EPP Options History — July 2013

In July 2013, EPP traded between $42.49 and $45.71. ATM implied volatility averaged 19.9%, placing in the 67.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 3.9% (HV 20d: 23.8%). Max pain ranged from $42.00 to $48.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.71.

Notable Days

  • 2013-07-26: Highest Volume — 621 contracts
  • 2013-07-05: Largest IV drop — 9.5% change
  • 2013-07-03: Highest IV Rank — 93.8%
  • 2013-07-03: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.37$42.49$45.71$42.88$44.65
Max Pain$43.55$42.00$48.00$48.00$43.00
ATM IV19.9%16.9%24.3%21.6%17.8%
Expected Move5.7%4.8%7.0%6.2%5.1%
HV 20d23.8%16.8%29.5%27.8%17.6%
HV 60d21.7%21.3%22.2%22.0%21.4%
IV Rank67.0%49.5%93.8%74.1%57.6%
IV Percentile78.9%54.8%97.6%89.7%67.1%
Term Structure0.7%-1.2%1.8%0.9%1.0%
VWIV19.7%16.9%22.3%22.0%19.0%
Skew 25d4.0%2.7%6.3%3.9%6.3%
Skew 10d11.9%5.9%16.4%14.4%13.7%
Call IV 25d18.6%15.6%22.4%21.1%15.6%
Put IV 25d22.5%19.1%27.3%25.0%21.9%
Bid-Ask Spread %59.7136.9997.6972.4560.81
Gamma HHI0.170.130.250.150.24
Net GEX13.3K-27.1K94.2K-26.8K74.0K
Net DEX681.4K-428.1K1.5M1.4M-100.3K
Net VEX-7.1K-8.9K-6.3K-6.7K-8.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.0013.000.000.80
Total Volume65.9090621327
Total OI1,655.2271,1241,9771,8161,485

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$42.88$48.0021.6%6.2%27.8%74.1%0.0%3.9%0.9%-26.8K1.4M-6.7K0.0072.45N/AN/A301,110706
2013-07-02$42.98$48.0022.3%6.4%27.8%77.6%22.0%4.1%0.3%-25.6K1.4M-6.6K0.3162.11N/AN/A1341,113706
2013-07-03$42.49$48.0024.3%7.0%26.3%93.8%0.0%5.0%-1.2%-25.5K1.5M-6.6K0.0038.38N/AN/A051,126702
2013-07-05$42.76$42.0022.0%6.4%26.3%79.8%0.0%3.7%-0.1%-27.1K1.5M-6.6K2.5037.59N/AN/A4101,126707
2013-07-08$42.99$42.0022.9%6.4%26.4%85.0%0.0%4.6%-0.6%-25.0K1.4M-6.6K0.0045.11N/AN/A001,128709
2013-07-09$43.83$42.0021.1%6.0%27.4%74.5%21.1%3.3%0.2%-16.3K1.2M-6.9K0.7047.03N/AN/A27191,128709
2013-07-10$43.51$43.0021.0%6.0%27.1%73.5%22.3%4.5%-0.1%-13.8K1.2M-6.8K4.0039.90N/AN/A141,143715
2013-07-11$44.92$43.0019.7%5.6%29.5%65.6%19.8%4.3%0.8%-826782.9K-7.3K0.9845.84N/AN/A63621,144718
2013-07-12$44.27$43.0020.0%5.7%28.5%67.7%0.0%3.7%0.9%5.5K999.4K-7.2K13.0036.99N/AN/A1131,207760
2013-07-15$44.55$43.0019.6%5.6%28.6%65.4%22.2%3.0%0.7%17.5K884.4K-7.3K0.2361.13N/AN/A88201,208769
2013-07-16$44.87$43.0019.6%5.6%28.0%65.5%0.0%3.3%0.6%27.3K778.8K-6.8K0.0065.39N/AN/A001,173758
2013-07-17$44.86$43.0019.8%5.7%28.0%67.1%0.0%4.1%0.2%28.0K662.4K-6.7K2.5060.27N/AN/A4101,173737
2013-07-18$44.72$43.0019.6%5.6%26.5%65.6%18.4%3.5%0.8%27.3K780.8K-6.5K0.0064.87N/AN/A0101,158723
2013-07-19$44.65$43.0018.8%5.4%20.0%61.2%0.0%4.0%0.9%30.8K816.0K-6.3K0.0170.00N/AN/A37821,158724
2013-07-22$45.08$43.0018.7%5.4%19.8%60.6%17.8%4.1%1.8%3.2K186.7K-7.2K0.0071.38N/AN/A290623501
2013-07-23$45.37$43.0017.7%5.1%19.2%54.5%0.0%3.8%1.5%13.3K48.2K-7.3K0.0069.69N/AN/A00652501
2013-07-24$45.11$43.0018.4%5.3%18.2%58.5%17.3%3.6%1.8%9.5K148.0K-7.2K0.4074.56N/AN/A104652501
2013-07-25$45.47$43.0018.1%5.2%18.1%56.5%0.0%2.7%1.5%19.1K7.4K-7.2K0.0070.29N/AN/A00662497
2013-07-26$45.71$43.0016.9%4.8%17.6%49.5%16.9%3.5%1.6%22.8K-70.3K-7.3K0.0097.69N/AN/A6210662497
2013-07-29$45.43$43.0018.4%5.3%16.8%58.5%0.0%3.8%1.6%94.2K-428.1K-8.9K0.0060.48N/AN/A00975497
2013-07-30$44.96$43.0018.5%5.3%17.3%62.1%0.0%4.3%0.7%81.6K-202.6K-8.6K0.2061.69N/AN/A153975497
2013-07-31$44.65$43.0017.8%5.1%17.6%57.6%19.0%6.3%1.0%74.0K-100.3K-8.4K0.8060.81N/AN/A1512985500