EPP Options History — May 2012

In May 2012, EPP traded between $38.52 and $44.31. ATM implied volatility averaged 23.5%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 6.4% (HV 20d: 17.1%). Max pain ranged from $41.00 to $44.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 2.36.

Notable Days

  • 2012-05-21: Highest Volume — 384 contracts
  • 2012-05-21: Largest IV drop — 14.6% change
  • 2012-05-17: Highest IV Rank — 31.1%
  • 2012-05-17: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.95$38.52$44.31$44.31$38.91
Max Pain$42.59$41.00$44.00$42.00$41.00
ATM IV23.5%17.2%28.8%17.2%25.3%
Expected Move6.7%4.9%8.2%4.9%7.3%
HV 20d17.1%14.2%21.9%17.1%21.9%
HV 60d18.0%17.0%20.4%17.2%19.4%
IV Rank20.4%8.3%31.1%8.3%21.1%
IV Percentile41.6%2.4%62.3%2.4%51.2%
Term Structure0.7%-0.8%3.0%1.7%3.0%
VWIV20.2%15.2%24.3%15.2%23.2%
Skew 25d7.7%4.3%12.3%6.3%10.4%
Skew 10d14.9%3.3%23.2%9.7%15.2%
Call IV 25d19.5%13.0%24.3%13.0%20.3%
Put IV 25d27.2%19.3%32.7%19.3%30.7%
Bid-Ask Spread %59.8629.7496.4332.8639.88
Gamma HHI0.220.130.350.280.16
Net GEX94.0K21.5K236.4K236.4K51.3K
Net DEX46.9K-2.0M1.2M-2.0M1.1M
Net VEX-5.7K-8.7K-3.7K-8.7K-5.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.360.0011.000.000.00
Total Volume72.8180384310
Total OI1,8431,5902,1411,6202,141

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$44.31$42.0017.2%4.9%17.1%8.3%15.2%6.3%1.7%236.4K-2.0M-8.7K0.0032.86N/AN/A3101,259361
2012-05-02$44.30$42.0017.8%5.1%16.3%9.5%0.0%7.8%0.7%232.0K-1.9M-8.6K0.0037.69N/AN/A0201,273361
2012-05-03$43.90$42.0017.6%5.1%16.2%9.2%17.4%4.3%1.5%223.2K-1.7M-8.4K9.1431.70N/AN/A7641,273371
2012-05-04$43.10$44.0020.0%6.0%17.5%13.8%0.0%6.9%0.9%186.0K-1.1M-7.6K0.0081.81N/AN/A0201,269333
2012-05-07$42.93$44.0020.4%6.0%17.2%14.6%0.0%7.3%1.0%176.4K-993.6K-7.2K0.0081.71N/AN/A12701,269333
2012-05-08$42.27$44.0022.2%6.6%17.3%18.2%24.3%8.8%0.6%151.3K-584.6K-6.5K1.0079.91N/AN/A11111,364333
2012-05-09$41.87$44.0023.8%6.5%17.4%21.3%18.6%7.5%-0.3%119.9K-358.2K-5.8K11.0078.88N/AN/A6661,375344
2012-05-10$42.23$44.0022.3%6.4%14.8%18.4%0.0%7.0%-0.0%128.3K-388.1K-6.4K0.0081.13N/AN/A0201,373408
2012-05-11$41.81$44.0022.8%6.5%14.6%19.3%0.0%5.6%0.7%69.1K-116.4K-6.0K0.0084.53N/AN/A001,373428
2012-05-14$41.30$44.0025.1%7.2%15.0%23.9%0.0%6.7%-0.8%47.1K145.3K-5.2K0.0082.43N/AN/A0101,373428
2012-05-15$40.97$44.0024.5%7.0%14.2%22.7%0.0%5.5%0.3%33.3K297.4K-4.6K1.8284.47N/AN/A11201,373418
2012-05-16$40.14$44.0026.7%7.6%15.5%27.0%20.4%8.5%-0.5%28.6K489.9K-3.8K0.2484.33N/AN/A217531,379398
2012-05-17$39.43$43.0028.8%8.2%16.1%31.1%0.0%8.4%-0.8%28.1K627.1K-3.8K4.4082.27N/AN/A5221,481432
2012-05-18$38.96$43.0028.5%8.2%15.9%30.6%21.3%5.5%0.6%21.5K777.3K-3.7K1.5296.43N/AN/A981491,481448
2012-05-21$39.88$42.0024.3%7.0%18.5%22.3%22.2%12.3%0.9%21.7K791.5K-4.1K0.1138.35N/AN/A347371,061529
2012-05-22$39.60$41.0023.0%6.6%18.0%19.8%20.0%8.4%1.0%61.0K660.9K-5.0K1.5939.49N/AN/A44701,365565
2012-05-23$39.14$41.0026.2%7.5%16.9%26.0%19.2%10.6%1.0%53.2K1.0M-4.9K3.2729.74N/AN/A26851,409635
2012-05-24$38.98$41.0026.2%7.5%16.5%26.0%23.2%7.9%-0.0%47.9K1.0M-5.4K1.2531.15N/AN/A8101,435681
2012-05-25$38.52$41.0024.2%6.9%16.3%22.0%0.0%7.2%2.1%38.0K1.2M-5.0K0.0035.39N/AN/A501,443691
2012-05-29$39.67$41.0023.3%6.7%20.8%20.2%0.0%7.0%1.3%73.5K784.2K-5.9K0.0047.11N/AN/A201,448691
2012-05-30$38.69$41.0026.6%7.6%21.5%23.8%0.0%10.1%0.3%40.0K1.2M-4.6K0.0035.64N/AN/A001,450691
2012-05-31$38.91$41.0025.3%7.3%21.9%21.1%0.0%10.4%3.0%51.3K1.1M-5.0K0.0039.88N/AN/A001,450691