EPP Options History — December 2011

In December 2011, EPP traded between $38.55 and $42.41. ATM implied volatility averaged 32.1%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 3.7% (HV 20d: 35.8%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 3.26.

Notable Days

  • 2011-12-15: Highest Volume — 265 contracts
  • 2011-12-27: Largest IV spike — 114.6% change
  • 2011-12-27: Highest IV Rank — 79.4%
  • 2011-12-27: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.09$38.55$42.41$41.56$38.93
Max Pain$41.00$40.00$42.00$40.00$41.00
ATM IV32.1%24.7%53.1%30.8%26.5%
Expected Move9.3%7.1%15.2%8.8%7.6%
HV 20d35.8%23.9%40.7%40.6%23.9%
HV 60d39.8%37.0%41.6%41.2%37.0%
IV Rank38.7%24.4%79.4%36.1%27.8%
IV Percentile69.8%56.0%98.8%68.7%57.1%
Term Structure1.2%-20.2%6.4%0.8%2.4%
VWIV29.7%14.2%44.4%30.8%14.2%
Skew 25d9.3%-10.2%21.3%6.2%5.2%
Skew 10d16.7%4.1%29.5%6.4%10.4%
Call IV 25d27.5%21.8%40.2%28.7%23.4%
Put IV 25d36.8%28.5%45.4%34.9%28.5%
Bid-Ask Spread %67.5027.49138.3839.3833.53
Gamma HHI0.180.160.210.190.16
Net GEX93.4K38.0K145.2K110.4K81.8K
Net DEX398.4K-1.9M1.9M-1.0M1.4M
Net VEX-19.5K-23.5K-15.6K-23.5K-15.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.260.0017.002.2016.00
Total Volume62.1992651017
Total OI4,576.5714,1095,0424,6214,340

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$41.56$40.0030.8%8.8%40.6%36.1%0.0%6.2%0.8%110.4K-1.0M-23.5K0.0039.38N/AN/A0102,5492,072
2011-12-02$41.79$40.0031.6%9.1%40.3%37.7%0.0%4.6%-0.3%117.7K-1.3M-23.1K2.2037.34N/AN/A5112,5492,072
2011-12-05$42.41$42.0033.2%9.5%40.6%40.8%30.8%11.9%1.4%131.5K-1.9M-22.1K0.5271.26N/AN/A64332,5512,068
2011-12-06$41.86$42.0031.7%9.4%40.7%38.0%35.9%12.7%1.1%133.4K-1.4M-22.8K0.4472.52N/AN/A48212,6122,083
2011-12-07$42.13$41.0033.7%9.8%40.5%41.7%36.7%13.3%0.8%138.1K-1.7M-23.0K0.4470.12N/AN/A25112,6562,104
2011-12-08$40.72$41.0036.9%10.3%37.6%47.9%37.6%12.9%0.5%105.0K-278.8K-22.5K0.0471.04N/AN/A7432,6802,115
2011-12-09$41.47$41.0029.9%9.5%37.9%34.5%31.1%9.3%2.0%145.2K-1.2M-22.3K0.0072.73N/AN/A1102,7532,116
2011-12-12$40.25$41.0035.6%9.9%38.2%45.5%44.4%11.6%2.1%97.8K400.1K-20.5K17.0074.57N/AN/A1172,7592,116
2011-12-13$39.83$41.0031.4%9.9%37.8%37.3%0.0%8.0%1.5%75.3K921.5K-19.3K0.0078.55N/AN/A902,7602,116
2011-12-14$39.43$41.0035.0%9.9%37.7%44.3%32.6%9.5%3.5%66.5K1.5M-18.4K0.2176.88N/AN/A2962,7682,116
2011-12-15$39.33$41.0031.6%9.1%36.7%37.7%0.0%10.8%3.9%77.1K1.6M-17.5K0.0078.87N/AN/A26502,7832,119
2011-12-16$39.56$41.0028.4%8.1%36.4%31.5%26.5%8.2%6.4%119.2K1.2M-18.2K0.8782.36N/AN/A23202,9232,119
2011-12-19$38.65$41.0028.7%8.2%37.2%32.0%29.2%7.8%3.2%38.0K1.9M-16.0K4.7727.49N/AN/A351672,4041,705
2011-12-20$39.05$41.0031.7%9.1%35.8%37.8%26.2%16.6%4.0%68.7K1.2M-18.7K0.5451.13N/AN/A65352,3951,832
2011-12-21$38.98$41.0027.8%8.0%35.8%30.3%28.1%7.5%1.7%63.2K1.4M-17.8K0.3028.70N/AN/A53162,4111,865
2011-12-22$39.39$41.0026.8%7.7%34.2%28.5%25.6%6.9%3.1%93.1K951.1K-18.2K0.2229.34N/AN/A1842,4321,859
2011-12-23$39.52$41.0024.7%7.1%34.0%24.4%0.0%-10.2%3.2%92.3K967.8K-16.6K0.0048.01N/AN/A2402,4381,861
2011-12-27$39.41$41.0053.1%15.2%31.0%79.4%20.5%15.7%-20.2%68.9K638.5K-20.5K3.08138.38N/AN/A26802,4501,861
2011-12-28$38.55$41.0038.6%11.1%31.8%51.3%31.6%21.3%-0.4%64.1K1.5M-17.8K3.57117.62N/AN/A7252,4501,901
2011-12-29$39.03$41.0027.2%7.8%24.0%29.1%25.1%5.6%4.0%74.0K1.5M-15.9K15.00117.66N/AN/A3452,4491,896
2011-12-30$38.93$41.0026.5%7.6%23.9%27.8%14.2%5.2%2.4%81.8K1.4M-15.6K16.0033.53N/AN/A1162,4521,888