EPP Options History — March 2011

In March 2011, EPP traded between $43.32 and $48.31. ATM implied volatility averaged 21.7%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 1.3% (HV 20d: 23.0%). Max pain ranged from $44.00 to $47.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 2.70.

Notable Days

  • 2011-03-15: Highest Volume — 731 contracts
  • 2011-03-30: Largest IV drop — 48.8% change
  • 2011-03-16: Highest IV Rank — 55.6%
  • 2011-03-16: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.25$43.32$48.31$46.47$48.31
Max Pain$44.78$44.00$47.00$47.00$44.00
ATM IV21.7%12.2%31.7%22.5%15.1%
Expected Move6.3%3.5%9.1%6.5%4.3%
HV 20d23.0%19.1%28.0%19.7%24.4%
HV 60d17.3%15.0%19.5%15.0%19.3%
IV Rank22.1%0.0%55.6%23.8%9.0%
IV Percentile43.4%0.0%92.5%52.0%0.4%
Term Structure0.5%-4.6%5.0%0.0%4.8%
VWIV23.7%9.6%30.8%28.3%26.4%
Skew 25d8.5%5.3%12.5%6.2%6.3%
Skew 10d16.7%8.3%22.5%11.8%9.1%
Call IV 25d17.7%13.8%27.4%19.1%16.3%
Put IV 25d26.2%21.4%35.8%25.3%22.6%
Bid-Ask Spread %35.3018.7854.5625.8927.86
Gamma HHI0.430.300.590.340.31
Net GEX-1.2M-1.7M-516.0K-1.3M-516.0K
Net DEX10.2M-85.2K22.3M10.9M-85.2K
Net VEX-56.5K-67.4K-38.1K-67.4K-38.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.700.0015.0011.500.00
Total Volume156.4781273120051
Total OI10,524.8269,63411,66910,40410,344

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$46.47$47.0022.5%6.5%19.7%23.8%28.3%6.2%0.0%-1.3M10.9M-67.4K11.5025.89N/AN/A161841,2069,198
2011-03-02$46.92$47.0020.0%5.7%19.1%15.2%0.0%7.2%2.5%-1.3M10.1M-66.2K0.0336.95N/AN/A2911,2169,352
2011-03-03$47.35$47.0019.1%5.5%19.4%11.9%18.6%8.1%2.8%-1.3M8.3M-61.4K1.3824.89N/AN/A26361,2439,353
2011-03-04$47.10$45.0019.3%6.4%19.2%12.7%0.0%5.7%0.1%-1.3M9.1M-62.7K0.0051.00N/AN/A1301,2699,374
2011-03-07$46.54$45.0021.1%6.4%19.3%19.1%25.6%7.8%0.3%-1.4M10.6M-63.3K5.0038.83N/AN/A5251,2809,374
2011-03-08$47.18$45.0020.5%6.5%20.1%17.0%23.3%6.6%-0.3%-1.3M8.6M-60.0K0.1854.56N/AN/A4481,2759,384
2011-03-09$46.95$45.0020.1%6.5%20.1%15.5%18.6%5.5%-4.6%-1.4M9.4M-59.3K0.0052.64N/AN/A1201,2829,384
2011-03-10$45.65$45.0022.9%6.6%22.0%25.0%24.2%10.1%0.8%-1.6M14.4M-62.6K2.0952.29N/AN/A35731,2869,384
2011-03-11$46.06$45.0021.9%6.3%22.2%21.6%23.8%9.5%2.2%-1.7M12.9M-61.7K0.7452.07N/AN/A31231,2919,453
2011-03-14$45.59$45.0023.0%6.6%22.4%25.4%24.6%10.8%1.4%-1.6M15.3M-60.3K15.0041.83N/AN/A2301,2979,473
2011-03-15$44.32$45.0027.4%7.8%24.2%40.6%26.5%9.9%0.0%-1.4M19.6M-61.1K0.4633.23N/AN/A4992321,2979,497
2011-03-16$43.32$45.0031.7%9.1%25.2%55.6%30.8%8.4%-2.6%-1.2M22.3M-60.7K0.4229.81N/AN/A3261361,7379,569
2011-03-17$43.72$44.0027.3%7.8%25.1%40.4%26.6%7.7%-0.6%-1.2M20.9M-61.5K2.6528.29N/AN/A802121,9729,606
2011-03-18$44.60$44.0023.8%6.8%26.3%28.3%27.3%9.8%1.0%-1.3M17.3M-61.4K1.3336.66N/AN/A681,9479,722
2011-03-21$45.66$44.0021.0%6.0%28.0%18.7%22.3%12.5%0.8%-1.4M9.2M-56.4K2.8232.34N/AN/A1042931,2188,416
2011-03-22$45.65$44.0020.7%5.9%24.8%17.4%25.6%10.4%1.1%-1.4M10.1M-57.5K11.5032.27N/AN/A121381,3128,693
2011-03-23$46.12$44.0021.4%6.1%25.0%20.1%21.1%10.1%0.8%-1.3M8.7M-55.3K0.9432.48N/AN/A1541451,3248,690
2011-03-24$46.87$44.0021.3%6.1%25.7%19.8%21.8%10.0%-0.9%-1.1M5.4M-49.2K0.3538.01N/AN/A77271,3328,580
2011-03-25$46.95$44.0021.8%6.2%24.5%21.3%21.7%9.0%-0.6%-1.0M4.9M-48.9K1.2218.78N/AN/A18221,4008,601
2011-03-28$46.77$44.0022.2%6.4%24.5%22.7%26.4%8.5%-0.7%-1.1M4.9M-46.5K4.1721.13N/AN/A351461,4138,623
2011-03-29$47.44$44.0023.8%6.8%24.3%28.2%9.6%9.5%-2.1%-882.7K1.9M-38.3K0.0424.08N/AN/A222101,4488,654
2011-03-30$48.10$44.0012.2%3.5%24.5%0.0%26.4%5.3%5.0%-594.5K438.4K-39.0K0.2625.93N/AN/A42111,6388,664
2011-03-31$48.31$44.0015.1%4.3%24.4%9.0%0.0%6.3%4.8%-516.0K-85.2K-38.1K0.0027.86N/AN/A5101,6808,664