EPP Options History — August 2013

In August 2013, EPP traded between $44.15 and $46.16. ATM implied volatility averaged 17.6%, placing in the 56.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.9% (HV 20d: 14.7%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.94.

Notable Days

  • 2013-08-21: Highest Volume — 538 contracts
  • 2013-08-22: Largest IV drop — 15.5% change
  • 2013-08-27: Highest IV Rank — 71.5%
  • 2013-08-07: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.04$44.15$46.16$44.95$44.30
Max Pain$43.91$43.00$45.00$43.00$43.00
ATM IV17.6%15.3%20.0%19.3%19.1%
Expected Move5.2%4.7%5.8%5.5%5.5%
HV 20d14.7%13.3%17.0%17.0%14.3%
HV 60d21.5%19.9%22.2%21.5%19.9%
IV Rank56.3%41.7%71.5%67.1%66.2%
IV Percentile64.0%40.1%86.9%81.0%81.0%
Term Structure0.4%-1.2%2.2%1.0%0.4%
VWIV17.7%15.3%20.5%19.4%20.3%
Skew 25d3.9%2.9%4.7%3.5%4.6%
Skew 10d10.0%6.3%15.7%7.5%11.0%
Call IV 25d16.5%15.3%18.4%18.4%16.7%
Put IV 25d20.5%19.1%22.3%22.0%21.3%
Bid-Ask Spread %64.5737.1796.6242.3542.21
Gamma HHI0.270.220.300.250.27
Net GEX92.5K40.7K150.4K83.6K58.6K
Net DEX-195.5K-737.9K342.9K-247.2K42.9K
Net VEX-7.5K-8.7K-6.2K-8.7K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.940.0017.000.001.50
Total Volume35.2270538025
Total OI1,523.0911,4461,6261,4851,620

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$44.95$43.0019.3%5.5%17.0%67.1%0.0%3.5%1.0%83.6K-247.2K-8.7K0.0042.35N/AN/A00985500
2013-08-02$45.18$43.0016.7%4.8%16.9%50.5%0.0%4.7%2.2%94.0K-274.9K-8.6K0.0046.36N/AN/A70985500
2013-08-05$45.04$44.0017.9%5.4%17.0%58.7%19.4%4.4%0.3%90.3K-179.7K-8.2K2.2060.79N/AN/A511987500
2013-08-06$44.93$44.0017.1%5.4%15.8%53.2%0.0%3.6%0.2%84.6K-113.2K-8.0K0.0070.61N/AN/A00987510
2013-08-07$44.33$44.0019.3%5.8%16.4%67.1%17.8%4.6%-0.7%63.8K144.6K-7.5K0.0054.36N/AN/A10987510
2013-08-08$45.37$44.0016.9%5.4%14.4%51.9%20.5%4.3%0.3%108.6K-373.7K-8.2K0.0066.91N/AN/A011988510
2013-08-09$45.50$44.0016.5%5.4%13.3%49.4%17.0%3.4%-0.3%113.7K-420.4K-8.1K4.0058.18N/AN/A14988515
2013-08-12$45.82$44.0015.3%5.2%13.3%41.7%0.0%3.3%-0.6%129.5K-547.8K-8.1K1.5077.65N/AN/A23988519
2013-08-13$46.16$44.0016.5%5.0%13.3%49.6%0.0%3.6%0.1%147.1K-737.9K-8.1K0.0080.20N/AN/A40986519
2013-08-14$46.12$44.0016.9%4.9%13.3%52.0%0.0%4.3%0.2%148.8K-727.3K-8.0K0.0076.70N/AN/A05984519
2013-08-15$45.70$44.0017.5%5.0%13.8%55.7%0.0%4.1%0.2%138.0K-462.7K-7.7K0.0077.38N/AN/A10984519
2013-08-16$45.77$44.0016.7%4.8%13.7%50.4%16.8%3.6%0.7%150.4K-486.4K-7.6K1.4385.25N/AN/A710983519
2013-08-19$45.31$45.0017.7%5.1%13.9%57.1%15.3%4.7%0.3%90.2K-150.7K-7.0K0.0078.91N/AN/A60939507
2013-08-20$44.97$45.0017.1%4.9%14.0%53.5%16.3%3.8%0.8%71.0K88.8K-6.7K0.0090.65N/AN/A140939507
2013-08-21$44.36$45.0019.4%5.6%14.7%68.2%16.0%4.3%-0.3%40.7K342.9K-6.2K0.0066.57N/AN/A5371951507
2013-08-22$44.70$45.0016.4%4.7%14.6%48.9%0.0%3.5%1.3%80.5K-65.6K-7.4K0.0096.62N/AN/A201,028508
2013-08-23$44.99$45.0016.8%4.8%14.7%51.2%20.3%2.9%1.7%91.1K-196.7K-7.5K1.4137.17N/AN/A41581,030508
2013-08-26$44.74$43.0017.4%5.0%14.7%55.2%0.0%3.6%0.4%83.9K-238.0K-7.3K0.0048.02N/AN/A011,070556
2013-08-27$44.22$43.0020.0%5.7%14.8%71.5%0.0%3.8%-1.2%56.8K83.0K-6.9K17.0062.58N/AN/A1171,070556
2013-08-28$44.15$43.0018.2%5.2%14.6%60.2%0.0%4.1%0.5%53.5K134.1K-6.6K0.0048.18N/AN/A001,071549
2013-08-29$44.19$43.0017.9%5.1%14.4%58.5%0.0%4.1%1.1%55.8K85.2K-6.6K0.0052.92N/AN/A001,071549
2013-08-30$44.30$43.0019.1%5.5%14.3%66.2%0.0%4.6%0.4%58.6K42.9K-6.7K1.5042.21N/AN/A10151,071549