EPP Options History — September 2012

In September 2012, EPP traded between $42.54 and $45.50. ATM implied volatility averaged 17.4%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.6% (HV 20d: 16.8%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.18.

Notable Days

2012-09-21: Highest Volume — 745 contracts
2012-09-07: Largest IV drop — 14.1% change
2012-09-04: Highest IV Rank — 18.4%
2012-09-04: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.42	$42.54	$45.50	$42.68	$44.59
Max Pain	$40.84	$40.00	$43.00	$43.00	$40.00
ATM IV	17.4%	15.3%	20.8%	20.8%	16.6%
Expected Move	5.1%	4.4%	6.0%	6.0%	4.8%
HV 20d	16.8%	12.5%	19.2%	12.8%	18.1%
HV 60d	19.0%	16.0%	21.4%	21.3%	16.4%
IV Rank	14.4%	9.9%	18.4%	18.4%	12.9%
IV Percentile	7.5%	1.6%	29.8%	29.8%	4.0%
Term Structure	2.4%	0.7%	3.7%	0.7%	2.3%
VWIV	16.9%	11.5%	20.4%	11.5%	15.7%
Skew 25d	4.9%	2.2%	9.2%	7.0%	4.2%
Skew 10d	10.7%	4.0%	15.6%	12.5%	7.8%
Call IV 25d	15.7%	13.3%	18.4%	17.6%	15.6%
Put IV 25d	20.6%	17.7%	24.6%	24.6%	19.8%
Bid-Ask Spread %	42.02	29.27	88.20	40.08	34.63
Gamma HHI	0.38	0.23	0.76	0.24	0.25
Net GEX	438.2K	172.4K	1.3M	184.0K	365.8K
Net DEX	-2.7M	-3.9M	-1.1M	-1.3M	-2.8M
Net VEX	-7.3K	-7.7K	-6.7K	-7.3K	-7.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.18	0.00	8.57	0.00	8.57
Total Volume	59.105	0	745	14	67
Total OI	1,674.579	1,551	1,746	1,551	1,743

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-09-04	$42.68	$43.00	20.8%	6.0%	12.8%	18.4%	11.5%	7.0%	0.7%	184.0K	-1.3M	-7.3K	0.00	40.08	N/A	N/A	14	0	1,232	319
2012-09-05	$42.54	$43.00	20.3%	5.8%	12.5%	17.4%	20.1%	5.7%	1.7%	172.4K	-1.1M	-7.0K	0.00	40.02	N/A	N/A	11	0	1,246	319
2012-09-06	$43.47	$43.00	18.7%	5.4%	14.9%	17.9%	17.1%	9.2%	1.9%	256.0K	-1.6M	-7.2K	0.21	39.20	N/A	N/A	19	4	1,255	319
2012-09-07	$44.02	$40.00	16.1%	5.3%	15.6%	11.6%	18.4%	6.3%	3.3%	323.1K	-2.1M	-7.5K	0.32	88.20	N/A	N/A	62	20	1,270	323
2012-09-10	$43.58	$40.00	17.0%	5.5%	15.9%	13.8%	17.8%	3.8%	2.6%	294.6K	-1.8M	-7.5K	0.57	87.40	N/A	N/A	7	4	1,294	343
2012-09-11	$44.19	$40.00	17.8%	5.5%	16.5%	15.8%	0.0%	5.0%	2.1%	359.9K	-2.4M	-7.7K	0.00	42.87	N/A	N/A	1	0	1,301	347
2012-09-12	$44.43	$40.00	18.0%	5.5%	16.6%	16.2%	20.4%	4.8%	2.0%	391.1K	-2.5M	-7.7K	8.00	42.07	N/A	N/A	1	8	1,302	347
2012-09-13	$45.17	$41.00	17.2%	4.9%	17.4%	14.3%	16.4%	5.2%	2.3%	412.4K	-3.4M	-7.4K	0.00	38.80	N/A	N/A	12	0	1,303	347
2012-09-14	$45.50	$41.00	17.5%	5.0%	17.3%	15.1%	16.9%	3.5%	2.6%	411.2K	-3.8M	-7.2K	1.00	39.07	N/A	N/A	4	4	1,313	347
2012-09-17	$45.13	$41.00	17.5%	5.0%	17.6%	15.1%	16.4%	3.4%	2.6%	500.4K	-3.5M	-7.0K	0.00	36.46	N/A	N/A	54	0	1,316	351
2012-09-18	$45.06	$41.00	16.9%	4.8%	17.5%	13.6%	0.0%	4.5%	3.2%	604.0K	-3.4M	-7.1K	0.00	37.78	N/A	N/A	0	11	1,369	351
2012-09-19	$45.36	$41.00	17.4%	5.0%	17.6%	14.8%	0.0%	4.0%	3.2%	539.2K	-3.9M	-6.8K	0.00	36.67	N/A	N/A	15	0	1,369	362
2012-09-20	$45.05	$41.00	16.5%	4.7%	17.9%	12.6%	19.0%	6.4%	3.7%	810.7K	-3.5M	-6.9K	0.00	38.50	N/A	N/A	19	0	1,382	362
2012-09-21	$45.08	$41.00	15.8%	4.5%	17.5%	10.9%	14.7%	3.0%	3.7%	1.3M	-3.7M	-6.7K	0.02	29.57	N/A	N/A	731	14	1,384	362
2012-09-24	$44.89	$40.00	15.3%	4.4%	17.6%	9.9%	15.7%	4.1%	1.9%	365.7K	-3.1M	-7.7K	0.25	33.80	N/A	N/A	20	5	1,400	314
2012-09-25	$44.24	$40.00	17.2%	4.9%	18.2%	14.3%	15.7%	2.2%	1.9%	344.3K	-2.6M	-7.5K	0.00	29.27	N/A	N/A	16	0	1,420	319
2012-09-26	$44.13	$40.00	18.0%	5.2%	18.2%	16.2%	0.0%	4.9%	1.6%	331.3K	-2.4M	-7.4K	0.00	30.09	N/A	N/A	0	0	1,424	319
2012-09-27	$44.95	$40.00	16.4%	4.7%	19.2%	12.3%	0.0%	5.6%	2.1%	377.5K	-3.2M	-7.6K	0.00	33.97	N/A	N/A	0	0	1,424	319
2012-09-28	$44.59	$40.00	16.6%	4.8%	18.1%	12.9%	0.0%	4.2%	2.3%	365.8K	-2.8M	-7.3K	8.57	34.63	N/A	N/A	7	60	1,424	319