EPP Options History — April 2011

In April 2011, EPP traded between $48.84 and $50.92. ATM implied volatility averaged 16.8%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 1.0% (HV 20d: 17.8%). Max pain ranged from $44.00 to $49.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2011-04-28: Highest Volume — 406 contracts
  • 2011-04-12: Largest IV drop — 30.3% change
  • 2011-04-18: Highest IV Rank — 24.0%
  • 2011-04-12: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.83$48.84$50.92$48.84$50.56
Max Pain$48.10$44.00$49.00$44.00$49.00
ATM IV16.8%12.6%20.0%13.6%17.7%
Expected Move5.2%3.9%5.9%3.9%5.1%
HV 20d17.8%14.3%24.5%24.5%14.8%
HV 60d19.7%19.3%20.2%19.4%19.6%
IV Rank14.2%1.2%24.0%4.3%17.1%
IV Percentile8.1%0.4%24.6%0.4%12.7%
Term Structure1.7%-0.8%4.4%4.4%1.3%
VWIV20.0%15.4%26.1%23.0%19.7%
Skew 25d5.7%4.5%6.5%6.3%5.1%
Skew 10d14.9%6.7%19.0%6.7%13.9%
Call IV 25d16.3%14.1%18.2%14.6%16.3%
Put IV 25d22.0%19.4%24.4%21.0%21.3%
Bid-Ask Spread %41.1523.4161.6429.1923.41
Gamma HHI0.290.230.400.230.27
Net GEX-27.5K-238.1K385.9K-199.5K-54.2K
Net DEX-2.1M-3.8M1.2M-2.1M-2.0M
Net VEX-29.1K-31.8K-27.6K-30.6K-31.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.0010.740.100.53
Total Volume138.81140611405
Total OI8,069.84,39410,67510,3945,790

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$48.84$44.0013.6%3.9%24.5%4.3%23.0%6.3%4.4%-199.5K-2.1M-30.6K0.1029.19N/AN/A1011,7308,664
2011-04-04$49.00$48.0016.0%5.3%24.0%11.9%19.4%6.3%2.4%-238.1K-2.2M-30.7K0.0054.83N/AN/A3101,7288,664
2011-04-05$49.01$48.0016.4%5.3%23.6%12.9%0.0%5.9%2.1%-194.1K-2.2M-31.1K0.0650.29N/AN/A9361,7278,664
2011-04-06$49.67$48.0015.8%5.1%23.8%11.2%18.3%6.1%-0.8%-33.1K-3.2M-29.5K2.4449.52N/AN/A9221,7698,659
2011-04-07$49.54$48.0015.7%5.3%21.0%10.9%21.0%6.5%2.4%13.2K-3.1M-28.2K0.1451.86N/AN/A78111,7698,671
2011-04-08$50.01$48.0015.5%5.3%21.0%10.3%18.4%6.1%2.9%61.2K-3.8M-28.7K0.0052.26N/AN/A1101,8418,682
2011-04-11$49.85$48.0018.0%5.6%20.5%18.0%19.4%5.3%2.0%76.6K-3.7M-27.9K0.1250.47N/AN/A2531,8358,682
2011-04-12$49.06$48.0012.6%5.9%18.2%1.2%26.1%6.2%1.6%-18.7K-2.4M-29.1K0.3661.64N/AN/A28101,8558,682
2011-04-13$49.46$48.0014.8%5.8%15.0%8.0%25.0%6.5%2.0%100.3K-3.0M-29.1K0.0053.61N/AN/A1101,8498,686
2011-04-14$49.78$48.0018.8%5.4%14.9%20.4%19.3%6.3%1.6%385.9K-3.3M-27.6K0.1553.75N/AN/A190281,8488,686
2011-04-15$49.69$48.0018.4%5.3%14.3%19.2%21.1%6.0%2.1%327.0K-3.3M-28.0K1.6454.45N/AN/A22361,9638,712
2011-04-18$48.90$48.0020.0%5.7%14.6%24.0%21.9%6.3%1.5%-122.8K1.2M-28.8K1.5329.82N/AN/A1322021,0333,361
2011-04-19$49.09$48.0018.7%5.4%14.5%20.3%19.5%5.3%1.5%-105.9K724.0K-30.4K0.2030.33N/AN/A181371,1603,531
2011-04-20$50.21$48.0017.3%5.0%15.8%15.9%18.0%4.5%1.8%-82.5K-868.2K-28.3K1.5235.91N/AN/A1532321,2553,555
2011-04-21$50.73$49.0015.6%4.5%15.4%10.7%15.4%5.3%1.8%-71.1K-1.6M-28.2K2.2129.40N/AN/A19421,3973,752
2011-04-25$50.59$49.0017.8%5.1%15.6%17.2%18.6%5.1%0.8%-97.9K-1.3M-28.1K0.2727.91N/AN/A63171,4163,794
2011-04-26$50.86$49.0017.6%5.0%15.3%16.7%17.4%5.3%1.1%-94.5K-1.7M-28.3K0.8629.18N/AN/A21181,4543,811
2011-04-27$50.90$49.0017.7%5.1%14.9%17.1%18.8%4.6%1.0%-87.4K-1.8M-28.1K10.7426.73N/AN/A192041,4733,825
2011-04-28$50.92$49.0017.4%5.0%14.4%16.0%19.2%5.3%0.5%-114.7K-1.6M-28.7K0.2828.37N/AN/A317891,4923,931
2011-04-29$50.56$49.0017.7%5.1%14.8%17.1%19.7%5.1%1.3%-54.2K-2.0M-31.8K0.5323.41N/AN/A2641411,7784,012