EPP Options History — July 2012

In July 2012, EPP traded between $40.25 and $42.88. ATM implied volatility averaged 22.6%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 3.4% (HV 20d: 26.0%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2012-07-31: Highest Volume — 266 contracts
  • 2012-07-12: Largest IV spike — 21.0% change
  • 2012-07-12: Highest IV Rank — 17.6%
  • 2012-07-12: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.39$40.25$42.88$40.99$42.82
Max Pain$41.14$41.00$42.00$42.00$41.00
ATM IV22.6%20.3%25.4%21.1%22.6%
Expected Move6.6%5.8%7.3%6.0%6.5%
HV 20d26.0%18.3%30.8%30.8%18.3%
HV 60d24.4%23.8%25.2%24.6%24.9%
IV Rank12.4%6.7%17.6%12.4%11.6%
IV Percentile33.7%15.5%49.2%26.6%32.9%
Term Structure1.4%-0.2%3.1%1.8%-0.2%
VWIV20.4%11.2%25.2%19.1%11.2%
Skew 25d6.3%3.0%8.9%6.6%3.0%
Skew 10d10.7%0.0%19.7%3.6%0.0%
Call IV 25d19.7%14.7%22.2%17.6%20.9%
Put IV 25d26.0%22.2%29.3%24.2%24.0%
Bid-Ask Spread %60.9426.3989.8231.7137.50
Gamma HHI0.170.120.220.120.18
Net GEX64.9K20.5K117.1K33.3K117.1K
Net DEX-479.2K-1.5M168.0K71.9K-1.5M
Net VEX-6.2K-8.0K-5.3K-5.3K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.003.000.330.00
Total Volume58.85702660266
Total OI1,703.5241,0862,1641,7741,293

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$40.99$42.0021.1%6.0%30.8%12.4%0.0%6.6%1.8%33.3K71.9K-5.3K0.0031.71N/AN/A001,045729
2012-07-03$41.39$42.0021.5%6.2%30.7%12.5%19.1%8.9%2.2%42.4K-93.1K-5.3K0.3326.39N/AN/A30101,045729
2012-07-05$41.36$42.0021.4%6.1%29.1%12.2%16.4%4.9%1.3%49.5K-157.6K-5.3K0.0930.67N/AN/A8781,075719
2012-07-06$40.99$41.0021.4%6.8%29.4%12.2%23.4%6.8%0.7%47.4K-51.2K-5.5K1.2373.79N/AN/A30371,147723
2012-07-09$40.78$41.0021.8%6.8%29.4%13.0%0.0%7.4%1.2%44.8K47.8K-5.5K0.0073.69N/AN/A8401,168744
2012-07-10$40.36$41.0024.6%7.1%29.4%15.9%21.8%6.0%0.9%39.2K156.5K-5.8K0.0079.31N/AN/A3501,232744
2012-07-11$40.85$41.0021.0%6.9%28.9%8.1%0.0%7.0%0.9%54.5K-84.3K-6.0K0.0083.05N/AN/A001,267744
2012-07-12$40.25$41.0025.4%7.3%29.2%17.6%23.3%7.0%1.0%47.2K168.0K-5.7K0.0078.74N/AN/A5101,267744
2012-07-13$40.87$41.0023.5%6.8%29.6%13.7%20.5%7.0%1.7%68.7K-117.5K-5.9K0.5082.01N/AN/A841,297744
2012-07-16$40.88$41.0023.6%6.8%29.3%13.8%22.1%6.8%1.2%81.6K-144.1K-5.8K0.0080.44N/AN/A1301,304743
2012-07-17$41.47$41.0023.3%6.7%29.4%13.1%22.1%8.7%2.1%67.9K-469.5K-5.7K0.0087.58N/AN/A3201,303743
2012-07-18$41.71$41.0021.3%6.1%29.1%8.8%0.0%7.6%1.8%67.5K-656.6K-5.7K0.7685.42N/AN/A66501,327743
2012-07-19$42.22$41.0021.2%6.1%29.3%8.6%0.0%4.5%2.3%20.5K-1.0M-6.4K0.0089.82N/AN/A2801,365775
2012-07-20$41.73$41.0020.6%5.9%20.7%7.2%19.2%7.1%3.1%69.4K-760.0K-6.3K0.4287.00N/AN/A107451,389775
2012-07-23$40.94$41.0024.6%7.1%22.0%16.0%25.2%6.8%0.3%68.3K-548.1K-6.5K3.0041.96N/AN/A721718368
2012-07-24$40.85$41.0024.8%7.1%20.7%16.3%0.0%7.0%1.5%64.2K-511.9K-6.4K0.0045.51N/AN/A270725374
2012-07-25$41.17$41.0025.2%7.2%20.5%17.2%0.0%6.2%0.5%72.8K-662.9K-6.7K0.0045.65N/AN/A230748374
2012-07-26$41.90$41.0024.3%7.0%20.9%15.4%0.0%3.5%0.6%87.1K-963.6K-7.1K0.6339.27N/AN/A1610771374
2012-07-27$42.78$41.0020.3%5.8%21.5%6.7%0.0%4.5%2.5%104.8K-1.3M-7.1K0.1739.43N/AN/A6411778384
2012-07-30$42.88$41.0021.3%6.1%18.3%8.9%11.2%5.1%1.5%114.3K-1.4M-7.6K0.1840.92N/AN/A5610842395
2012-07-31$42.82$41.0022.6%6.5%18.3%11.6%0.0%3.0%-0.2%117.1K-1.5M-8.0K0.0037.50N/AN/A2660898395