EPP Options History — December 2010

In December 2010, EPP traded between $45.72 and $47.30. ATM implied volatility averaged 22.8%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 0.4% (HV 20d: 22.3%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 71.78.

Notable Days

  • 2010-12-23: Highest Volume — 5,319 contracts
  • 2010-12-06: Largest IV spike — 17.0% change
  • 2010-12-01: Highest IV Rank — 34.2%
  • 2010-12-01: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.58$45.72$47.30$45.72$46.98
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV22.8%19.9%25.5%25.5%24.4%
Expected Move6.6%5.7%7.3%7.3%7.0%
HV 20d22.3%11.5%28.1%27.8%11.5%
HV 60d21.7%21.1%22.2%22.0%21.1%
IV Rank24.8%14.7%34.2%34.2%30.5%
IV Percentile46.3%13.1%71.4%71.4%66.7%
Term Structure0.9%-2.2%4.8%0.0%-1.9%
VWIV22.6%18.0%27.3%26.2%24.4%
Skew 25d8.4%3.9%18.1%5.7%9.8%
Skew 10d20.1%7.7%42.2%14.2%10.9%
Call IV 25d16.8%12.5%23.4%23.4%14.3%
Put IV 25d25.2%19.9%33.0%29.1%24.1%
Bid-Ask Spread %35.655.6660.2452.965.66
Gamma HHI0.570.330.810.370.61
Net GEX100.7K-534.0K681.2K261.0K-527.7K
Net DEX-180.2K-3.7M7.1M-1.8M5.9M
Net VEX-19.1K-56.8K-5.0K-8.6K-54.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio71.780.001328.750.050.50
Total Volume335.59105,319630
Total OI3,303.9091,6227,1151,9617,115

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$45.72$45.0025.5%7.3%27.8%34.2%26.2%5.7%0.0%261.0K-1.8M-8.6K0.0552.96N/AN/A6031,425536
2010-12-02$46.50$45.0024.4%7.0%28.1%30.3%23.1%4.9%0.8%314.0K-2.6M-8.6K0.0443.67N/AN/A5121,429537
2010-12-03$46.79$45.0020.6%5.9%26.0%17.3%23.3%6.5%3.3%366.1K-3.0M-8.3K1.5632.24N/AN/A36561,465535
2010-12-06$46.35$45.0024.1%6.8%26.1%29.4%22.1%6.3%0.8%343.7K-2.4M-8.1K0.2751.05N/AN/A67181,443582
2010-12-07$46.46$45.0023.0%6.7%26.1%25.5%24.0%6.2%1.3%381.1K-2.5M-8.0K4.7550.05N/AN/A894231,454600
2010-12-08$46.20$45.0023.2%6.7%25.6%26.1%27.3%11.5%4.8%292.8K-1.8M-10.7K0.0052.01N/AN/A0111,533946
2010-12-09$46.51$45.0021.7%6.7%25.6%21.0%23.5%4.7%1.2%327.5K-2.2M-10.1K0.0059.75N/AN/A1901,533946
2010-12-10$46.80$45.0020.8%6.6%25.6%17.9%23.2%11.2%1.1%389.9K-2.7M-9.8K0.2555.80N/AN/A411,543946
2010-12-13$47.22$45.0023.0%6.5%24.8%25.5%23.1%3.9%1.5%448.6K-3.5M-8.5K0.9441.18N/AN/A16151,543946
2010-12-14$47.30$45.0023.8%6.5%24.8%28.1%18.0%10.4%1.5%488.7K-3.7M-8.1K2.0053.61N/AN/A11221,535946
2010-12-15$46.40$45.0021.8%6.2%24.7%21.3%21.6%18.1%2.0%496.2K-1.9M-8.1K1.9046.82N/AN/A10191,538966
2010-12-16$46.73$45.0021.5%6.2%24.8%20.3%0.0%7.1%2.5%681.2K-2.6M-6.9K0.0060.24N/AN/A001,538969
2010-12-17$46.60$45.0021.3%6.1%23.7%19.7%0.0%8.4%3.5%-19.1K-1.6M-6.4K0.0060.23N/AN/A301,538969
2010-12-20$46.60$45.0019.9%5.7%23.4%14.7%19.8%5.7%0.7%-29.6K-1.3M-5.0K0.0029.10N/AN/A6320779843
2010-12-21$46.09$45.0021.5%6.2%23.7%20.4%21.5%10.9%1.0%3.6K-471.6K-8.3K0.398.20N/AN/A259102816843
2010-12-22$46.32$45.0021.4%6.1%19.9%19.9%21.4%10.2%0.1%43.4K-870.0K-10.5K0.378.61N/AN/A27101,071923
2010-12-23$46.33$45.0022.6%6.5%18.5%24.0%18.1%7.2%0.7%43.4K-860.2K-10.6K1328.755.67N/AN/A45,3151,072933
2010-12-27$46.38$45.0023.9%6.8%16.3%28.5%22.9%8.0%-0.2%-534.0K7.1M-56.8K21.0016.77N/AN/A2421,0765,983
2010-12-28$46.53$45.0024.4%7.0%16.1%30.3%24.4%9.3%-1.7%-520.1K6.7M-56.6K0.4516.66N/AN/A1151,0756,022
2010-12-29$46.94$45.0024.4%7.0%15.8%30.4%0.0%9.6%-2.2%-525.0K6.1M-54.8K0.6117.00N/AN/A18111,0666,022
2010-12-30$46.99$45.0024.1%6.9%12.8%29.3%0.0%9.2%-1.7%-509.8K6.0M-54.5K0.5016.94N/AN/A631,0846,022
2010-12-31$46.98$45.0024.4%7.0%11.5%30.5%0.0%9.8%-1.9%-527.7K5.9M-54.2K0.005.66N/AN/A001,0906,025