EPP Options History — November 2012

In November 2012, EPP traded between $44.28 and $46.50. ATM implied volatility averaged 17.6%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.5% (HV 20d: 15.1%). Max pain ranged from $44.00 to $47.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2012-11-16: Highest Volume — 346 contracts
  • 2012-11-15: Largest IV spike — 29.6% change
  • 2012-11-15: Highest IV Rank — 22.5%
  • 2012-11-08: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.47$44.28$46.50$45.88$46.50
Max Pain$45.19$44.00$47.00$45.00$44.00
ATM IV17.6%14.8%20.6%15.4%19.1%
Expected Move5.4%4.2%6.0%4.4%5.5%
HV 20d15.1%12.1%16.3%12.1%15.6%
HV 60d15.0%13.9%15.8%13.9%14.7%
IV Rank15.2%8.7%22.5%10.1%18.8%
IV Percentile19.8%1.6%46.8%2.0%36.5%
Term Structure-1.5%-3.2%4.1%4.1%-3.0%
VWIV18.7%16.9%20.2%19.2%16.9%
Skew 25d5.2%-1.2%11.2%5.3%3.9%
Skew 10d7.9%1.8%14.7%2.3%3.2%
Call IV 25d15.5%9.2%18.7%10.2%17.3%
Put IV 25d20.6%11.7%23.1%15.5%21.3%
Bid-Ask Spread %60.1829.59122.0495.4186.14
Gamma HHI0.220.210.250.220.21
Net GEX174.1K108.2K250.8K199.4K159.7K
Net DEX-1.4M-2.4M-482.1K-2.1M-2.0M
Net VEX-15.3K-16.7K-13.0K-15.8K-16.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.005.533.000.00
Total Volume46.0950346203
Total OI2,125.6671,9742,3701,9742,370

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$45.88$45.0015.4%4.4%12.1%10.1%0.0%5.3%4.1%199.4K-2.1M-15.8K3.0095.41N/AN/A5151,351623
2012-11-02$45.26$45.0018.1%5.2%13.1%16.6%0.0%-1.2%2.1%189.8K-1.7M-15.6K0.0029.76N/AN/A001,354638
2012-11-05$45.69$47.0017.1%5.6%13.3%14.1%0.0%5.9%-1.2%201.5K-1.9M-15.4K0.0040.89N/AN/A1401,354638
2012-11-06$46.25$47.0017.0%5.6%13.9%13.7%0.0%5.1%-1.5%204.5K-2.4M-15.5K0.1437.70N/AN/A711,358638
2012-11-07$45.57$47.0016.9%5.5%15.0%13.6%19.2%4.8%-2.1%210.0K-1.9M-15.3K0.0036.76N/AN/A5601,365639
2012-11-08$45.27$46.0017.5%6.0%15.2%15.0%0.0%5.6%-1.7%215.9K-1.7M-15.0K0.0047.23N/AN/A0171,393639
2012-11-09$45.44$46.0016.2%5.8%15.2%12.0%0.0%4.0%-1.2%230.3K-1.7M-15.3K0.0040.68N/AN/A401,393656
2012-11-12$45.60$46.0015.6%5.4%15.1%10.6%0.0%4.6%-2.1%250.8K-1.9M-14.9K0.0035.47N/AN/A0101,393656
2012-11-13$45.09$46.0017.6%5.6%15.7%15.4%0.0%4.6%-1.7%226.8K-1.3M-14.4K0.0029.59N/AN/A1901,393666
2012-11-14$44.45$46.0015.9%6.0%16.1%11.3%0.0%4.1%-1.8%182.8K-742.9K-13.4K0.0040.93N/AN/A0151,391666
2012-11-15$44.28$46.0020.6%5.9%15.8%22.5%0.0%5.3%-2.1%159.2K-517.8K-13.4K0.0036.96N/AN/A041,373676
2012-11-16$44.38$46.0019.2%5.5%14.9%19.0%20.2%4.9%-1.5%161.8K-539.0K-13.0K5.5335.80N/AN/A532931,373680
2012-11-19$45.13$44.0017.8%5.1%16.3%15.7%17.0%5.1%-2.6%111.6K-881.3K-14.4K0.9865.60N/AN/A1281251,206776
2012-11-20$44.97$44.0017.6%5.1%15.6%15.4%19.0%3.7%-3.2%108.5K-482.1K-15.9K0.3388.53N/AN/A30101,316900
2012-11-21$45.03$44.0018.7%5.4%15.4%18.0%19.8%4.0%-2.8%108.2K-571.0K-16.2K2.3650.50N/AN/A11261,322910
2012-11-23$45.93$44.0017.4%5.0%16.2%14.8%19.1%9.0%-2.1%135.7K-1.3M-16.5K0.6193.53N/AN/A18111,333936
2012-11-26$45.80$44.0018.8%5.4%15.8%18.2%0.0%11.2%-0.6%142.0K-1.3M-16.1K0.0091.25N/AN/A1001,351936
2012-11-27$45.79$44.0014.8%4.2%15.6%8.7%16.9%8.4%-2.0%148.6K-1.3M-16.1K3.58102.28N/AN/A12431,351936
2012-11-28$46.18$44.0018.7%5.4%15.7%18.0%0.0%4.1%-1.5%151.6K-1.5M-16.6K0.0056.63N/AN/A601,363979
2012-11-29$46.37$44.0018.8%5.4%15.7%18.2%0.0%6.0%-3.1%157.2K-1.8M-16.4K0.00122.04N/AN/A2201,369979
2012-11-30$46.50$44.0019.1%5.5%15.6%18.8%0.0%3.9%-3.0%159.7K-2.0M-16.7K0.0086.14N/AN/A301,391979