EPP Options History — July 2011

In July 2011, EPP traded between $45.37 and $48.01. ATM implied volatility averaged 21.5%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 1.1% (HV 20d: 22.7%). Max pain ranged from $46.00 to $47.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 5.43.

Notable Days

  • 2011-07-27: Highest Volume — 397 contracts
  • 2011-07-11: Largest IV spike — 68.9% change
  • 2011-07-29: Highest IV Rank — 53.7%
  • 2011-07-29: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.91$45.37$48.01$48.01$46.86
Max Pain$46.15$46.00$47.00$47.00$47.00
ATM IV21.5%15.0%26.6%15.0%26.6%
Expected Move6.3%4.3%7.6%4.3%7.6%
HV 20d22.7%20.3%24.3%23.4%20.3%
HV 60d21.3%20.4%22.0%20.4%21.3%
IV Rank34.9%10.7%53.7%10.7%53.7%
IV Percentile56.2%2.0%96.0%2.0%96.0%
Term Structure0.4%-2.1%3.2%3.2%-2.1%
VWIV22.1%17.0%27.3%17.4%23.4%
Skew 25d6.8%4.5%9.2%4.5%7.8%
Skew 10d17.3%8.0%21.1%8.0%16.4%
Call IV 25d19.3%13.7%23.7%13.7%23.7%
Put IV 25d26.1%18.3%31.5%18.3%31.5%
Bid-Ask Spread %36.2821.7650.2130.4628.81
Gamma HHI0.260.140.800.260.18
Net GEX433.4K96.3K1.9M485.8K98.2K
Net DEX-499.8K-4.2M3.8M-4.0M128.5K
Net VEX-18.6K-23.6K-14.3K-23.6K-18.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.430.0050.000.080.00
Total Volume10518397183240
Total OI5,723.352,5268,7758,4183,268

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$48.01$47.0015.0%4.3%23.4%10.7%17.4%4.5%3.2%485.8K-4.0M-23.6K0.0830.46N/AN/A169143,2885,130
2011-07-05$47.31$46.0017.4%5.5%23.9%19.5%0.0%6.3%1.0%597.8K-2.3M-22.7K0.7246.41N/AN/A50363,4375,130
2011-07-06$47.08$46.0018.4%5.8%23.8%23.3%20.4%6.7%0.3%464.5K-398.1K-23.1K0.0050.21N/AN/A6803,4875,125
2011-07-07$47.78$46.0015.6%5.3%23.8%12.6%17.0%5.5%1.9%677.7K-4.2M-22.2K0.0941.80N/AN/A3433,5435,125
2011-07-08$47.52$46.0015.5%5.5%23.4%12.4%0.0%6.3%0.9%802.8K-3.0M-21.4K4.6044.43N/AN/A5233,5715,125
2011-07-11$46.23$46.0026.2%6.6%24.1%52.2%25.8%6.5%-0.1%397.5K1.9M-19.6K0.2746.64N/AN/A1543,5715,137
2011-07-12$45.75$46.0024.9%6.7%24.3%47.4%22.0%6.1%-0.0%199.7K3.8M-17.8K0.4744.20N/AN/A2451153,5715,140
2011-07-13$46.41$46.0022.4%6.8%23.7%37.9%20.4%6.5%-0.3%634.8K841.3K-18.5K0.0045.31N/AN/A6403,5525,123
2011-07-14$45.93$46.0024.0%6.9%22.3%43.9%23.6%6.5%-0.4%670.7K2.2M-17.0K24.8043.65N/AN/A51243,5925,079
2011-07-15$45.91$46.0023.6%6.8%22.0%42.5%24.5%7.5%0.4%1.9M3.2M-15.8K50.0045.76N/AN/A1503,5975,178
2011-07-18$45.37$46.0025.2%7.2%22.2%48.6%24.4%8.1%-0.6%96.3K649.1K-14.3K0.0934.68N/AN/A7871,565961
2011-07-19$46.37$46.0023.0%6.6%23.5%40.3%21.4%9.2%0.3%156.6K-189.8K-15.9K0.1828.03N/AN/A3871,649962
2011-07-20$46.86$46.0020.1%5.8%23.0%29.4%20.1%7.1%1.7%193.3K-684.9K-16.6K0.0336.28N/AN/A6521,684964
2011-07-21$47.59$46.0019.6%5.6%21.6%27.5%17.8%7.0%1.3%240.7K-1.6M-17.8K0.0022.34N/AN/A3101,749965
2011-07-22$47.80$46.0019.3%5.5%21.5%26.6%22.4%6.0%1.4%254.8K-1.8M-17.5K2.5728.09N/AN/A7181,751965
2011-07-25$47.32$46.0021.8%6.2%21.7%35.7%23.1%6.5%0.7%237.3K-1.3M-16.7K1.2530.31N/AN/A8101,755978
2011-07-26$47.74$46.0021.3%6.1%21.8%34.0%23.1%6.3%0.8%243.9K-1.7M-17.2K1.4425.24N/AN/A32461,763988
2011-07-27$47.11$46.0025.9%7.4%22.0%51.2%27.3%7.7%-1.2%213.1K-1.1M-17.2K17.0531.11N/AN/A223751,7951,024
2011-07-28$47.17$47.0025.1%7.2%21.5%48.1%23.0%6.8%-1.1%115.7K-389.6K-18.7K4.9321.76N/AN/A15741,7811,399
2011-07-29$46.86$47.0026.6%7.6%20.3%53.7%23.4%7.8%-2.1%98.2K128.5K-18.8K0.0028.81N/AN/A24001,7951,473