EPP Options History — November 2013

In November 2013, EPP traded between $48.08 and $50.03. ATM implied volatility averaged 15.2%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 4.1% (HV 20d: 11.0%). Max pain ranged from $45.00 to $49.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.62.

Notable Days

  • 2013-11-12: Highest Volume — 72 contracts
  • 2013-11-25: Largest IV spike — 109.7% change
  • 2013-11-15: Highest IV Rank — 100.0%
  • 2013-11-25: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.01$48.08$50.03$49.74$48.08
Max Pain$47.90$45.00$49.00$45.00$48.00
ATM IV15.2%11.3%28.1%11.3%14.4%
Expected Move4.6%3.2%8.1%3.2%4.1%
HV 20d11.0%9.8%13.2%13.2%9.9%
HV 60d14.1%13.1%14.5%14.2%13.2%
IV Rank37.5%16.4%100.0%16.4%28.9%
IV Percentile39.9%7.1%100.0%7.1%39.3%
Term Structure-1.9%-24.5%2.8%2.8%-1.9%
VWIV15.8%12.2%17.0%16.9%17.0%
Skew 25d3.9%2.2%6.6%3.7%6.6%
Skew 10d6.3%1.9%15.1%2.1%15.1%
Call IV 25d14.1%9.4%16.8%9.4%13.5%
Put IV 25d17.9%13.1%21.7%13.1%20.1%
Bid-Ask Spread %93.9558.02122.01110.8158.02
Gamma HHI0.500.240.820.570.25
Net GEX160.5K17.6K439.2K191.1K21.6K
Net DEX-222.1K-978.7K329.3K-781.1K329.3K
Net VEX-2.4K-2.9K-2.0K-2.9K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.0016.000.0016.00
Total Volume13.750721017
Total OI640.15516743695593

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$49.74$45.0011.3%3.2%13.2%16.4%0.0%3.7%2.8%191.1K-781.1K-2.9K0.00110.81N/AN/A100441254
2013-11-04$49.90$49.0011.8%4.2%11.7%19.6%16.9%3.0%0.3%205.1K-902.2K-2.8K0.00100.20N/AN/A010451254
2013-11-05$49.72$48.0012.5%4.1%11.6%23.9%0.0%3.0%0.1%198.8K-815.9K-2.9K0.00101.38N/AN/A00451264
2013-11-06$50.03$48.0012.4%4.5%11.7%23.3%0.0%3.4%-0.7%190.4K-978.7K-2.7K0.0094.81N/AN/A20451264
2013-11-07$49.34$48.0015.1%4.7%11.8%40.6%0.0%4.0%-0.5%225.5K-643.4K-2.9K0.0096.64N/AN/A00449264
2013-11-08$49.53$48.0012.2%3.7%11.5%21.9%0.0%3.3%-0.4%235.2K-709.9K-2.8K0.0095.13N/AN/A00449264
2013-11-11$49.20$48.0014.1%4.5%11.7%33.8%0.0%3.9%-0.3%300.3K-601.5K-2.6K0.0098.85N/AN/A40449264
2013-11-12$48.71$48.0013.9%4.4%12.1%32.9%16.1%4.1%-0.8%313.4K-165.6K-2.4K0.8091.80N/AN/A4032445264
2013-11-13$48.59$48.0012.7%4.3%11.6%25.3%0.0%4.7%-1.0%277.4K-46.6K-2.5K0.00100.62N/AN/A280447296
2013-11-14$48.77$48.0013.5%3.9%11.0%29.9%0.0%3.4%-0.4%439.2K-107.1K-2.5K0.00106.07N/AN/A00445296
2013-11-15$49.38$48.0025.5%7.3%11.2%100.0%16.9%2.8%-3.8%337.0K-710.3K-2.4K0.00122.01N/AN/A360445296
2013-11-18$49.38$48.0014.9%4.3%11.2%36.7%12.2%4.8%-0.5%45.2K68.8K-2.2K0.0080.91N/AN/A130231285
2013-11-19$49.21$48.0015.1%4.3%10.4%37.8%0.0%2.2%-0.9%45.9K106.2K-2.2K0.00110.49N/AN/A40244285
2013-11-20$48.61$48.0013.5%3.9%10.1%28.4%0.0%2.9%-2.3%37.2K205.2K-2.2K0.0080.73N/AN/A07248285
2013-11-21$48.53$48.0016.4%4.7%10.1%45.8%0.0%4.8%0.2%32.6K244.3K-2.2K0.0081.35N/AN/A10248285
2013-11-22$48.53$48.0013.4%3.8%9.9%27.8%0.0%3.4%-1.5%31.9K244.9K-2.1K0.0093.87N/AN/A20248285
2013-11-25$48.34$48.0028.1%8.1%9.9%100.0%0.0%5.0%-24.5%32.7K238.9K-2.0K0.0092.66N/AN/A00250285
2013-11-26$48.38$48.0016.7%4.8%9.8%40.8%0.0%4.5%-1.6%32.6K254.8K-2.0K2.6384.48N/AN/A1950250285
2013-11-27$48.31$48.0015.9%4.6%9.8%37.0%0.0%3.6%-1.0%17.6K327.3K-2.4K0.0078.16N/AN/A00258335
2013-11-29$48.08$48.0014.4%4.1%9.9%28.9%17.0%6.6%-1.9%21.6K329.3K-2.4K16.0058.02N/AN/A116258335