EPP Options History — January 2013

In January 2013, EPP traded between $47.31 and $48.99. ATM implied volatility averaged 11.2%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 1.3% (HV 20d: 12.4%). Max pain ranged from $45.00 to $48.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.30.

Notable Days

  • 2013-01-18: Highest Volume — 316 contracts
  • 2013-01-10: Largest IV spike — 24.3% change
  • 2013-01-10: Highest IV Rank — 12.2%
  • 2013-01-08: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.15$47.31$48.99$47.93$48.79
Max Pain$47.52$45.00$48.00$45.00$48.00
ATM IV11.2%9.7%12.7%10.7%10.5%
Expected Move3.3%2.8%3.9%3.1%3.0%
HV 20d12.4%8.6%14.4%12.9%8.6%
HV 60d13.2%12.1%13.8%13.4%12.1%
IV Rank4.9%0.0%12.2%0.0%3.9%
IV Percentile1.5%0.0%3.2%0.0%1.6%
Term Structure2.1%0.5%3.5%2.6%1.0%
VWIV11.9%10.0%13.6%12.1%10.0%
Skew 25d2.7%-0.5%6.5%5.5%3.0%
Skew 10d3.7%1.3%11.0%3.1%3.0%
Call IV 25d9.7%7.5%12.2%8.2%8.4%
Put IV 25d12.3%7.8%15.3%13.7%11.3%
Bid-Ask Spread %49.6025.0699.2427.5625.06
Gamma HHI0.240.170.290.170.27
Net GEX95.0K-18.7K206.3K6.8K202.1K
Net DEX-2.9M-3.9M-2.2M-2.9M-2.5M
Net VEX-10.9K-12.6K-9.0K-12.1K-9.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.300.0021.001.631.00
Total Volume37.4760316714
Total OI2,076.3811,5282,4632,2701,543

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$47.93$45.0010.7%3.1%12.9%0.0%12.1%5.5%2.6%6.8K-2.9M-12.1K1.6327.56N/AN/A27441,2261,044
2013-01-03$47.52$45.0011.8%3.4%13.4%5.6%0.0%1.1%1.7%-18.7K-2.7M-12.6K0.0835.48N/AN/A1311,2481,088
2013-01-04$47.76$48.0010.6%3.9%13.4%0.0%13.6%3.5%1.8%-2.7K-2.8M-12.3K0.0051.40N/AN/A7301,2611,089
2013-01-07$47.55$48.0010.7%3.6%13.5%0.4%0.0%3.0%2.3%6.7K-2.7M-12.4K1.6751.59N/AN/A6101,3341,089
2013-01-08$47.31$48.0012.1%3.9%13.4%7.5%0.0%2.9%2.5%-13.1K-2.6M-12.3K0.0046.93N/AN/A051,3341,089
2013-01-09$47.65$48.0010.2%3.6%13.6%0.0%12.4%3.2%2.8%8.7K-3.0M-12.2K0.0042.83N/AN/A101,3341,094
2013-01-10$48.15$48.0012.7%3.6%14.0%12.2%0.0%3.3%2.6%64.9K-3.6M-11.3K0.0052.06N/AN/A1101,3351,094
2013-01-11$47.75$48.0012.6%3.6%14.4%11.8%0.0%2.3%1.8%20.1K-3.2M-11.4K0.0048.68N/AN/A101,3421,094
2013-01-14$47.79$48.0012.0%3.4%14.3%9.2%0.0%3.3%3.4%12.6K-3.2M-11.1K0.0078.99N/AN/A021,3431,094
2013-01-15$47.80$48.0012.2%3.5%14.3%10.1%0.0%6.5%2.2%34.4K-3.2M-10.8K21.0058.30N/AN/A2421,3431,096
2013-01-16$48.09$48.0011.6%3.3%14.4%7.0%0.0%2.7%2.5%81.9K-3.6M-10.8K0.0048.69N/AN/A01601,3451,105
2013-01-17$48.31$48.0012.0%3.4%12.0%8.9%0.0%3.8%2.5%110.4K-3.9M-10.7K2.1499.24N/AN/A14301,3451,090
2013-01-18$48.25$48.0011.2%3.2%11.9%4.9%12.8%4.1%3.5%97.6K-3.7M-11.2K0.0348.64N/AN/A30881,3431,120
2013-01-22$48.47$47.0011.3%3.2%11.7%5.6%0.0%0.3%1.2%194.6K-2.2M-10.6K0.0080.10N/AN/A70954574
2013-01-23$48.47$47.0011.0%3.2%11.0%4.0%0.0%0.5%0.5%192.1K-2.2M-10.4K0.0058.98N/AN/A00954574
2013-01-24$48.52$47.0010.2%2.9%10.9%0.3%10.6%0.6%1.6%204.1K-2.4M-9.6K0.0039.09N/AN/A02954574
2013-01-25$48.70$47.009.7%2.8%10.9%0.0%10.0%2.1%2.6%197.3K-2.3M-10.0K0.0039.32N/AN/A012954576
2013-01-28$48.55$48.009.9%2.9%11.1%1.3%0.0%0.9%2.8%191.9K-2.3M-9.8K1.0037.65N/AN/A22954588
2013-01-29$48.99$48.0010.6%3.0%11.2%4.6%0.0%4.1%1.1%198.0K-2.6M-9.0K0.0035.03N/AN/A00954589
2013-01-30$48.88$48.0010.9%3.1%10.1%5.9%0.0%-0.5%0.6%206.3K-2.5M-9.7K0.0036.02N/AN/A00954589
2013-01-31$48.79$48.0010.5%3.0%8.6%3.9%0.0%3.0%1.0%202.1K-2.5M-9.6K0.0025.06N/AN/A04954589