EPP Options History — June 2011

In June 2011, EPP traded between $45.21 and $48.06. ATM implied volatility averaged 21.1%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 1.0% (HV 20d: 22.0%). Max pain ranged from $46.00 to $49.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.54.

Notable Days

  • 2011-06-16: Highest Volume — 1,028 contracts
  • 2011-06-15: Largest IV spike — 24.4% change
  • 2011-06-15: Highest IV Rank — 46.6%
  • 2011-06-15: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.71$45.21$48.06$47.94$47.61
Max Pain$47.55$46.00$49.00$48.00$47.00
ATM IV21.1%16.0%24.7%21.1%18.0%
Expected Move6.0%4.6%7.1%6.1%5.2%
HV 20d22.0%19.7%23.8%22.6%23.4%
HV 60d19.9%19.2%20.9%20.9%20.6%
IV Rank33.1%14.2%46.6%33.4%21.7%
IV Percentile48.0%4.4%90.9%43.7%15.1%
Term Structure2.0%-1.3%7.6%-1.3%1.6%
VWIV21.6%16.1%26.9%25.9%18.1%
Skew 25d7.2%1.8%10.1%7.2%1.8%
Skew 10d15.8%4.1%25.5%15.5%4.1%
Call IV 25d18.9%15.8%21.0%18.4%17.2%
Put IV 25d26.1%19.0%29.9%25.7%19.0%
Bid-Ask Spread %37.8319.0880.9722.5380.97
Gamma HHI0.320.200.430.390.20
Net GEX-270.8K-456.7K200.1K-234.1K200.1K
Net DEX4.4M-2.3M7.7M2.5M-2.3M
Net VEX-27.5K-31.2K-23.5K-27.8K-25.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.0020.502.690.57
Total Volume291.09121,028284299
Total OI7,363.1366,2328,7076,2328,156

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$47.94$48.0021.1%6.1%22.6%33.4%25.9%7.2%-1.3%-234.1K2.5M-27.8K2.6922.53N/AN/A772071,9774,255
2011-06-02$48.06$48.0020.2%5.8%21.2%29.9%21.6%7.4%-0.6%-278.8K2.7M-27.5K0.6529.33N/AN/A1911252,0044,429
2011-06-03$47.66$49.0018.7%5.8%20.9%24.4%21.9%7.3%1.3%-396.2K4.0M-27.7K2.3836.14N/AN/A1443421,8844,529
2011-06-06$47.33$49.0022.7%6.2%20.0%39.0%0.0%7.9%1.5%-437.5K5.3M-28.9K0.2534.21N/AN/A2052,0224,827
2011-06-07$47.62$49.0019.5%5.8%19.8%27.2%19.5%6.8%1.6%-418.6K4.2M-27.1K0.0037.38N/AN/A11102,0424,832
2011-06-08$46.90$49.0022.1%6.0%20.0%36.9%20.2%7.2%1.3%-445.4K6.2M-27.5K0.0042.91N/AN/A1102,1534,832
2011-06-09$47.54$49.0020.2%5.8%19.7%29.8%0.0%7.8%2.0%-412.0K4.5M-27.7K0.0035.14N/AN/A202,1544,832
2011-06-10$46.48$49.0024.1%6.9%21.1%44.5%23.1%8.1%1.2%-456.7K7.4M-27.2K0.3032.83N/AN/A326972,1564,832
2011-06-13$46.61$48.0021.6%6.2%20.9%34.9%22.4%7.2%2.4%-424.9K6.7M-27.1K0.3533.52N/AN/A3451202,3774,909
2011-06-14$47.58$47.0019.8%5.7%22.3%28.5%16.1%7.2%3.5%-332.6K3.2M-27.7K1.0941.20N/AN/A69752,7224,978
2011-06-15$46.41$47.0024.7%7.1%23.8%46.6%23.6%10.1%0.9%-333.4K7.0M-28.5K0.1628.39N/AN/A262412,7394,992
2011-06-16$45.99$47.0022.9%6.6%23.5%40.1%23.5%8.8%5.7%-272.9K7.7M-27.7K0.6328.15N/AN/A6323962,9654,973
2011-06-17$46.37$46.0023.6%6.8%23.5%42.5%17.4%8.0%7.6%-219.4K5.6M-31.2K0.6831.05N/AN/A1761203,5765,131
2011-06-20$46.08$46.0022.4%6.4%23.3%38.3%24.0%8.1%1.6%-245.6K5.0M-28.1K0.1942.72N/AN/A243452,6474,655
2011-06-21$46.88$46.0020.0%5.7%21.9%29.2%20.4%8.7%1.9%-107.1K2.5M-30.6K0.0819.08N/AN/A553462,8904,700
2011-06-22$45.71$47.0016.0%4.6%23.4%14.2%26.9%9.8%5.8%-61.5K2.8M-23.5K0.8527.87N/AN/A1351152,5684,741
2011-06-23$45.53$47.0019.5%5.6%23.5%27.2%22.0%7.0%2.0%-252.5K5.0M-26.1K2.1732.89N/AN/A531152,6384,826
2011-06-24$45.21$47.0021.7%6.2%22.7%35.4%20.3%5.5%3.7%-356.4K6.1M-28.5K20.5063.03N/AN/A2412,6834,936
2011-06-27$45.35$47.0022.9%6.6%22.4%39.8%22.1%5.7%-0.8%-351.2K5.8M-27.2K0.2569.45N/AN/A160402,6854,977
2011-06-28$46.01$47.0022.4%6.4%22.7%37.9%22.5%6.6%-0.2%-168.3K3.8M-26.3K0.0434.23N/AN/A256102,7925,016
2011-06-29$46.67$47.0019.1%5.5%22.2%25.7%19.6%4.3%1.4%46.7K950.1K-25.6K0.1229.21N/AN/A355422,9515,006
2011-06-30$47.61$47.0018.0%5.2%23.4%21.7%18.1%1.8%1.6%200.1K-2.3M-25.9K0.5780.97N/AN/A1911083,1185,038