EPP Options History — February 2012

In February 2012, EPP traded between $43.00 and $44.37. ATM implied volatility averaged 21.5%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 6.1% (HV 20d: 15.4%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.18.

Notable Days

  • 2012-02-07: Highest Volume — 165 contracts
  • 2012-02-16: Largest IV drop — 13.2% change
  • 2012-02-15: Highest IV Rank — 27.0%
  • 2012-02-15: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.79$43.00$44.37$43.40$44.28
Max Pain$42.90$40.00$44.00$40.00$43.00
ATM IV21.5%18.6%26.1%19.7%20.0%
Expected Move6.3%5.5%7.5%5.7%5.7%
HV 20d15.4%13.4%17.1%16.0%13.5%
HV 60d25.6%19.6%29.3%29.2%19.6%
IV Rank18.1%12.4%27.0%14.7%15.1%
IV Percentile32.1%14.7%56.0%23.0%21.8%
Term Structure1.7%0.5%2.9%2.9%2.5%
VWIV20.6%13.4%23.9%13.4%22.2%
Skew 25d5.8%2.9%7.9%2.9%6.4%
Skew 10d12.1%1.0%18.6%1.0%13.3%
Call IV 25d18.9%13.8%22.4%18.3%17.4%
Put IV 25d24.7%20.7%29.4%21.3%23.8%
Bid-Ask Spread %43.3722.5759.4735.5630.25
Gamma HHI0.220.200.250.220.21
Net GEX266.3K198.9K330.0K198.9K322.6K
Net DEX-3.9M-4.3M-3.2M-3.2M-4.1M
Net VEX-15.8K-16.8K-15.0K-16.0K-15.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.001.500.060.32
Total Volume42.301651791
Total OI2,790.352,6112,9582,6112,771

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$43.40$40.0019.7%5.7%16.0%14.7%13.4%2.9%2.9%198.9K-3.2M-16.0K0.0635.56N/AN/A1611,722889
2012-02-02$43.41$40.0019.6%5.6%16.1%14.5%0.0%4.2%2.6%206.4K-3.2M-16.0K0.0024.28N/AN/A601,729888
2012-02-03$44.01$44.0018.6%6.1%15.6%12.4%18.9%5.4%0.6%205.4K-3.8M-15.4K0.2358.91N/AN/A44101,729888
2012-02-06$43.70$44.0019.6%5.9%14.9%14.4%0.0%5.4%2.0%215.4K-3.5M-15.6K0.0058.65N/AN/A5201,766896
2012-02-07$43.74$44.0019.8%6.3%14.9%14.9%22.0%6.2%0.5%215.6K-3.7M-15.9K0.0057.18N/AN/A16501,801896
2012-02-08$44.00$44.0021.9%6.6%13.8%18.9%23.9%5.3%1.0%240.6K-4.3M-16.5K0.2359.47N/AN/A44101,945896
2012-02-09$43.99$43.0023.5%6.7%13.9%22.0%0.0%5.2%0.8%245.4K-4.3M-16.6K0.0054.53N/AN/A001,967906
2012-02-10$43.00$43.0026.0%7.4%16.8%26.8%23.7%7.0%0.7%250.0K-3.3M-16.8K0.0856.35N/AN/A3831,967906
2012-02-13$43.66$43.0023.6%6.8%16.9%22.2%20.7%7.4%1.3%260.9K-4.0M-16.3K0.0056.74N/AN/A5801,989909
2012-02-14$43.34$43.0026.1%7.5%17.1%27.0%0.0%6.8%0.6%276.4K-3.7M-16.5K0.0053.54N/AN/A102,047909
2012-02-15$43.41$43.0026.1%7.5%16.2%27.0%0.0%7.9%0.8%272.7K-3.9M-16.5K1.5056.41N/AN/A692,047909
2012-02-16$43.65$43.0022.7%6.5%16.2%20.4%0.0%7.2%2.3%278.0K-4.1M-16.1K0.0050.52N/AN/A042,052906
2012-02-17$43.48$43.0023.3%6.7%16.3%21.6%20.7%6.3%1.6%285.3K-4.0M-15.7K0.0049.11N/AN/A8102,052905
2012-02-21$43.90$43.0020.9%6.0%16.5%17.0%20.2%6.0%2.4%264.7K-3.6M-15.1K0.4729.87N/AN/A49231,875757
2012-02-22$43.86$43.0020.0%5.7%16.3%15.1%21.1%5.8%2.1%285.2K-3.6M-15.3K0.0429.93N/AN/A11041,924780
2012-02-23$44.14$43.0019.8%5.7%14.5%14.7%19.4%5.1%2.5%314.0K-4.0M-15.8K0.0027.62N/AN/A1802,003784
2012-02-24$44.22$43.0019.2%5.5%14.4%13.7%0.0%4.0%1.7%330.0K-4.2M-15.4K0.0022.57N/AN/A002,015784
2012-02-27$44.23$43.0019.8%5.7%14.1%14.8%0.0%7.9%2.0%329.7K-4.2M-15.1K0.0028.36N/AN/A002,015784
2012-02-28$44.37$43.0020.1%5.8%13.4%15.4%0.0%4.0%2.3%329.7K-4.2M-15.2K0.0027.59N/AN/A302,015784
2012-02-29$44.28$43.0020.0%5.7%13.5%15.1%22.2%6.4%2.5%322.6K-4.1M-15.0K0.3230.25N/AN/A69221,987784