EPP Options History — January 2011

In January 2011, EPP traded between $45.93 and $47.38. ATM implied volatility averaged 21.3%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 9.9% (HV 20d: 11.4%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 5.25.

Notable Days

  • 2011-01-07: Highest Volume — 163 contracts
  • 2011-01-28: Largest IV spike — 13.3% change
  • 2011-01-04: Highest IV Rank — 30.5%
  • 2011-01-04: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.57$45.93$47.38$47.38$46.32
Max Pain$46.60$45.00$47.00$45.00$47.00
ATM IV21.3%16.9%24.5%23.9%19.1%
Expected Move6.1%4.8%7.0%6.8%5.5%
HV 20d11.4%9.7%13.3%11.6%13.3%
HV 60d19.9%18.8%21.2%21.2%18.8%
IV Rank19.6%4.4%30.5%28.5%12.1%
IV Percentile31.7%1.6%66.7%60.7%9.5%
Term Structure1.6%-3.0%3.0%-0.4%1.6%
VWIV21.5%18.2%24.5%20.6%18.2%
Skew 25d5.7%3.8%8.9%8.9%4.4%
Skew 10d13.7%5.6%51.6%12.3%10.4%
Call IV 25d17.8%13.7%20.4%13.7%17.4%
Put IV 25d23.5%19.8%25.7%22.6%21.8%
Bid-Ask Spread %26.425.7541.6718.4633.54
Gamma HHI0.590.550.630.610.56
Net GEX-513.5K-591.2K-415.6K-495.8K-488.3K
Net DEX5.7M4.3M7.5M5.0M5.8M
Net VEX-49.7K-54.6K-45.0K-52.1K-45.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.250.0094.000.240.39
Total Volume55.15516312961
Total OI7,078.26,3747,4887,1156,563

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$47.38$45.0023.9%6.8%11.6%28.5%20.6%8.9%-0.4%-495.8K5.0M-52.1K0.2418.46N/AN/A104251,0906,025
2011-01-04$46.78$45.0024.5%7.0%12.1%30.5%24.5%8.4%-3.0%-546.3K6.3M-53.5K0.305.75N/AN/A74221,1176,040
2011-01-05$46.69$45.0023.2%6.7%12.1%26.3%23.3%7.0%-1.4%-521.7K6.2M-53.3K2.756.43N/AN/A4111,1916,040
2011-01-06$46.31$45.0023.4%6.7%12.3%26.9%23.4%6.9%0.2%-551.3K6.9M-54.6K94.008.31N/AN/A1941,1956,040
2011-01-07$46.13$47.0023.4%6.7%12.1%26.9%23.3%5.3%2.3%-575.9K7.4M-54.3K0.2917.74N/AN/A126371,1966,086
2011-01-10$46.04$47.0023.7%6.8%11.8%27.9%23.8%5.4%1.8%-591.2K7.5M-53.8K0.0021.17N/AN/A701,2506,091
2011-01-11$46.10$47.0023.6%6.4%11.3%27.7%22.2%5.4%2.6%-577.8K7.2M-53.5K0.0022.31N/AN/A1701,2576,091
2011-01-12$46.60$47.0022.6%6.0%12.0%24.0%21.8%5.6%2.6%-568.6K5.7M-51.3K0.0021.66N/AN/A2301,2666,091
2011-01-13$46.79$47.0021.1%6.0%10.0%18.8%21.6%5.1%2.7%-515.7K4.9M-50.3K0.5423.95N/AN/A24131,2896,091
2011-01-14$46.76$47.0020.8%6.0%9.7%17.8%19.5%6.1%3.0%-517.5K5.1M-50.3K0.6226.24N/AN/A34211,3116,097
2011-01-18$47.11$47.0021.3%6.1%9.9%19.7%21.4%5.3%2.7%-462.9K4.3M-47.2K0.2524.63N/AN/A411,3416,108
2011-01-19$46.96$47.0020.6%5.9%10.0%17.1%0.0%4.2%2.6%-481.4K4.3M-46.9K0.9428.10N/AN/A34321,3446,109
2011-01-20$46.27$47.0021.7%6.2%10.7%21.0%0.0%6.1%1.6%-538.9K5.7M-48.2K1.1339.70N/AN/A15171,3506,125
2011-01-21$46.20$47.0021.4%6.1%10.5%19.8%0.0%5.2%2.1%-530.5K5.6M-49.2K1.5638.07N/AN/A9141,3566,132
2011-01-24$46.76$47.0019.1%5.5%11.4%11.9%20.7%5.0%2.2%-466.4K5.2M-45.4K0.1836.31N/AN/A56101,0235,351
2011-01-25$46.56$47.0018.8%5.4%11.5%10.8%18.3%5.5%2.0%-472.9K5.5M-47.0K0.7840.49N/AN/A27211,0795,361
2011-01-26$46.89$47.0017.6%5.1%11.7%7.0%21.2%6.3%2.6%-415.6K4.6M-45.0K0.3341.67N/AN/A45151,0965,380
2011-01-27$46.73$47.0016.9%4.8%11.3%4.4%0.0%4.1%2.9%-449.1K4.9M-45.1K0.5241.25N/AN/A21111,1075,391
2011-01-28$45.93$47.0019.1%5.5%12.8%12.1%19.4%3.8%2.1%-502.2K6.7M-47.1K0.1232.62N/AN/A6581,1025,392
2011-01-31$46.32$47.0019.1%5.5%13.3%12.1%18.2%4.4%1.6%-488.3K5.8M-45.3K0.3933.54N/AN/A44171,1635,400