EPP Options History — October 2012

In October 2012, EPP traded between $44.68 and $46.15. ATM implied volatility averaged 17.0%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 3.5% (HV 20d: 13.5%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.30.

Notable Days

  • 2012-10-15: Highest Volume — 871 contracts
  • 2012-10-23: Largest IV spike — 19.5% change
  • 2012-10-23: Highest IV Rank — 19.6%
  • 2012-10-23: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.25$44.68$46.15$45.00$45.70
Max Pain$43.95$40.00$45.00$40.00$45.00
ATM IV17.0%15.8%19.4%17.7%16.3%
Expected Move4.9%4.6%5.6%5.1%4.7%
HV 20d13.5%11.5%17.7%17.7%12.1%
HV 60d15.0%13.9%16.3%16.3%13.9%
IV Rank13.8%11.0%19.6%15.5%12.2%
IV Percentile9.2%2.4%28.2%11.5%5.6%
Term Structure2.1%1.1%2.9%1.3%1.3%
VWIV17.3%15.9%19.2%15.9%16.2%
Skew 25d4.2%2.0%6.0%4.7%2.0%
Skew 10d9.1%0.8%14.4%6.4%0.8%
Call IV 25d15.7%13.9%17.1%15.2%13.9%
Put IV 25d19.9%15.9%21.5%19.8%15.9%
Bid-Ask Spread %42.6023.16134.5632.32134.56
Gamma HHI0.290.220.610.260.23
Net GEX404.7K153.1K829.8K383.9K192.6K
Net DEX-3.1M-5.6M-1.5M-3.2M-1.9M
Net VEX-11.4K-16.6K-6.5K-7.7K-15.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.001.670.000.00
Total Volume89.7140871616
Total OI2,093.4761,8072,9341,8071,958

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$45.00$40.0017.7%5.1%17.7%15.5%0.0%4.7%1.3%383.9K-3.2M-7.7K0.0032.32N/AN/A601,428379
2012-10-02$44.92$40.0017.4%5.0%16.5%14.9%15.9%3.8%1.2%389.4K-3.1M-7.6K0.9431.33N/AN/A32301,433379
2012-10-03$44.77$40.0016.6%4.8%16.5%12.9%0.0%2.2%1.9%398.0K-3.0M-7.8K0.0023.16N/AN/A001,465409
2012-10-04$45.08$40.0015.9%4.6%15.0%11.2%16.0%3.5%1.9%422.4K-3.3M-7.6K0.1024.15N/AN/A1011,465409
2012-10-05$45.00$0.0015.8%5.1%14.5%11.0%17.5%3.7%2.1%436.1K-3.2M-7.4K0.0042.91N/AN/A1401,460410
2012-10-08$44.88$45.0016.4%5.2%13.9%12.5%16.9%4.5%1.6%440.8K-3.1M-7.1K0.0048.11N/AN/A601,474410
2012-10-09$44.73$45.0017.4%5.2%13.2%14.8%17.9%4.0%2.5%430.9K-2.9M-7.0K0.0047.52N/AN/A7101,480410
2012-10-10$44.68$45.0017.1%5.2%13.1%14.2%18.8%4.8%1.9%448.3K-2.9M-7.1K0.0045.80N/AN/A8401,545410
2012-10-11$44.92$45.0017.9%5.1%11.8%16.1%0.0%3.9%2.2%485.2K-3.2M-7.0K0.3545.67N/AN/A2071,547410
2012-10-12$44.76$45.0017.9%5.1%11.5%16.1%17.0%4.0%1.9%472.8K-2.9M-6.8K0.0044.71N/AN/A2001,557413
2012-10-15$45.16$45.0018.0%5.2%11.7%16.2%0.0%5.5%1.9%536.3K-3.5M-6.5K0.4740.66N/AN/A5912801,577413
2012-10-16$45.54$45.0016.3%4.7%12.0%12.1%0.0%4.7%2.3%649.3K-4.5M-15.6K0.0045.67N/AN/A002,136693
2012-10-17$46.15$45.0016.3%4.7%12.7%12.1%0.0%5.3%2.6%681.2K-5.6M-15.6K0.0040.03N/AN/A102,131693
2012-10-18$45.98$45.0016.1%4.6%12.5%11.7%19.2%3.4%2.9%829.8K-5.2M-15.4K0.0144.84N/AN/A35152,103693
2012-10-19$45.36$44.0017.9%5.1%13.5%16.1%17.5%4.0%1.1%481.5K-4.3M-16.1K1.5528.76N/AN/A1171812,238696
2012-10-22$45.67$45.0016.2%4.6%13.6%12.0%16.2%5.3%2.6%159.5K-1.9M-16.6K0.0039.62N/AN/A2201,319618
2012-10-23$45.03$45.0019.4%5.6%13.5%19.6%0.0%5.1%2.0%153.1K-1.5M-16.4K0.0039.17N/AN/A301,330618
2012-10-24$45.51$45.0017.3%5.0%13.9%14.6%0.0%3.8%2.7%163.6K-1.9M-16.5K0.0029.42N/AN/A001,330618
2012-10-25$45.85$45.0016.9%4.8%12.6%13.6%0.0%4.8%2.6%171.8K-2.1M-16.3K1.6735.63N/AN/A6101,330618
2012-10-26$45.54$45.0016.0%4.6%12.5%11.4%0.0%6.0%2.9%172.7K-1.9M-16.1K0.0030.47N/AN/A001,335623
2012-10-31$45.70$45.0016.3%4.7%12.1%12.2%0.0%2.0%1.3%192.6K-1.9M-15.9K0.00134.56N/AN/A1601,335623