EPP Options History — April 2013

In April 2013, EPP traded between $48.49 and $51.60. ATM implied volatility averaged 14.3%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 1.2% (HV 20d: 15.6%). Max pain ranged from $45.00 to $52.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 2.03.

Notable Days

  • 2013-04-17: Highest Volume — 321 contracts
  • 2013-04-17: Largest IV spike — 19.9% change
  • 2013-04-18: Highest IV Rank — 40.7%
  • 2013-04-18: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.75$48.49$51.60$49.53$51.60
Max Pain$49.36$45.00$52.00$45.00$49.00
ATM IV14.3%12.3%17.5%14.7%12.5%
Expected Move4.2%3.6%5.0%4.2%3.6%
HV 20d15.6%10.7%19.5%11.0%19.5%
HV 60d13.3%11.3%15.1%11.4%15.1%
IV Rank25.8%16.2%40.7%27.4%17.4%
IV Percentile24.7%12.3%54.4%25.0%13.5%
Term Structure0.8%-0.7%2.0%-0.2%1.1%
VWIV14.0%8.9%16.7%8.9%14.6%
Skew 25d3.4%2.2%5.2%2.2%2.9%
Skew 10d8.6%3.9%10.9%7.9%8.6%
Call IV 25d13.2%10.7%16.0%14.1%12.1%
Put IV 25d16.5%14.5%19.9%16.4%15.0%
Bid-Ask Spread %31.8516.3051.7517.8934.43
Gamma HHI0.340.220.820.270.22
Net GEX398.1K229.6K1.7M328.4K229.6K
Net DEX-3.1M-4.5M-1.4M-3.5M-3.2M
Net VEX-12.0K-12.6K-10.8K-12.3K-12.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.030.0015.000.0015.00
Total Volume41.636032119816
Total OI2,224.9551,5012,9382,4771,539

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$49.53$45.0014.7%4.2%11.0%27.4%8.9%2.2%-0.2%328.4K-3.5M-12.3K0.0017.89N/AN/A19801,675802
2013-04-02$49.85$45.0013.2%3.8%11.0%20.5%0.0%3.0%1.4%341.1K-3.9M-12.5K0.0020.01N/AN/A001,681802
2013-04-03$49.31$45.0014.9%4.3%10.9%28.6%0.0%5.2%0.6%330.9K-3.3M-12.5K0.0017.96N/AN/A0101,681802
2013-04-04$49.35$45.0014.5%4.2%10.7%26.8%0.0%4.7%0.6%324.9K-3.3M-12.3K0.0016.30N/AN/A021,681809
2013-04-05$48.71$52.0014.2%4.3%11.4%25.3%0.0%3.7%1.3%323.3K-2.6M-11.7K0.0042.72N/AN/A0251,681811
2013-04-08$48.99$52.0014.3%4.3%11.7%25.8%0.0%4.2%1.0%338.6K-2.9M-11.5K0.0035.51N/AN/A001,681816
2013-04-09$49.66$52.0013.6%3.9%12.7%22.4%0.0%3.7%1.6%356.2K-3.7M-11.8K0.0028.61N/AN/A1901,681816
2013-04-10$50.07$52.0012.3%4.0%13.1%16.2%0.0%3.5%1.4%343.6K-4.2M-11.8K10.5025.26N/AN/A2211,695816
2013-04-11$50.33$52.0013.7%3.9%12.9%22.9%0.0%2.9%2.0%330.5K-4.5M-11.9K0.0030.34N/AN/A1001,697827
2013-04-12$50.14$52.0013.7%3.9%12.9%22.8%0.0%3.1%1.9%381.8K-4.2M-11.7K0.0038.03N/AN/A1201,697827
2013-04-15$48.49$52.0016.1%4.6%17.4%34.0%15.3%2.6%1.1%343.3K-2.5M-10.8K0.0035.10N/AN/A1401,697827
2013-04-16$49.51$50.0014.4%4.1%18.6%26.3%13.8%2.6%1.4%407.2K-3.6M-11.3K0.1830.63N/AN/A56101,706827
2013-04-17$48.97$51.0017.3%5.0%18.5%39.6%16.7%3.9%-0.1%454.6K-3.0M-11.3K0.0736.04N/AN/A299221,730837
2013-04-18$48.74$49.0017.5%5.0%18.5%40.7%0.0%4.0%-0.7%613.6K-3.1M-12.3K0.0040.75N/AN/A15101,976816
2013-04-19$49.03$49.0015.4%4.4%18.6%30.7%15.2%2.9%1.2%1.7M-4.0M-12.6K0.6751.75N/AN/A322,122816
2013-04-22$49.33$49.0015.3%4.4%18.3%30.4%0.0%3.6%-0.3%263.0K-1.4M-11.6K0.0039.63N/AN/A001,141360
2013-04-23$49.82$49.0013.3%3.8%18.5%21.1%13.3%2.8%0.8%265.5K-1.8M-12.4K0.0031.10N/AN/A401,141360
2013-04-24$50.43$49.0014.1%4.1%18.8%25.0%13.8%2.9%-0.2%264.2K-2.3M-12.4K0.7732.10N/AN/A13101,142360
2013-04-25$50.74$49.0013.3%3.8%18.9%21.2%0.0%2.7%0.3%260.3K-2.6M-12.4K0.0034.40N/AN/A401,153369
2013-04-26$50.55$49.0012.8%3.7%19.0%18.8%0.0%3.1%0.7%265.7K-2.4M-12.4K0.0032.90N/AN/A001,157369
2013-04-29$51.26$49.0014.0%4.0%19.5%24.4%14.6%3.8%-0.3%247.9K-3.0M-12.1K3.3329.31N/AN/A3101,157369
2013-04-30$51.60$49.0012.5%3.6%19.5%17.4%0.0%2.9%1.1%229.6K-3.2M-12.0K15.0034.43N/AN/A1151,160379