.9K-908.4K-8.2K0.00125.19N/AN/A1001,347536
2010-11-29$44.88$45.0027.6%7.9%26.8%41.3%28.1%7.3%-2.2%203.0K-988.2K-7.6K0.1340.57N/AN/A3851,357536
2010-11-30$44.49$45.0030.0%8.6%26.6%49.7%27.2%6.0%-4.0%179.8K-856.1K-7.7K0.2638.03N/AN/A38101,388536