EPP Options History — October 2011

In October 2011, EPP traded between $35.68 and $45.05. ATM implied volatility averaged 35.2%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 5.7% (HV 20d: 41.0%). Max pain ranged from $35.00 to $43.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 3.00.

Notable Days

  • 2011-10-31: Highest Volume — 412 contracts
  • 2011-10-31: Largest IV spike — 36.7% change
  • 2011-10-03: Highest IV Rank — 72.8%
  • 2011-10-03: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.80$35.68$45.05$35.68$42.68
Max Pain$36.76$35.00$43.00$43.00$36.00
ATM IV35.2%25.4%49.7%49.7%37.0%
Expected Move10.3%7.3%14.2%14.2%10.6%
HV 20d41.0%37.9%43.8%37.9%42.3%
HV 60d46.1%43.9%48.9%43.9%48.0%
IV Rank44.8%25.6%72.8%72.8%48.3%
IV Percentile85.5%70.2%98.8%98.8%88.5%
Term Structure-1.3%-8.6%2.5%-4.1%-0.3%
VWIV36.0%25.6%50.4%47.5%38.2%
Skew 25d13.4%9.8%19.4%10.9%9.8%
Skew 10d32.2%15.0%39.7%32.8%29.4%
Call IV 25d30.3%21.3%45.3%45.3%31.9%
Put IV 25d43.6%32.1%56.2%56.2%41.7%
Bid-Ask Spread %54.6725.50117.4432.1267.48
Gamma HHI0.130.090.170.130.10
Net GEX20.2K-10.2K52.7K-23128.0K
Net DEX832.2K-1.8M3.3M3.3M-423.3K
Net VEX-13.2K-14.5K-11.0K-11.2K-13.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.000.2315.700.460.26
Total Volume129.14321412121412
Total OI3,936.4292,4414,8223,9462,804

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$35.68$43.0049.7%14.2%37.9%72.8%47.5%10.9%-4.1%-2313.3M-11.2K0.4632.12N/AN/A83382,3241,622
2011-10-04$36.21$43.0045.9%13.2%38.8%65.5%50.4%15.5%-1.3%1343.3M-11.0K1.4028.89N/AN/A1181652,3821,642
2011-10-05$37.24$42.0042.5%12.2%37.9%58.9%0.0%12.5%-0.3%1.7K2.9M-12.0K2.5625.50N/AN/A9232,4591,790
2011-10-06$38.64$42.0034.7%10.0%40.7%43.8%38.9%11.5%2.5%6.4K2.3M-12.7K1.4534.99N/AN/A691002,4681,811
2011-10-07$38.87$35.0031.8%10.6%39.9%38.1%0.0%19.4%0.6%17.2K2.1M-13.6K9.00117.44N/AN/A5452,4971,888
2011-10-10$40.61$35.0034.5%10.1%43.1%43.4%26.7%13.7%-1.7%28.5K1.2M-13.9K1.7658.04N/AN/A51902,4971,911
2011-10-11$40.47$35.0034.9%11.4%43.1%44.1%38.5%13.8%-5.6%23.6K1.3M-13.9K4.7157.87N/AN/A7332,5181,960
2011-10-12$41.30$35.0033.5%10.3%43.6%41.3%33.4%14.5%-1.8%39.8K501.8K-14.5K0.9157.82N/AN/A33302,5251,968
2011-10-13$41.24$35.0035.1%10.1%43.2%44.5%37.3%14.9%-0.8%31.3K762.7K-13.9K0.2356.82N/AN/A118272,5581,992
2011-10-14$42.14$35.0031.6%9.1%43.8%37.8%34.4%11.3%-0.6%52.7K58.5K-13.9K5.2864.85N/AN/A18952,5872,001
2011-10-17$40.91$35.0035.9%10.3%43.7%46.0%0.0%13.2%-2.5%26.1K982.2K-13.9K4.2259.41N/AN/A321352,5952,087
2011-10-18$41.48$35.0035.0%10.0%43.8%44.3%0.0%12.6%-8.6%29.5K480.8K-13.7K3.7565.41N/AN/A8302,6072,112
2011-10-19$40.77$35.0036.5%10.5%42.5%47.2%25.9%14.6%-1.5%18.1K1.0M-13.3K3.4859.74N/AN/A21732,6032,081
2011-10-20$40.58$36.0036.9%10.6%37.9%48.1%39.7%15.1%-2.3%-2.5K1.4M-13.0K0.3659.32N/AN/A84302,6142,141
2011-10-21$41.52$36.0033.8%9.7%38.4%42.0%34.1%13.9%-2.5%-10.2K604.2K-12.8K1.1064.54N/AN/A10112,6562,166
2011-10-24$42.72$36.0029.9%8.6%39.0%34.4%27.0%12.9%1.4%15.2K-359.4K-12.5K0.3852.89N/AN/A80301,1191,322
2011-10-25$41.61$36.0034.5%9.9%39.9%43.3%41.2%13.3%0.1%21.5K20.3K-13.1K3.7538.88N/AN/A401501,1931,352
2011-10-26$42.29$35.0033.8%9.7%37.9%42.0%36.9%14.3%-0.3%26.9K-509.7K-13.0K1.5943.20N/AN/A39621,2331,283
2011-10-27$45.05$36.0025.4%7.3%43.1%25.6%25.6%10.0%1.9%35.1K-1.8M-12.9K0.5746.92N/AN/A90511,2721,345
2011-10-28$44.69$36.0027.1%7.8%39.8%29.0%0.0%13.0%0.9%36.1K-1.6M-13.5K15.7056.00N/AN/A101571,3271,353
2011-10-31$42.68$36.0037.0%10.6%42.3%48.3%38.2%9.8%-0.3%28.0K-423.3K-13.8K0.2667.48N/AN/A327851,3371,467