EPP Options History — May 2011

In May 2011, EPP traded between $47.12 and $50.53. ATM implied volatility averaged 20.3%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 1.5% (HV 20d: 18.8%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 6.04.

Notable Days

  • 2011-05-26: Highest Volume — 508 contracts
  • 2011-05-31: Largest IV spike — 36.4% change
  • 2011-05-23: Highest IV Rank — 39.7%
  • 2011-05-05: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.59$47.12$50.53$50.53$49.07
Max Pain$47.24$45.00$50.00$50.00$48.00
ATM IV20.3%13.0%23.6%19.2%17.7%
Expected Move5.9%3.7%6.8%5.5%5.1%
HV 20d18.8%14.5%21.7%14.5%21.7%
HV 60d20.5%19.5%21.2%19.5%20.5%
IV Rank26.5%3.1%39.7%21.7%20.7%
IV Percentile36.3%0.8%69.4%22.6%13.5%
Term Structure0.3%-1.7%3.4%0.2%1.1%
VWIV21.0%17.9%25.4%22.8%18.8%
Skew 25d5.9%2.4%7.6%5.4%6.4%
Skew 10d14.6%2.9%22.3%9.2%17.6%
Call IV 25d18.4%10.8%20.8%18.2%15.2%
Put IV 25d24.3%13.2%27.9%23.6%21.6%
Bid-Ask Spread %38.3019.54139.4324.5120.17
Gamma HHI0.300.230.500.240.30
Net GEX-68.3K-243.3K198.4K-13.2K-63.8K
Net DEX1.6M-2.0M3.9M-2.0M-237.7K
Net VEX-29.1K-35.4K-21.9K-31.7K-23.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.040.0065.000.003.39
Total Volume161.90525508220492
Total OI6,164.3334,8946,8656,1175,806

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$50.53$50.0019.2%5.5%14.5%21.7%22.8%5.4%0.2%-13.2K-2.0M-31.7K0.0024.51N/AN/A22001,9974,120
2011-05-03$49.79$50.0020.5%5.9%15.6%25.6%18.7%6.2%-0.1%-28.8K-431.9K-35.4K0.4231.85N/AN/A24102,1274,120
2011-05-04$48.64$50.0022.1%6.3%17.8%30.5%23.8%5.9%0.1%-68.5K1.6M-34.8K6.0019.95N/AN/A4242,1164,130
2011-05-05$48.04$50.0023.6%6.8%17.5%35.4%22.6%7.6%-0.4%-135.4K3.3M-34.6K0.4719.54N/AN/A88412,1194,154
2011-05-06$48.84$45.0021.1%6.4%18.6%27.4%23.7%7.6%-0.3%-52.5K1.5M-35.2K0.8836.98N/AN/A1991752,1614,143
2011-05-09$49.32$46.0020.7%6.5%18.7%26.4%22.4%7.3%0.2%9.5K68.8K-32.8K0.6943.22N/AN/A29202,2044,166
2011-05-10$49.74$46.0019.4%5.6%18.9%22.3%21.9%5.8%1.3%47.5K-745.4K-32.3K1.2044.53N/AN/A1001202,2214,154
2011-05-11$48.76$46.0020.6%6.1%19.4%26.1%19.0%7.3%0.4%-38.3K1.8M-31.5K24.0040.00N/AN/A1242,2494,254
2011-05-12$48.53$46.0021.1%6.1%19.2%27.7%0.0%7.2%0.3%-55.8K2.4M-32.0K1.5638.30N/AN/A731142,2504,273
2011-05-13$47.99$46.0022.0%6.3%19.3%30.4%22.0%7.5%0.0%-137.7K3.9M-30.0K1.0433.79N/AN/A77802,2864,359
2011-05-16$47.94$46.0022.3%6.4%19.3%31.3%25.4%5.9%0.3%-147.7K3.9M-29.1K0.0038.65N/AN/A3602,3374,396
2011-05-17$48.25$46.0021.5%6.2%18.8%28.7%21.7%6.8%-0.2%-89.8K3.6M-28.8K4.4338.76N/AN/A7312,3534,396
2011-05-18$48.68$46.0019.6%5.6%19.0%22.9%18.3%5.1%0.5%20.0K2.4M-26.8K0.0044.07N/AN/A11702,3484,387
2011-05-19$49.12$46.0019.1%5.5%17.4%21.3%19.3%4.9%0.3%198.4K485.1K-24.7K65.0042.73N/AN/A1652,4374,387
2011-05-20$48.55$47.0018.6%5.3%17.2%24.0%17.9%4.3%0.9%41.1K2.2M-25.7K3.7541.86N/AN/A20752,4374,428
2011-05-23$47.12$47.0022.9%6.6%19.8%39.7%21.5%5.8%-1.7%-223.9K2.9M-25.2K2.1228.40N/AN/A26551,4543,440
2011-05-24$47.47$47.0021.5%6.2%20.0%34.6%20.4%6.1%-0.1%-211.8K2.5M-24.6K3.8423.27N/AN/A572191,4623,481
2011-05-25$47.41$48.0021.4%6.1%19.9%34.2%19.5%5.4%-0.2%-243.3K2.8M-25.6K1.6725.99N/AN/A881471,5183,668
2011-05-26$48.08$48.0018.1%5.2%20.8%22.2%18.8%3.8%1.0%-197.3K1.7M-24.7K0.3928.22N/AN/A3661421,5933,747
2011-05-27$48.50$48.0013.0%3.7%21.2%3.1%0.0%2.4%3.4%-42.7K-686.2K-21.9K0.00139.43N/AN/A0331,8923,881
2011-05-31$49.07$48.0017.7%5.1%21.7%20.7%18.8%6.4%1.1%-63.8K-237.7K-23.8K3.3920.17N/AN/A1123801,8923,914