EPP Options History — May 2013

In May 2013, EPP traded between $46.35 and $51.48. ATM implied volatility averaged 15.5%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 0.2% (HV 20d: 15.7%). Max pain ranged from $49.00 to $51.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 11.12.

Notable Days

  • 2013-05-22: Highest Volume — 127 contracts
  • 2013-05-13: Largest IV spike — 20.7% change
  • 2013-05-31: Highest IV Rank — 52.7%
  • 2013-05-31: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.76$46.35$51.48$50.83$46.35
Max Pain$50.05$49.00$51.00$49.00$50.00
ATM IV15.5%12.4%20.1%14.4%20.1%
Expected Move4.5%3.8%5.8%4.1%5.8%
HV 20d15.7%12.4%19.9%19.9%14.6%
HV 60d15.2%14.4%15.9%15.3%15.9%
IV Rank31.3%17.0%52.7%26.3%52.7%
IV Percentile41.3%13.5%79.4%28.6%79.4%
Term Structure0.8%-0.4%1.7%-0.4%-0.3%
VWIV16.8%14.8%20.5%14.8%19.0%
Skew 25d3.2%2.3%4.5%2.3%3.3%
Skew 10d8.4%4.4%11.7%4.6%9.7%
Call IV 25d14.6%10.4%19.0%13.3%19.0%
Put IV 25d17.7%14.1%22.4%15.6%22.4%
Bid-Ask Spread %45.8929.3967.3940.8047.10
Gamma HHI0.210.120.320.230.12
Net GEX209.7K-3.5K375.1K255.7K-3.5K
Net DEX-1.5M-3.3M1.3M-2.6M1.3M
Net VEX-11.2K-12.5K-8.0K-12.2K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.120.00126.0017.002.83
Total Volume30.54501271846
Total OI1,669.2731,5451,7741,5451,759

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$50.83$49.0014.4%4.1%19.9%26.3%0.0%2.3%-0.4%255.7K-2.6M-12.2K17.0040.80N/AN/A1171,161384
2013-05-02$51.03$49.0013.7%3.9%19.9%23.1%0.0%2.5%0.5%257.3K-2.7M-12.1K0.0042.79N/AN/A1201,161401
2013-05-03$51.48$49.0013.1%3.8%19.3%20.1%0.0%3.7%0.4%234.4K-3.1M-12.0K0.0067.11N/AN/A8401,173401
2013-05-06$51.23$51.0013.6%3.9%19.4%22.4%0.0%3.0%0.8%285.3K-3.1M-12.5K0.0032.85N/AN/A1301,257401
2013-05-07$51.03$51.0013.4%4.0%19.0%21.5%0.0%2.7%0.9%304.4K-3.0M-12.2K0.0035.47N/AN/A001,262401
2013-05-08$51.40$51.0012.5%4.0%19.0%17.4%0.0%2.8%1.2%281.3K-3.3M-12.1K0.0032.68N/AN/A001,262401
2013-05-09$50.89$51.0012.8%4.0%19.3%18.9%14.8%3.2%0.6%307.9K-2.9M-12.0K1.0037.39N/AN/A441,262401
2013-05-10$50.82$50.0012.4%3.9%19.3%17.0%0.0%2.9%1.4%321.4K-2.8M-11.9K0.0051.20N/AN/A601,266405
2013-05-13$50.56$50.0015.0%4.3%14.7%28.9%0.0%3.4%1.1%318.2K-2.6M-11.8K0.0046.80N/AN/A801,272405
2013-05-14$50.61$50.0017.6%4.1%13.0%40.9%0.0%3.0%1.7%327.4K-2.6M-11.7K0.0055.80N/AN/A3301,279405
2013-05-15$50.36$50.0014.9%4.4%12.4%28.4%16.4%3.0%0.6%356.8K-2.5M-11.5K23.3348.06N/AN/A3701,307405
2013-05-16$49.85$50.0015.1%4.3%12.9%29.4%14.8%3.2%1.5%375.1K-1.9M-11.7K0.0043.47N/AN/A601,310458
2013-05-17$49.86$50.0015.1%4.3%12.7%29.5%0.0%2.8%1.2%360.0K-1.9M-11.5K0.0043.23N/AN/A01151,316458
2013-05-20$50.38$50.0015.6%4.5%13.1%31.5%16.6%2.3%1.1%172.9K-1.3M-11.6K0.7131.22N/AN/A14101,027528
2013-05-21$50.00$50.0015.4%4.4%13.0%30.8%15.5%2.8%0.6%170.3K-1.2M-11.8K0.1329.39N/AN/A811,041538
2013-05-22$49.21$50.0017.0%4.9%13.4%38.2%17.8%4.3%0.8%128.2K-523.8K-10.8K126.0054.03N/AN/A11261,049539
2013-05-23$48.84$50.0016.3%4.7%13.2%34.7%0.0%4.1%1.2%70.3K-68.7K-10.9K0.0067.39N/AN/A3401,050659
2013-05-24$47.61$50.0017.8%5.1%15.7%41.9%0.0%4.5%0.3%23.6K675.0K-9.5K0.0050.83N/AN/A031,054659
2013-05-28$47.73$50.0017.8%5.1%14.5%41.9%16.2%2.7%0.2%34.4K571.1K-9.5K13.0055.29N/AN/A2261,054662
2013-05-29$47.38$50.0019.2%5.5%14.1%48.2%20.5%3.8%0.2%15.5K852.9K-9.2K5.0051.12N/AN/A3151,054685
2013-05-30$47.36$50.0018.4%5.3%13.5%44.8%0.0%3.5%1.5%15.8K798.1K-9.4K0.0045.57N/AN/A071,057695
2013-05-31$46.35$50.0020.1%5.8%14.6%52.7%19.0%3.3%-0.3%-3.5K1.3M-8.0K2.8347.10N/AN/A12341,057702