EPP Options History — January 2012

In January 2012, EPP traded between $39.55 and $43.30. ATM implied volatility averaged 23.1%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.4% (HV 20d: 21.7%). Max pain ranged from $37.00 to $41.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.43.

Notable Days

  • 2012-01-10: Highest Volume — 216 contracts
  • 2012-01-12: Largest IV spike — 20.6% change
  • 2012-01-13: Highest IV Rank — 30.4%
  • 2012-01-13: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.38$39.55$43.30$40.20$42.88
Max Pain$39.70$37.00$41.00$41.00$40.00
ATM IV23.1%20.3%27.8%25.5%21.2%
Expected Move6.8%5.8%8.0%7.3%6.1%
HV 20d21.7%18.1%26.9%26.9%18.7%
HV 60d34.0%29.3%36.8%36.8%29.3%
IV Rank21.1%15.9%30.4%25.9%17.5%
IV Percentile43.8%29.0%61.1%56.0%33.7%
Term Structure2.8%0.8%15.8%1.3%2.3%
VWIV23.7%17.0%30.7%30.7%21.7%
Skew 25d7.3%4.5%12.7%5.6%5.9%
Skew 10d14.1%5.0%21.8%18.0%12.4%
Call IV 25d19.9%14.9%24.2%22.6%18.7%
Put IV 25d27.2%22.2%30.8%28.2%24.6%
Bid-Ask Spread %58.6424.6487.1431.4635.00
Gamma HHI0.220.170.300.210.21
Net GEX179.7K117.7K239.8K148.2K190.8K
Net DEX-1.1M-2.9M1.0M318.4K-2.7M
Net VEX-15.9K-16.9K-14.5K-16.8K-16.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.001.550.000.00
Total Volume52.6512162664
Total OI3,830.22,3504,7774,3552,603

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$40.20$41.0025.5%7.3%26.9%25.9%0.0%5.6%1.3%148.2K318.4K-16.8K0.0031.46N/AN/A2602,4511,904
2012-01-04$40.44$41.0025.2%7.2%26.3%25.2%0.0%7.0%2.8%154.9K118.1K-16.9K0.0026.92N/AN/A502,4771,904
2012-01-05$40.05$41.0024.9%7.2%26.2%24.8%0.0%8.7%2.9%132.2K525.3K-16.0K0.0024.64N/AN/A102,4821,904
2012-01-06$39.55$37.0022.9%7.7%26.2%20.8%30.7%6.6%1.0%117.7K990.8K-15.2K1.0074.66N/AN/A222,4811,904
2012-01-09$39.57$37.0023.3%7.5%23.5%21.5%0.0%7.3%1.4%118.8K1.0M-14.5K0.5076.27N/AN/A632,4791,904
2012-01-10$40.38$37.0022.7%7.3%23.8%20.3%25.6%6.6%1.6%187.5K119.2K-14.8K0.0587.14N/AN/A205112,4821,907
2012-01-11$40.52$40.0021.2%7.2%21.3%17.5%24.8%6.3%2.2%197.2K-188.1K-16.1K0.0083.06N/AN/A3702,6351,917
2012-01-12$40.75$40.0025.5%7.3%21.0%25.9%24.6%7.2%2.2%217.5K-476.1K-16.0K1.0082.08N/AN/A70702,6721,917
2012-01-13$40.44$40.0027.8%8.0%20.8%30.4%30.5%7.2%2.2%210.0K-105.9K-16.5K1.0874.89N/AN/A12132,7421,977
2012-01-17$40.93$40.0026.1%7.5%21.1%27.0%0.0%5.9%2.2%221.3K-897.4K-16.2K1.1783.71N/AN/A12142,7511,988
2012-01-18$41.64$40.0023.9%6.8%21.7%22.7%27.8%7.7%3.7%192.5K-1.7M-15.8K0.5681.73N/AN/A32182,7551,989
2012-01-19$41.81$40.0023.6%6.8%19.5%22.1%24.4%7.6%0.8%239.8K-2.0M-15.9K0.0083.72N/AN/A3302,7841,993
2012-01-20$42.08$40.0022.1%6.3%19.4%19.2%23.4%11.0%2.3%236.4K-2.3M-15.5K1.4385.24N/AN/A21302,7841,993
2012-01-23$42.26$40.0020.8%6.0%19.3%16.7%17.0%4.5%2.5%161.9K-2.0M-15.3K1.5536.67N/AN/A33511,520830
2012-01-24$42.01$40.0020.5%5.9%19.4%16.2%20.8%8.3%2.0%155.6K-1.8M-15.8K0.1536.76N/AN/A4161,548881
2012-01-25$42.98$40.0020.3%5.8%20.6%15.9%20.0%12.7%15.8%177.8K-2.6M-15.9K0.0050.86N/AN/A4601,589887
2012-01-26$42.90$40.0021.1%6.0%20.6%17.3%17.3%6.6%1.6%178.1K-2.7M-16.3K0.1840.25N/AN/A1121,634887
2012-01-27$43.30$40.0021.1%6.1%18.1%17.3%0.0%5.7%2.2%176.6K-2.9M-16.2K0.0039.29N/AN/A1001,633889
2012-01-30$42.83$40.0021.6%6.2%18.9%18.3%0.0%7.9%3.0%178.8K-2.6M-15.9K0.0038.40N/AN/A16601,638889
2012-01-31$42.88$40.0021.2%6.1%18.7%17.5%21.7%5.9%2.3%190.8K-2.7M-16.3K0.0035.00N/AN/A6401,714889