EPP Options History — December 2012

In December 2012, EPP traded between $46.34 and $47.70. ATM implied volatility averaged 15.7%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 4.1% (HV 20d: 11.7%). Max pain ranged from $43.00 to $47.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 6.91.

Notable Days

  • 2012-12-18: Highest Volume — 472 contracts
  • 2012-12-12: Largest IV drop — 28.1% change
  • 2012-12-11: Highest IV Rank — 22.2%
  • 2012-12-03: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.89$46.34$47.70$46.45$47.14
Max Pain$44.05$43.00$47.00$44.00$45.00
ATM IV15.7%13.0%20.5%19.3%13.3%
Expected Move4.3%3.6%5.5%5.5%3.8%
HV 20d11.7%9.6%14.7%14.7%11.7%
HV 60d13.3%12.7%14.6%14.6%13.0%
IV Rank11.0%4.3%22.2%19.5%7.7%
IV Percentile13.5%0.8%51.6%37.7%1.2%
Term Structure1.6%-3.9%4.6%-3.9%1.8%
VWIV14.8%13.0%19.2%19.2%13.5%
Skew 25d4.8%1.8%7.7%4.1%2.8%
Skew 10d5.1%1.1%15.6%3.1%8.2%
Call IV 25d12.2%9.8%14.9%14.9%13.5%
Put IV 25d17.0%14.1%19.6%19.0%16.3%
Bid-Ask Spread %52.4622.9374.3965.3322.93
Gamma HHI0.190.150.230.210.16
Net GEX97.3K-26.9K190.9K165.7K-26.9K
Net DEX-2.1M-2.9M-816.5K-1.9M-2.1M
Net VEX-14.3K-16.4K-12.5K-16.3K-12.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.910.0038.000.000.00
Total Volume43.450472042
Total OI2,316.61,9132,4392,3732,228

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$46.45$44.0019.3%5.5%14.7%19.5%0.0%4.1%-3.9%165.7K-1.9M-16.3K0.0065.33N/AN/A001,394979
2012-12-04$46.43$44.0018.9%5.4%14.4%18.3%19.2%4.4%-3.0%174.8K-1.9M-16.4K0.0048.79N/AN/A011,394979
2012-12-05$46.65$44.0015.0%4.3%13.9%9.0%0.0%5.1%0.0%169.4K-2.1M-16.0K0.0037.63N/AN/A021,394980
2012-12-06$46.85$44.0019.1%5.5%12.7%18.9%15.1%7.7%-0.4%176.3K-2.2M-15.8K0.0029.83N/AN/A201,394982
2012-12-07$47.20$44.0018.2%4.4%12.5%16.7%0.0%5.8%1.2%179.8K-2.5M-15.6K7.0058.88N/AN/A4281,396982
2012-12-10$47.28$44.0019.9%4.6%12.5%20.7%13.3%5.2%2.5%189.1K-2.6M-15.4K0.0045.43N/AN/A041,4001,010
2012-12-11$47.49$44.0020.5%4.3%12.5%22.2%0.0%5.5%2.4%179.0K-2.7M-15.2K0.2073.22N/AN/A1021,3861,010
2012-12-12$47.60$44.0014.7%3.6%11.5%8.5%13.5%4.6%3.5%186.2K-2.9M-14.6K22.0057.08N/AN/A1221,3821,012
2012-12-13$47.40$44.0014.8%4.2%10.0%8.5%14.8%2.7%2.3%190.9K-2.6M-14.9K0.0074.39N/AN/A4501,3831,031
2012-12-14$47.51$44.0014.4%4.1%9.6%7.6%13.7%5.7%4.2%185.5K-2.7M-15.2K0.1057.38N/AN/A2021,4061,031
2012-12-17$47.70$44.0013.3%3.8%9.6%5.1%16.9%7.0%4.6%187.4K-2.8M-14.5K0.7157.98N/AN/A34241,4061,033
2012-12-18$46.72$47.0013.8%3.9%11.8%6.2%13.0%4.3%2.4%55.8K-816.5K-12.7K0.5159.65N/AN/A3121608711,042
2012-12-19$46.52$43.0014.6%4.2%11.8%8.1%14.6%1.8%2.1%7.3K-1.8M-13.0K0.0059.42N/AN/A011,1781,186
2012-12-20$46.87$43.0013.8%4.0%12.0%6.2%16.1%4.2%2.3%5.6K-1.9M-12.9K8.0055.31N/AN/A181,1781,181
2012-12-21$46.44$43.0014.2%4.1%10.6%7.2%14.2%3.5%3.8%3.2K-1.6M-13.0K6.3639.59N/AN/A11701,1791,189
2012-12-24$46.34$44.0013.6%3.9%10.6%5.8%0.0%4.2%1.6%-17.7K-1.7M-12.9K0.0045.15N/AN/A001,184994
2012-12-26$46.34$44.0014.2%4.1%10.6%7.3%0.0%5.1%1.5%-18.2K-1.7M-12.5K0.0074.11N/AN/A001,184994
2012-12-27$46.53$44.0013.0%3.7%10.3%4.3%14.3%6.6%1.8%-21.6K-1.8M-12.5K0.0047.33N/AN/A0241,184994
2012-12-28$46.40$44.0016.1%4.6%10.2%11.7%14.8%6.6%0.3%-25.0K-1.7M-12.9K38.0039.71N/AN/A1381,1841,018
2012-12-31$47.14$45.0013.3%3.8%11.7%7.7%13.5%2.8%1.8%-26.9K-2.1M-12.6K0.0022.93N/AN/A4201,1841,044