EPP Options History — March 2012

In March 2012, EPP traded between $42.40 and $44.63. ATM implied volatility averaged 19.8%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 1.1% (HV 20d: 18.7%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.51.

Notable Days

  • 2012-03-21: Highest Volume — 95 contracts
  • 2012-03-06: Largest IV spike — 28.1% change
  • 2012-03-06: Highest IV Rank — 26.0%
  • 2012-03-06: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.54$42.40$44.63$44.63$43.52
Max Pain$42.09$42.00$43.00$43.00$42.00
ATM IV19.8%17.6%25.6%17.6%17.6%
Expected Move5.9%5.0%7.2%5.0%5.1%
HV 20d18.7%13.1%21.5%13.1%21.2%
HV 60d18.7%17.2%20.6%19.6%17.2%
IV Rank14.8%9.9%26.0%10.5%9.9%
IV Percentile21.5%7.5%54.0%7.5%7.9%
Term Structure2.3%1.0%3.7%2.8%1.0%
VWIV21.1%13.3%31.9%19.8%13.3%
Skew 25d6.5%3.6%8.9%5.6%6.2%
Skew 10d13.9%7.0%19.1%10.3%7.0%
Call IV 25d17.4%14.0%20.9%16.1%15.8%
Put IV 25d24.0%20.5%28.1%21.6%22.0%
Bid-Ask Spread %55.8931.1389.0731.2238.63
Gamma HHI0.270.210.350.210.32
Net GEX378.0K275.3K618.9K333.9K415.8K
Net DEX-3.2M-4.5M-2.0M-4.5M-3.1M
Net VEX-12.4K-15.0K-10.2K-14.8K-10.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.004.000.002.00
Total Volume24.409095356
Total OI2,797.52,6372,9152,8212,785

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$44.63$43.0017.6%5.0%13.1%10.5%0.0%5.6%2.8%333.9K-4.5M-14.8K0.0031.22N/AN/A3502,015806
2012-03-02$44.32$43.0019.5%5.6%13.5%14.2%0.0%8.2%1.4%348.9K-4.2M-15.0K0.0032.44N/AN/A002,046806
2012-03-05$43.84$42.0020.0%6.1%13.2%15.1%19.8%8.3%3.2%357.1K-3.7M-14.5K0.0058.33N/AN/A402,046806
2012-03-06$42.40$42.0025.6%7.2%17.6%26.0%0.0%7.2%2.4%275.3K-2.0M-13.6K0.0049.05N/AN/A032,042806
2012-03-07$42.71$42.0021.1%6.7%17.9%17.3%25.1%6.7%2.8%291.7K-2.2M-13.6K4.0050.39N/AN/A5202,042809
2012-03-08$43.42$42.0021.0%6.5%18.8%17.2%0.0%6.8%2.9%357.8K-3.1M-13.8K0.0083.48N/AN/A052,042829
2012-03-09$43.31$42.0019.8%6.7%18.8%14.9%20.9%6.8%1.8%347.5K-2.9M-13.8K0.5686.67N/AN/A18102,042834
2012-03-12$42.98$42.0020.4%6.4%17.2%16.0%31.9%6.7%3.1%334.6K-2.5M-13.0K0.0084.25N/AN/A202,056837
2012-03-13$44.00$42.0018.3%6.0%18.3%11.9%21.0%8.1%3.6%448.3K-3.7M-12.9K0.0087.29N/AN/A802,054837
2012-03-14$43.47$42.0018.9%6.6%18.7%13.0%20.9%6.7%3.0%398.0K-3.0M-12.8K0.7184.56N/AN/A752,059837
2012-03-15$43.94$42.0020.8%6.0%19.1%16.7%18.8%7.9%3.2%524.9K-3.7M-12.7K0.0086.97N/AN/A3702,066842
2012-03-16$44.17$42.0019.6%5.6%19.0%14.5%18.7%5.3%3.7%618.9K-4.2M-12.0K0.1089.07N/AN/A4952,073842
2012-03-19$44.21$42.0018.8%5.4%19.0%12.9%0.0%6.3%1.3%336.7K-3.7M-11.5K0.0043.94N/AN/A001,842795
2012-03-20$43.31$42.0020.2%5.8%20.1%15.5%18.0%6.1%1.4%334.3K-2.7M-11.5K0.0037.69N/AN/A1001,842795
2012-03-21$43.14$42.0019.6%5.6%20.1%14.5%20.6%6.2%1.4%332.4K-2.6M-11.4K0.0760.20N/AN/A8961,852795
2012-03-22$42.80$42.0020.5%5.9%20.1%16.3%23.8%8.9%1.4%332.9K-2.2M-11.3K0.2234.67N/AN/A55121,899798
2012-03-23$43.25$42.0020.0%5.7%20.5%15.2%21.7%5.7%1.8%368.3K-2.8M-11.5K0.0031.13N/AN/A031,941806
2012-03-26$43.94$42.0018.3%5.2%21.4%11.9%21.0%6.3%2.0%400.5K-3.7M-10.9K0.0035.06N/AN/A6701,941806
2012-03-27$43.63$42.0018.6%5.3%21.5%12.4%17.9%3.6%2.8%384.0K-3.3M-11.0K0.0045.17N/AN/A401,916806
2012-03-28$43.51$42.0018.9%5.4%21.5%13.0%0.0%4.6%1.7%385.1K-3.1M-10.7K0.0038.98N/AN/A001,920806
2012-03-29$43.35$42.0020.8%6.0%21.2%16.8%24.0%5.7%2.0%388.9K-2.9M-10.5K2.0040.44N/AN/A24481,920806
2012-03-30$43.52$42.0017.6%5.1%21.2%9.9%13.3%6.2%1.0%415.8K-3.1M-10.2K0.0038.63N/AN/A061,939846