EPP Options History — October 2013

In October 2013, EPP traded between $47.36 and $50.60. ATM implied volatility averaged 14.2%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 0.4% (HV 20d: 14.6%). Max pain ranged from $45.00 to $46.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.61.

Notable Days

  • 2013-10-07: Highest Volume — 300 contracts
  • 2013-10-17: Largest IV drop — 16.1% change
  • 2013-10-08: Highest IV Rank — 68.7%
  • 2013-10-08: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.07$47.36$50.60$48.11$49.72
Max Pain$45.13$45.00$46.00$46.00$45.00
ATM IV14.2%11.5%19.5%16.3%12.0%
Expected Move4.0%3.3%5.4%4.7%3.4%
HV 20d14.6%13.1%16.3%15.6%13.3%
HV 60d15.2%14.6%16.4%16.4%14.9%
IV Rank34.5%17.7%68.7%48.4%20.9%
IV Percentile31.5%7.9%84.9%54.4%12.3%
Term Structure1.8%-0.6%3.7%-0.6%2.9%
VWIV14.3%11.8%16.1%15.1%14.2%
Skew 25d4.1%2.1%6.5%5.1%3.0%
Skew 10d7.1%1.6%14.0%14.0%2.0%
Call IV 25d12.2%7.9%16.6%14.3%9.5%
Put IV 25d16.3%12.5%21.1%19.4%12.5%
Bid-Ask Spread %57.7741.13108.3147.3771.31
Gamma HHI0.500.260.780.290.56
Net GEX204.3K137.4K312.9K168.4K181.1K
Net DEX-1.7M-3.6M-704.7K-1.6M-831.7K
Net VEX-3.5K-5.1K-2.5K-4.0K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.005.000.005.00
Total Volume29.652030030
Total OI1,341.5656321,9201,592695

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$48.11$46.0016.3%4.7%15.6%48.4%15.1%5.1%-0.6%168.4K-1.6M-4.0K0.0047.37N/AN/A301,010582
2013-10-02$48.12$46.0015.9%4.6%15.3%45.9%0.0%4.9%-0.2%167.7K-1.6M-3.8K0.0045.47N/AN/A001,013582
2013-10-03$47.94$46.0016.8%4.8%15.4%51.4%0.0%4.0%0.0%166.2K-1.5M-3.8K0.0041.13N/AN/A0101,013582
2013-10-04$48.29$45.0016.7%4.8%15.4%50.5%0.0%3.4%1.0%167.3K-1.8M-3.6K0.0056.50N/AN/A001,013592
2013-10-07$47.58$45.0017.4%4.9%15.8%55.5%16.1%3.8%0.7%178.5K-1.5M-3.5K0.0249.49N/AN/A29461,013592
2013-10-08$47.36$45.0019.5%5.4%15.5%68.7%0.0%4.6%-0.1%254.8K-1.6M-5.1K1.0059.33N/AN/A15151,307598
2013-10-09$47.54$45.0016.8%4.9%15.5%51.4%15.7%4.4%0.6%270.5K-1.8M-4.8K0.2349.06N/AN/A2661,307598
2013-10-10$48.35$45.0015.8%4.5%16.1%44.8%0.0%4.5%1.8%283.2K-2.5M-4.3K0.0046.30N/AN/A1401,299604
2013-10-11$48.79$45.0014.3%4.1%16.3%35.4%0.0%4.1%2.0%255.6K-2.9M-4.1K0.0043.92N/AN/A001,313604
2013-10-14$48.88$45.0014.2%4.1%15.9%34.6%0.0%3.0%2.3%269.0K-3.0M-3.9K0.0056.91N/AN/A001,313604
2013-10-15$48.61$45.0014.0%4.0%16.0%33.6%13.4%4.5%1.9%269.4K-2.8M-3.7K1.3359.84N/AN/A341,313604
2013-10-16$49.09$45.0013.8%3.9%13.3%31.9%13.7%4.6%0.8%312.9K-3.2M-3.5K0.0062.15N/AN/A4801,314604
2013-10-17$49.60$45.0011.5%3.3%13.5%17.7%0.0%5.5%3.0%287.9K-3.6M-3.2K0.4077.09N/AN/A25101,319601
2013-10-18$50.16$45.0012.4%3.5%13.1%23.0%11.8%4.8%3.7%240.6K-2.0M-3.1K0.0056.95N/AN/A400944611
2013-10-21$50.07$45.0011.7%3.4%13.2%18.8%0.0%2.7%3.2%165.6K-1.1M-3.1K0.0049.30N/AN/A04460240
2013-10-22$50.60$45.0011.9%3.4%13.2%20.0%14.2%4.7%2.9%137.4K-1.2M-2.8K0.0044.75N/AN/A870460244
2013-10-23$49.90$45.0012.9%3.7%14.4%26.4%0.0%2.6%2.5%141.1K-704.7K-2.8K0.0068.65N/AN/A90390244
2013-10-24$49.95$45.0012.7%3.6%14.4%25.1%0.0%6.5%2.1%139.5K-713.8K-2.8K0.0068.48N/AN/A00388244
2013-10-25$50.15$45.0011.9%3.4%14.2%20.0%0.0%2.1%3.4%144.0K-795.4K-2.6K0.0066.40N/AN/A00388244
2013-10-28$50.15$45.0012.8%3.7%13.3%25.8%0.0%3.3%2.4%137.7K-806.9K-2.5K0.0046.13N/AN/A510388244
2013-10-29$49.84$45.0012.0%3.4%13.4%20.9%0.0%4.1%3.0%174.0K-831.9K-3.0K5.0053.80N/AN/A210439244
2013-10-30$49.75$45.0012.3%3.5%13.5%22.5%0.0%3.2%2.7%186.8K-758.7K-3.0K0.00108.31N/AN/A00441254
2013-10-31$49.72$45.0012.0%3.4%13.3%20.9%0.0%3.0%2.9%181.1K-831.7K-2.9K0.0071.31N/AN/A00441254