EPP Options History — August 2011

In August 2011, EPP traded between $38.90 and $47.08. ATM implied volatility averaged 38.1%, placing in the 59.0% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 12.6% (HV 20d: 50.7%). Max pain ranged from $41.00 to $47.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 3.80.

Notable Days

  • 2011-08-04: Highest Volume — 1,417 contracts
  • 2011-08-08: Largest IV spike — 51.9% change
  • 2011-08-05: Highest IV Rank — 100.0%
  • 2011-08-10: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.93$38.90$47.08$47.08$44.68
Max Pain$43.04$41.00$47.00$47.00$41.00
ATM IV38.1%26.5%61.9%26.5%29.6%
Expected Move10.9%7.6%16.0%7.6%8.5%
HV 20d50.7%20.1%63.4%20.1%62.8%
HV 60d34.5%21.2%40.1%21.2%40.1%
IV Rank59.0%35.0%100.0%53.4%35.0%
IV Percentile97.0%91.3%100.0%95.6%91.3%
Term Structure-4.0%-17.8%0.6%-1.6%0.6%
VWIV40.0%25.3%56.7%30.9%29.8%
Skew 25d12.4%6.7%22.8%8.0%9.1%
Skew 10d26.3%19.1%36.5%19.6%24.3%
Call IV 25d31.9%22.6%43.7%23.7%25.8%
Put IV 25d44.3%30.5%66.5%31.7%34.9%
Bid-Ask Spread %36.1918.0468.2025.4046.19
Gamma HHI0.140.090.280.180.17
Net GEX140.6K24.6K490.9K147.5K186.0K
Net DEX1.2M-2.2M4.5M-194.8K-2.2M
Net VEX-19.9K-24.6K-13.7K-19.1K-23.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.800.1051.175.382.50
Total Volume351.739231,4178356
Total OI5,563.2173,5027,3893,5025,752

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$47.08$47.0026.5%7.6%20.1%53.4%30.9%8.0%-1.6%147.5K-194.8K-19.1K5.3825.40N/AN/A13702,0291,473
2011-08-02$45.75$47.0027.3%7.8%21.9%56.2%25.3%6.7%-1.6%69.5K1.4M-17.3K0.6726.47N/AN/A99662,0411,503
2011-08-03$45.40$47.0026.7%7.6%22.0%54.0%27.8%7.9%-1.8%24.8K2.4M-15.5K0.1425.02N/AN/A431612,0551,547
2011-08-04$42.60$46.0035.4%10.1%30.2%86.5%37.8%9.2%0.2%43.9K3.5M-13.7K0.6041.83N/AN/A8865312,4411,575
2011-08-05$42.03$44.0040.8%12.0%30.4%100.0%37.1%13.4%-5.7%65.3K3.5M-17.6K0.1865.06N/AN/A8421502,9251,936
2011-08-08$38.90$44.0061.9%16.0%39.0%100.0%55.3%22.8%-17.2%51.9K4.5M-14.8K0.8846.93N/AN/A3873423,4802,042
2011-08-09$42.08$44.0044.5%12.7%49.7%64.9%38.7%12.8%-8.6%153.9K2.1M-20.2K1.2068.20N/AN/A2983593,7232,350
2011-08-10$39.94$43.0056.8%16.0%52.0%89.7%56.7%14.5%-17.8%76.1K3.5M-19.8K6.1946.49N/AN/A211303,9542,530
2011-08-11$42.15$43.0045.8%13.1%56.4%67.7%54.4%14.0%-6.0%174.0K1.5M-22.7K2.9841.39N/AN/A872593,9732,621
2011-08-12$42.31$43.0037.8%10.8%56.4%51.5%46.9%15.2%-3.3%195.4K1.6M-21.7K2.0522.08N/AN/A19394,0392,870
2011-08-15$43.92$43.0032.6%9.4%58.2%41.2%0.0%14.7%-1.8%342.4K-644.4K-21.5K0.1025.87N/AN/A2124,0502,886
2011-08-16$43.01$43.0034.7%9.9%57.9%45.3%35.4%13.0%-2.2%359.0K784.2K-20.0K1.0528.61N/AN/A1992094,0512,885
2011-08-17$43.65$42.0031.1%8.9%58.0%38.1%41.3%11.3%-1.2%490.9K-86.9K-20.3K3.3727.62N/AN/A301014,1493,023
2011-08-18$41.68$42.0040.6%11.6%59.5%57.2%45.9%13.3%-5.3%115.2K2.7M-18.2K51.1747.96N/AN/A63074,1163,013
2011-08-19$41.21$42.0042.9%12.3%59.3%61.8%47.1%13.0%-4.3%89.4K3.5M-18.3K0.6222.24N/AN/A66414,1103,279
2011-08-22$41.31$42.0042.7%12.2%59.4%61.3%41.2%14.5%-4.5%24.6K1.6M-17.5K1.2918.04N/AN/A791022,5511,901
2011-08-23$43.10$42.0037.2%10.7%61.8%50.4%38.7%12.5%-2.5%79.1K70.2K-19.9K0.7421.03N/AN/A3442562,6111,958
2011-08-24$42.85$41.0037.8%10.8%61.7%51.5%35.6%14.7%-2.8%83.7K157.3K-21.6K0.6427.58N/AN/A1621042,8122,080
2011-08-25$42.16$41.0042.3%12.1%61.8%60.7%43.4%13.3%-3.5%75.3K449.1K-22.9K1.5821.10N/AN/A651032,9402,184
2011-08-26$43.11$41.0037.3%10.7%62.6%50.5%40.3%11.0%-1.7%104.3K-319.7K-23.8K0.8738.56N/AN/A2832453,0022,272
2011-08-29$44.23$41.0031.9%9.1%63.4%39.7%30.4%10.2%0.1%138.7K-1.5M-23.5K2.5054.74N/AN/A34853,0722,488
2011-08-30$44.18$41.0032.8%9.4%62.7%41.5%39.0%10.4%0.1%142.7K-1.5M-24.6K0.6743.98N/AN/A60403,0942,568
2011-08-31$44.68$41.0029.6%8.5%62.8%35.0%29.8%9.1%0.6%186.0K-2.2M-23.9K2.5046.19N/AN/A16403,1442,608