EPP Options History — November 2011

In November 2011, EPP traded between $37.80 and $43.47. ATM implied volatility averaged 38.5%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 3.6% (HV 20d: 42.1%). Max pain ranged from $36.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 6.76.

Notable Days

  • 2011-11-08: Highest Volume — 875 contracts
  • 2011-11-09: Largest IV spike — 35.9% change
  • 2011-11-09: Highest IV Rank — 66.3%
  • 2011-11-10: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.04$37.80$43.47$41.57$41.96
Max Pain$38.48$36.00$40.00$36.00$40.00
ATM IV38.5%30.7%46.3%41.2%30.7%
Expected Move10.8%8.8%12.7%11.8%8.8%
HV 20d42.1%34.7%44.6%44.0%40.9%
HV 60d40.4%39.1%45.6%45.6%41.8%
IV Rank51.2%36.0%66.3%56.4%36.0%
IV Percentile87.4%68.7%98.0%93.3%68.7%
Term Structure-1.7%-10.8%4.2%-2.2%1.1%
VWIV35.4%26.1%44.5%44.5%28.3%
Skew 25d12.9%5.3%36.1%14.4%9.0%
Skew 10d27.5%11.9%39.3%34.6%22.4%
Call IV 25d31.1%22.2%39.2%35.3%26.5%
Put IV 25d44.0%35.5%58.9%49.7%35.5%
Bid-Ask Spread %62.2036.31128.9150.0736.31
Gamma HHI0.140.080.190.090.19
Net GEX113.9K25.2K203.5K56.5K108.5K
Net DEX-1.2M-4.3M2.1M-438.9K-1.3M
Net VEX-21.4K-26.4K-15.6K-15.6K-23.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.760.00104.001.730.91
Total Volume1561187516444
Total OI4,300.1433,1494,9433,1494,598

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$41.57$36.0041.2%11.8%44.0%56.4%44.5%14.4%-2.2%56.5K-438.9K-15.6K1.7350.07N/AN/A601041,6381,511
2011-11-02$42.27$36.0040.5%11.6%43.5%55.0%0.0%13.8%-2.5%55.5K-930.8K-16.3K0.1052.71N/AN/A212221,6941,595
2011-11-03$42.88$36.0035.8%10.3%42.1%45.9%34.1%13.2%0.3%78.0K-1.8M-17.4K0.2443.53N/AN/A50121,9001,610
2011-11-04$42.56$39.0034.3%9.6%42.3%42.9%42.5%14.9%-0.8%89.3K-1.6M-17.0K0.1155.90N/AN/A175201,9451,620
2011-11-07$42.96$38.0046.1%10.0%39.8%65.8%0.0%16.9%-3.2%110.7K-2.7M-18.2K2.50117.04N/AN/A4102,1181,640
2011-11-08$43.47$38.0034.1%9.8%39.8%42.5%31.6%15.2%-1.4%104.3K-2.8M-17.2K0.0053.14N/AN/A87502,1161,650
2011-11-09$41.19$38.0046.3%11.8%44.1%66.3%42.9%13.8%-2.9%166.2K-2.7M-24.8K2.0248.19N/AN/A1643322,9261,650
2011-11-10$41.70$38.0044.3%12.7%44.4%62.4%0.0%36.1%-10.8%186.7K-3.3M-26.4K0.83128.91N/AN/A24203,0131,873
2011-11-11$42.68$38.0034.3%9.8%44.5%42.9%27.0%11.6%-1.1%195.6K-4.3M-25.4K10.0064.00N/AN/A2203,0231,880
2011-11-14$41.79$38.0037.1%10.6%43.8%48.5%37.8%12.2%4.2%188.7K-3.4M-25.8K1.8267.32N/AN/A11203,0231,900
2011-11-15$42.08$38.0036.5%10.5%43.6%47.2%30.6%12.7%-6.8%203.5K-3.6M-24.5K1.2063.53N/AN/A563,0231,920
2011-11-16$40.99$39.0038.5%11.1%44.2%51.2%32.4%11.0%-1.0%198.7K-1.9M-23.7K0.0064.98N/AN/A2002,8831,923
2011-11-17$40.32$39.0040.5%11.6%44.6%54.9%35.2%12.2%-6.2%199.6K-1.1M-22.7K0.0460.35N/AN/A288122,8921,923
2011-11-18$40.30$39.0037.6%10.8%43.7%49.3%40.9%10.7%-0.7%146.9K-1.1M-22.4K0.0068.47N/AN/A01332,9241,933
2011-11-21$39.07$39.0039.1%11.2%43.4%52.2%39.7%12.2%-0.9%73.8K819.7K-20.8K4.1343.32N/AN/A381572,3711,663
2011-11-22$39.19$39.0037.6%10.8%42.7%49.3%33.4%10.4%1.2%63.8K934.1K-21.4K1.4740.50N/AN/A60882,4071,796
2011-11-23$38.01$40.0038.6%11.1%43.1%51.2%39.8%8.0%1.2%33.9K1.9M-20.7K104.0043.40N/AN/A11042,4571,884
2011-11-25$37.80$40.0041.0%11.8%34.7%56.0%26.1%5.3%-3.4%25.2K2.1M-21.2K2.63118.63N/AN/A8212,4561,988
2011-11-28$39.35$40.0039.1%11.2%38.8%52.3%34.7%10.3%-1.5%47.1K1.2M-21.7K0.0744.28N/AN/A2822,4621,999
2011-11-29$39.65$40.0036.3%10.4%36.1%46.8%0.0%8.2%1.2%58.7K833.7K-22.3K1.3041.68N/AN/A54702,4752,001
2011-11-30$41.96$40.0030.7%8.8%40.9%36.0%28.3%9.0%1.1%108.5K-1.3M-23.6K0.9136.31N/AN/A23212,5272,071