EPP Options History — September 2013

In September 2013, EPP traded between $45.44 and $49.17. ATM implied volatility averaged 15.9%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 0.5% (HV 20d: 16.3%). Max pain ranged from $43.00 to $46.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.07.

Notable Days

2013-09-16: Highest Volume — 102 contracts
2013-09-04: Largest IV drop — 8.2% change
2013-09-03: Highest IV Rank — 62.4%
2013-09-03: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.47	$45.44	$49.17	$45.44	$47.65
Max Pain	$45.55	$43.00	$46.00	$43.00	$46.00
ATM IV	15.9%	14.4%	18.5%	18.5%	16.8%
Expected Move	4.5%	4.1%	5.3%	5.3%	4.8%
HV 20d	16.3%	14.6%	17.4%	17.0%	17.4%
HV 60d	18.1%	16.1%	20.6%	20.6%	16.3%
IV Rank	45.4%	36.0%	62.4%	62.4%	51.1%
IV Percentile	45.8%	29.8%	76.2%	76.2%	58.3%
Term Structure	1.1%	-0.4%	2.8%	-0.3%	0.0%
VWIV	15.6%	14.1%	17.4%	17.4%	14.4%
Skew 25d	3.5%	2.4%	5.3%	3.3%	4.6%
Skew 10d	9.6%	5.3%	13.6%	5.4%	13.6%
Call IV 25d	14.7%	11.9%	16.3%	16.3%	15.7%
Put IV 25d	18.1%	16.3%	20.2%	19.6%	20.2%
Bid-Ask Spread %	58.17	32.09	106.35	106.35	42.47
Gamma HHI	0.29	0.23	0.34	0.29	0.31
Net GEX	181.2K	121.6K	259.6K	121.6K	157.6K
Net DEX	-1.7M	-3.1M	-594.5K	-594.5K	-1.3M
Net VEX	-5.5K	-7.1K	-3.6K	-7.0K	-4.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.00	10.33	0.00	2.50
Total Volume	17.95	0	102	2	0
Total OI	1,651.9	1,572	1,780	1,645	1,592

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2013-09-03	$45.44	$43.00	18.5%	5.3%	17.0%	62.4%	17.4%	3.3%	-0.3%	121.6K	-594.5K	-7.0K	0.00	106.35	N/A	N/A	2	0	1,081	564
2013-09-04	$45.93	$43.00	17.0%	4.9%	17.4%	52.7%	16.2%	2.9%	0.5%	149.6K	-942.3K	-7.1K	0.50	36.44	N/A	N/A	4	2	1,083	564
2013-09-05	$45.83	$43.00	16.9%	4.8%	16.6%	51.7%	16.9%	3.9%	0.6%	149.2K	-870.6K	-7.1K	0.00	32.09	N/A	N/A	3	0	1,087	564
2013-09-06	$46.11	$46.00	17.0%	4.9%	14.6%	52.3%	0.0%	3.6%	1.1%	172.0K	-1.1M	-6.9K	0.00	51.94	N/A	N/A	0	0	1,090	564
2013-09-09	$46.81	$46.00	16.1%	4.7%	15.5%	47.2%	0.0%	4.1%	1.4%	200.9K	-1.6M	-6.6K	0.00	43.41	N/A	N/A	12	0	1,090	564
2013-09-10	$47.28	$46.00	16.5%	4.6%	15.6%	49.6%	14.9%	3.5%	1.8%	224.8K	-2.0M	-6.3K	0.38	50.00	N/A	N/A	13	5	1,102	564
2013-09-11	$47.44	$46.00	16.0%	4.5%	15.5%	45.9%	0.0%	3.8%	2.0%	233.9K	-2.1M	-6.1K	0.00	50.09	N/A	N/A	0	0	1,108	562
2013-09-12	$46.94	$46.00	15.9%	4.5%	16.1%	45.4%	0.0%	3.1%	1.5%	249.1K	-1.8M	-6.3K	0.00	52.41	N/A	N/A	1	0	1,108	562
2013-09-13	$47.04	$46.00	15.7%	4.5%	15.6%	44.2%	0.0%	3.7%	1.9%	259.6K	-1.9M	-6.1K	0.00	56.38	N/A	N/A	0	0	1,109	562
2013-09-16	$47.57	$46.00	15.8%	4.5%	16.0%	44.8%	15.9%	2.8%	1.5%	239.9K	-2.3M	-5.6K	10.33	100.74	N/A	N/A	9	93	1,109	562
2013-09-17	$47.90	$46.00	15.4%	4.4%	15.4%	42.4%	16.9%	3.8%	1.8%	217.4K	-2.2M	-5.1K	1.20	59.95	N/A	N/A	5	6	1,115	655
2013-09-18	$49.17	$46.00	14.6%	4.2%	17.0%	37.1%	0.0%	2.8%	2.8%	141.9K	-3.1M	-3.6K	0.00	65.58	N/A	N/A	32	0	1,119	649
2013-09-19	$48.79	$46.00	14.9%	4.3%	16.3%	39.2%	14.1%	3.7%	2.5%	139.7K	-2.8M	-4.7K	0.05	62.82	N/A	N/A	59	3	1,142	638
2013-09-20	$48.21	$46.00	15.1%	4.3%	17.3%	40.2%	14.2%	3.5%	2.2%	132.3K	-1.8M	-4.7K	0.00	58.95	N/A	N/A	84	0	990	638
2013-09-23	$48.37	$46.00	15.3%	4.4%	17.3%	42.0%	0.0%	3.6%	0.4%	161.6K	-1.7M	-4.7K	0.00	63.36	N/A	N/A	6	0	1,003	574
2013-09-24	$48.08	$46.00	15.2%	4.3%	17.3%	40.9%	14.8%	2.6%	0.7%	163.5K	-1.6M	-4.5K	0.00	62.62	N/A	N/A	10	0	998	574
2013-09-25	$48.19	$46.00	14.4%	4.1%	16.3%	36.0%	14.4%	2.4%	0.7%	167.3K	-1.7M	-4.5K	0.00	53.84	N/A	N/A	0	3	1,008	574
2013-09-26	$48.43	$46.00	14.9%	4.3%	16.2%	39.3%	0.0%	2.7%	0.2%	179.8K	-1.9M	-3.9K	0.00	62.53	N/A	N/A	0	0	1,008	577
2013-09-27	$48.18	$46.00	15.5%	4.4%	16.5%	43.1%	0.0%	5.3%	-0.4%	162.1K	-1.6M	-4.3K	2.50	51.38	N/A	N/A	2	5	1,008	577
2013-09-30	$47.65	$46.00	16.8%	4.8%	17.4%	51.1%	0.0%	4.6%	0.0%	157.6K	-1.3M	-4.4K	0.00	42.47	N/A	N/A	0	0	1,010	582