EPP Options History — February 2011

In February 2011, EPP traded between $45.94 and $47.86. ATM implied volatility averaged 18.5%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.3% (HV 20d: 15.3%). Max pain ranged from $46.00 to $47.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 4.00.

Notable Days

2011-02-15: Highest Volume — 2,586 contracts
2011-02-22: Largest IV spike — 34.2% change
2011-02-24: Highest IV Rank — 23.5%
2011-02-24: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.15	$45.94	$47.86	$47.09	$47.23
Max Pain	$46.79	$46.00	$47.00	$47.00	$47.00
ATM IV	18.5%	16.1%	22.4%	17.3%	20.0%
Expected Move	5.4%	4.7%	6.4%	5.0%	5.7%
HV 20d	15.3%	13.5%	20.1%	14.3%	19.0%
HV 60d	16.9%	15.0%	18.3%	18.2%	15.0%
IV Rank	10.1%	1.6%	23.5%	5.9%	15.1%
IV Percentile	13.9%	0.8%	48.4%	3.2%	22.6%
Term Structure	2.3%	-0.5%	4.9%	2.0%	2.4%
VWIV	18.8%	9.1%	22.5%	18.5%	19.7%
Skew 25d	5.4%	4.5%	7.0%	6.0%	5.1%
Skew 10d	13.2%	6.6%	16.6%	6.6%	15.3%
Call IV 25d	16.9%	12.5%	20.6%	14.1%	17.9%
Put IV 25d	22.3%	19.5%	26.6%	20.1%	23.0%
Bid-Ask Spread %	47.34	36.84	63.51	61.01	39.49
Gamma HHI	0.41	0.31	0.52	0.52	0.32
Net GEX	-580.7K	-1.3M	-167.8K	-389.1K	-1.2M
Net DEX	5.5M	1.5M	13.7M	3.7M	8.9M
Net VEX	-50.9K	-71.6K	-36.9K	-42.0K	-64.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.00	0.00	33.33	1.07	0.00
Total Volume	267.526	4	2,586	58	69
Total OI	8,232.789	6,620	10,335	6,620	10,335

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-02-01	$47.09	$47.00	17.3%	5.0%	14.3%	5.9%	18.5%	6.0%	2.0%	-389.1K	3.7M	-42.0K	1.07	61.01	N/A	N/A	28	30	1,203	5,417
2011-02-02	$47.02	$47.00	17.6%	5.0%	13.5%	6.8%	0.0%	4.6%	1.4%	-385.7K	3.9M	-42.8K	0.00	63.51	N/A	N/A	0	78	1,211	5,436
2011-02-03	$47.49	$47.00	17.1%	4.9%	13.9%	5.0%	9.1%	7.0%	2.0%	-373.2K	3.1M	-42.0K	0.88	54.72	N/A	N/A	43	38	1,211	5,494
2011-02-04	$47.85	$46.00	16.1%	5.4%	13.7%	1.7%	19.0%	5.4%	3.2%	-344.9K	2.3M	-40.2K	0.15	59.14	N/A	N/A	68	10	1,254	5,532
2011-02-07	$47.81	$46.00	16.8%	5.3%	13.6%	4.1%	19.2%	5.9%	3.6%	-312.9K	2.1M	-39.4K	0.30	53.61	N/A	N/A	54	16	1,300	5,542
2011-02-08	$47.86	$46.00	16.1%	5.1%	13.5%	1.6%	0.0%	4.6%	3.2%	-313.9K	1.5M	-36.9K	1.67	47.16	N/A	N/A	6	10	1,351	5,558
2011-02-09	$47.26	$46.00	16.5%	5.3%	14.5%	3.1%	17.5%	4.8%	2.1%	-305.3K	2.9M	-38.9K	0.53	49.16	N/A	N/A	176	94	1,349	5,568
2011-02-10	$46.98	$47.00	19.3%	5.5%	14.2%	12.6%	19.2%	4.8%	2.3%	-270.7K	3.7M	-41.9K	0.00	41.83	N/A	N/A	4	0	1,521	5,657
2011-02-11	$47.08	$47.00	18.6%	5.3%	14.2%	10.4%	19.6%	4.7%	2.5%	-223.3K	3.4M	-41.3K	1.67	36.84	N/A	N/A	30	50	1,523	5,657
2011-02-14	$47.23	$47.00	19.4%	5.6%	14.2%	13.0%	19.3%	4.9%	2.2%	-212.5K	2.7M	-38.6K	0.13	48.51	N/A	N/A	23	3	1,550	5,707
2011-02-15	$46.91	$47.00	18.4%	5.3%	14.2%	9.8%	0.0%	5.0%	2.5%	-167.8K	3.8M	-39.7K	29.07	52.05	N/A	N/A	86	2,500	1,539	5,710
2011-02-16	$47.39	$47.00	18.5%	5.3%	14.6%	9.8%	18.3%	4.6%	2.5%	-289.6K	5.0M	-63.6K	0.91	44.05	N/A	N/A	22	20	1,615	8,210
2011-02-17	$47.66	$47.00	17.4%	5.0%	13.5%	6.1%	18.3%	5.2%	3.4%	-474.9K	3.9M	-59.2K	0.87	41.38	N/A	N/A	15	13	1,570	8,230
2011-02-18	$47.67	$47.00	16.5%	4.7%	13.5%	2.9%	18.4%	4.5%	4.9%	-544.1K	3.8M	-58.5K	33.33	38.79	N/A	N/A	30	1,000	1,580	8,234
2011-02-22	$45.94	$47.00	22.1%	6.3%	18.7%	22.4%	22.5%	6.4%	0.6%	-1.3M	13.7M	-70.7K	0.94	39.42	N/A	N/A	123	115	882	9,074
2011-02-23	$46.10	$47.00	22.2%	6.4%	18.7%	22.8%	21.0%	5.1%	-0.1%	-1.3M	13.1M	-71.6K	0.00	45.86	N/A	N/A	23	0	939	9,188
2011-02-24	$46.11	$47.00	22.4%	6.4%	18.5%	23.5%	22.4%	6.6%	-0.5%	-1.3M	13.3M	-70.8K	0.56	38.43	N/A	N/A	18	10	940	9,188
2011-02-25	$47.12	$47.00	19.7%	5.7%	20.1%	14.2%	19.0%	6.7%	3.0%	-1.2M	10.1M	-64.9K	0.00	44.41	N/A	N/A	278	0	950	9,198
2011-02-28	$47.23	$47.00	20.0%	5.7%	19.0%	15.1%	19.7%	5.1%	2.4%	-1.2M	8.9M	-64.3K	0.00	39.49	N/A	N/A	69	0	1,137	9,198