EPP Options History — August 2012

In August 2012, EPP traded between $42.52 and $44.14. ATM implied volatility averaged 17.7%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.7% (HV 20d: 15.1%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.37.

Notable Days

  • 2012-08-13: Highest Volume — 150 contracts
  • 2012-08-16: Largest IV spike — 44.0% change
  • 2012-08-31: Highest IV Rank — 19.2%
  • 2012-08-01: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.55$42.52$44.14$42.74$43.38
Max Pain$42.74$41.00$43.00$41.00$43.00
ATM IV17.7%11.2%22.9%22.9%21.3%
Expected Move5.5%4.9%6.6%6.6%6.1%
HV 20d15.1%10.7%19.2%18.1%11.4%
HV 60d23.2%20.9%25.0%24.9%21.0%
IV Rank8.7%0.0%19.2%12.2%19.2%
IV Percentile9.0%0.0%35.3%34.9%35.3%
Term Structure1.4%-0.2%2.3%-0.2%0.0%
VWIV17.9%12.9%21.5%21.5%18.0%
Skew 25d4.7%2.4%7.9%5.8%6.0%
Skew 10d9.6%4.1%16.7%4.5%5.1%
Call IV 25d16.6%11.8%20.8%19.4%16.7%
Put IV 25d21.2%18.7%25.4%25.1%22.7%
Bid-Ask Spread %56.6829.0386.6851.2941.69
Gamma HHI0.280.210.320.220.28
Net GEX217.6K165.3K256.6K165.3K222.8K
Net DEX-2.1M-2.9M-1.4M-1.8M-1.7M
Net VEX-8.6K-9.4K-7.6K-9.4K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.0021.000.000.00
Total Volume32.261015076
Total OI1,586.3041,4121,8651,5541,545

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$42.74$41.0022.9%6.6%18.1%12.2%0.0%5.8%-0.2%165.3K-1.8M-9.4K0.0051.29N/AN/A701,159395
2012-08-02$42.52$41.0021.9%6.3%18.2%10.1%0.0%4.6%0.6%166.8K-1.6M-9.1K0.0032.27N/AN/A021,161395
2012-08-03$43.48$41.0020.0%5.7%19.2%6.1%0.0%7.5%1.3%192.0K-2.2M-9.1K0.0040.68N/AN/A3901,161397
2012-08-06$43.42$43.0020.7%6.0%19.1%7.5%0.0%5.6%0.7%199.7K-2.3M-9.2K0.0078.60N/AN/A001,197397
2012-08-07$43.69$43.0018.1%5.6%18.4%1.9%21.5%4.3%0.6%210.7K-2.4M-8.9K0.4181.84N/AN/A49201,197397
2012-08-08$43.81$43.0017.4%5.6%18.2%0.5%18.7%5.1%1.3%203.6K-2.4M-8.9K0.1376.96N/AN/A3041,176417
2012-08-09$43.89$43.0016.4%5.5%16.9%0.0%0.0%4.9%1.2%218.8K-2.4M-8.9K0.0081.28N/AN/A0101,201421
2012-08-10$43.71$43.0014.4%5.2%16.6%0.0%0.0%4.7%2.3%223.2K-2.3M-8.8K0.0084.84N/AN/A001,201427
2012-08-13$43.47$43.0014.6%5.7%16.8%0.3%0.0%5.3%0.9%220.5K-2.2M-8.3K0.9284.41N/AN/A78721,201427
2012-08-14$43.48$43.0011.2%5.6%16.3%0.0%17.8%3.1%1.8%201.0K-2.3M-8.4K0.0083.79N/AN/A6401,257499
2012-08-15$43.37$43.0012.7%5.6%16.4%2.9%18.8%3.4%2.1%256.6K-2.4M-8.4K0.0083.59N/AN/A6201,307499
2012-08-16$43.83$43.0018.3%5.2%16.2%13.5%0.0%4.1%1.9%219.1K-2.9M-8.5K21.0085.61N/AN/A2421,327494
2012-08-17$43.73$43.0017.8%5.1%15.5%12.6%18.1%5.2%1.1%238.4K-2.6M-8.3K0.0086.68N/AN/A9001,329536
2012-08-20$43.95$43.0017.7%5.1%13.3%12.5%17.8%4.4%2.1%217.4K-2.0M-8.3K0.0036.57N/AN/A3201,115297
2012-08-21$44.14$43.0017.5%5.0%13.1%12.0%12.9%2.4%2.0%229.3K-2.2M-8.5K0.0629.99N/AN/A3621,137297
2012-08-22$44.14$43.0018.0%5.2%13.1%13.0%18.8%7.9%1.1%242.9K-2.2M-8.6K0.3633.61N/AN/A1451,168297
2012-08-23$43.74$43.0017.3%5.0%12.7%11.7%17.5%3.6%1.8%226.5K-2.0M-8.6K1.0038.22N/AN/A551,182302
2012-08-24$43.80$43.0017.6%5.0%10.7%12.1%17.7%4.7%1.3%234.0K-2.0M-8.5K0.0034.07N/AN/A1601,187302
2012-08-27$43.46$43.0018.8%5.4%11.1%14.4%16.6%3.9%1.4%234.6K-1.8M-8.1K0.0035.72N/AN/A1701,203302
2012-08-28$43.63$43.0017.0%4.9%11.1%11.1%0.0%2.8%2.3%243.3K-1.9M-8.2K0.0034.82N/AN/A701,219302
2012-08-29$43.56$43.0017.4%5.0%11.1%11.9%18.8%4.1%1.8%243.5K-1.9M-8.3K0.0038.14N/AN/A101,225302
2012-08-30$42.76$43.0018.8%5.4%13.0%14.5%18.0%3.8%1.8%195.4K-1.4M-7.6K2.1329.03N/AN/A8171,226302
2012-08-31$43.38$43.0021.3%6.1%11.4%19.2%0.0%6.0%0.0%222.8K-1.7M-8.0K0.0041.69N/AN/A601,226319