EPP Options History — September 2011

In September 2011, EPP traded between $36.77 and $44.29. ATM implied volatility averaged 39.5%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 0.4% (HV 20d: 39.1%). Max pain ranged from $42.00 to $45.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.39.

Notable Days

  • 2011-09-30: Highest Volume — 769 contracts
  • 2011-09-06: Largest IV spike — 89.5% change
  • 2011-09-06: Highest IV Rank — 100.0%
  • 2011-09-12: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.52$36.77$44.29$44.29$36.77
Max Pain$43.62$42.00$45.00$42.00$43.00
ATM IV39.5%31.9%63.7%31.9%45.2%
Expected Move11.1%9.2%13.0%9.2%13.0%
HV 20d39.1%31.2%58.9%58.4%37.6%
HV 60d41.5%40.0%43.6%40.0%43.6%
IV Rank53.1%39.7%100.0%39.7%64.2%
IV Percentile94.7%90.9%100.0%92.9%98.0%
Term Structure-1.7%-18.1%4.0%0.7%-2.9%
VWIV37.0%26.4%48.5%29.0%38.4%
Skew 25d11.5%4.7%17.8%6.9%12.3%
Skew 10d25.3%13.1%37.0%21.9%34.7%
Call IV 25d33.4%28.0%40.9%28.6%39.4%
Put IV 25d45.0%35.5%57.2%35.5%51.7%
Bid-Ask Spread %53.7223.43137.9246.5338.37
Gamma HHI0.140.110.230.160.13
Net GEX17.1K-73.5K161.3K161.3K-15.7K
Net DEX2.0M-1.7M3.5M-1.7M3.5M
Net VEX-15.5K-23.9K-9.6K-23.5K-10.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.390.0015.501.040.81
Total Volume120276947769
Total OI4,768.3333,4395,8965,7753,811

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$44.29$42.0031.9%9.2%58.4%39.7%29.0%6.9%0.7%161.3K-1.7M-23.5K1.0446.53N/AN/A23243,1362,639
2011-09-02$43.18$42.0033.6%9.6%58.9%43.1%0.0%9.5%1.8%94.2K-99.9K-22.9K0.0077.31N/AN/A203,1422,663
2011-09-06$42.55$45.0063.7%12.3%51.6%100.0%40.1%16.3%-18.1%50.9K475.3K-23.9K1.60137.92N/AN/A40643,1422,663
2011-09-07$44.04$45.0032.9%9.8%45.1%40.2%0.0%12.8%-4.3%140.4K-1.1M-20.7K1.2068.09N/AN/A30363,1102,670
2011-09-08$43.03$45.0033.7%10.3%41.5%41.8%48.5%13.0%-5.2%94.3K-37.7K-20.3K3.2567.84N/AN/A20653,1142,700
2011-09-09$41.78$45.0041.3%11.5%38.6%56.4%39.8%12.6%-5.0%5.2K1.7M-20.2K15.5065.51N/AN/A2313,1342,740
2011-09-12$41.25$45.0047.2%13.0%38.8%68.0%36.8%17.8%-9.3%-40.4K2.5M-19.0K0.2367.25N/AN/A354813,1342,750
2011-09-13$41.32$44.0038.5%10.9%36.1%51.1%0.0%11.6%-2.6%-25.8K2.4M-17.3K2.2761.00N/AN/A30683,1822,714
2011-09-14$40.96$44.0035.3%11.1%35.5%44.9%26.4%9.7%2.2%-73.5K2.9M-16.4K0.3261.71N/AN/A105343,1522,702
2011-09-15$41.65$44.0032.9%9.4%35.7%40.2%32.5%10.0%0.0%-34.6K2.2M-15.6K5.6756.45N/AN/A9513,1462,673
2011-09-16$41.93$44.0033.6%9.6%31.8%41.7%33.6%10.7%0.1%24.7K1.7M-15.5K0.5053.57N/AN/A423,1492,662
2011-09-19$40.63$44.0035.1%10.1%33.5%44.5%32.8%12.4%0.2%20.3K2.6M-13.0K0.0028.39N/AN/A10201,9111,528
2011-09-20$40.37$43.0035.1%10.1%33.5%44.4%34.7%9.9%-0.3%26.4K2.6M-12.7K0.3123.43N/AN/A32102,0051,528
2011-09-21$39.04$43.0039.4%11.3%31.2%52.9%31.1%9.2%-1.3%2.9K3.2M-11.5K2.1744.36N/AN/A12262,0271,535
2011-09-22$37.13$43.0043.6%12.5%35.1%61.0%42.8%4.7%2.8%-13.1K3.4M-9.6K1.0786.01N/AN/A73782,0291,437
2011-09-23$37.47$43.0044.9%12.9%35.4%63.5%40.7%11.4%0.6%-13.6K3.2M-10.4K0.2825.54N/AN/A72202,0761,478
2011-09-26$38.19$43.0039.9%11.4%35.1%53.7%41.4%10.5%4.0%-14.9K3.2M-10.7K13.3331.43N/AN/A3402,1151,498
2011-09-27$39.15$43.0037.3%10.7%35.0%48.8%36.2%11.6%1.8%-6.0K2.8M-11.6K0.0327.97N/AN/A7822,1151,530
2011-09-28$37.91$43.0041.2%11.8%36.1%56.3%44.6%14.0%1.4%-10.1K3.2M-10.6K0.0023.53N/AN/A1402,1681,530
2011-09-29$38.24$43.0042.8%12.3%35.9%59.4%0.0%15.9%-1.5%-14.6K3.2M-10.5K0.5436.00N/AN/A74402,1671,530
2011-09-30$36.77$43.0045.2%13.0%37.6%64.2%38.4%12.3%-2.9%-15.7K3.5M-10.1K0.8138.37N/AN/A4253442,2411,570