EPP Options History — June 2012

In June 2012, EPP traded between $38.08 and $41.39. ATM implied volatility averaged 23.9%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 3.1% (HV 20d: 26.9%). Max pain ranged from $39.00 to $43.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 3.99.

Notable Days

  • 2012-06-01: Highest Volume — 179 contracts
  • 2012-06-21: Largest IV spike — 35.7% change
  • 2012-06-04: Highest IV Rank — 31.4%
  • 2012-06-04: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.68$38.08$41.39$38.08$40.75
Max Pain$40.62$39.00$43.00$41.00$42.00
ATM IV23.9%17.9%30.3%29.5%20.9%
Expected Move7.3%5.1%9.2%8.5%6.0%
HV 20d26.9%22.5%32.2%22.5%30.8%
HV 60d21.2%19.4%24.6%19.7%24.6%
IV Rank18.1%6.0%31.4%29.7%12.0%
IV Percentile40.6%5.2%63.5%62.3%25.0%
Term Structure0.8%-3.5%2.7%1.0%1.5%
VWIV22.9%17.8%28.9%17.8%20.6%
Skew 25d8.8%4.4%12.8%7.6%5.1%
Skew 10d19.4%9.8%29.9%15.5%10.7%
Call IV 25d22.0%17.6%27.8%26.2%19.4%
Put IV 25d30.9%22.0%39.6%33.7%24.4%
Bid-Ask Spread %58.1029.8781.2335.5564.00
Gamma HHI0.190.090.520.140.11
Net GEX70.2K-22.9K240.3K30.6K23.1K
Net DEX600.9K-317.3K1.3M1.3M197.9K
Net VEX-5.1K-6.1K-4.1K-4.4K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.990.0031.000.080.49
Total Volume48.381017917961
Total OI2,068.6671,6082,5302,1411,741

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$38.08$41.0029.5%8.5%22.5%29.7%0.0%7.6%1.0%30.6K1.3M-4.4K0.0835.55N/AN/A166131,450691
2012-06-04$38.33$39.0030.3%9.2%22.6%31.4%17.8%11.8%-1.0%55.9K973.0K-5.5K31.0072.51N/AN/A1311,616704
2012-06-05$38.78$39.0024.6%8.2%23.4%19.7%0.0%12.8%0.8%58.6K1.0M-5.2K0.0073.98N/AN/A001,617725
2012-06-06$39.93$39.0023.4%8.1%26.0%17.2%28.4%12.4%-0.7%107.0K494.4K-6.0K0.0077.62N/AN/A2601,617725
2012-06-07$39.95$39.0020.9%7.4%25.9%12.1%20.3%9.6%0.2%121.5K381.0K-6.1K2.1877.66N/AN/A11241,629725
2012-06-08$39.70$39.0020.3%7.3%25.6%10.9%20.8%11.6%1.4%100.4K724.1K-5.6K0.1974.95N/AN/A113221,629743
2012-06-11$39.29$39.0025.4%7.8%25.6%21.4%18.0%7.9%0.3%126.3K810.2K-5.3K23.0081.23N/AN/A1231,728759
2012-06-12$40.04$40.0020.8%7.7%26.5%11.8%0.0%10.8%1.1%191.7K577.8K-5.5K0.4878.79N/AN/A21101,728781
2012-06-13$39.64$40.0021.3%7.7%26.6%12.8%0.0%9.9%0.1%162.8K851.4K-5.4K0.0079.55N/AN/A0131,739791
2012-06-14$39.79$40.0026.6%7.6%25.7%23.7%0.0%11.8%0.8%204.2K810.9K-5.0K0.0080.35N/AN/A001,739788
2012-06-15$40.35$40.0025.4%7.3%25.3%21.3%24.8%11.2%1.2%240.3K315.7K-5.0K0.3681.19N/AN/A55201,739788
2012-06-18$40.79$40.0021.7%6.2%25.1%13.7%22.6%9.6%2.0%42.4K-87.9K-4.7K2.0839.13N/AN/A481001,119560
2012-06-19$41.39$40.0023.7%6.8%24.3%17.7%0.0%9.3%-3.5%51.2K-317.3K-5.5K1.0351.34N/AN/A30311,134660
2012-06-20$41.28$40.0017.9%5.1%24.1%6.0%0.0%4.4%2.7%46.8K-304.1K-4.5K0.0040.53N/AN/A101,154691
2012-06-21$39.01$43.0024.3%7.0%31.6%19.1%26.7%7.0%1.5%-14.5K975.1K-4.3K1.6734.84N/AN/A915929691
2012-06-22$39.38$43.0024.2%6.9%31.7%18.8%18.5%6.4%1.7%-14.0K807.0K-4.4K0.0029.87N/AN/A01938670
2012-06-25$38.65$43.0025.4%7.3%32.2%21.4%26.8%6.7%0.8%-21.9K948.8K-4.1K0.0034.65N/AN/A040938670
2012-06-26$39.13$43.0025.1%7.2%30.7%20.6%24.3%6.2%1.7%-22.9K798.1K-4.4K0.4738.16N/AN/A7535938688
2012-06-27$39.63$42.0023.3%6.7%29.6%17.0%22.1%5.9%2.1%-4.1K623.7K-5.1K0.5036.22N/AN/A1051,011723
2012-06-28$39.37$42.0026.2%7.5%29.7%22.9%28.9%8.1%0.2%-10.6K728.1K-5.0K0.2538.00N/AN/A411,013723
2012-06-29$40.75$42.0020.9%6.0%30.8%12.0%20.6%5.1%1.5%23.1K197.9K-5.4K0.4964.00N/AN/A41201,017724