EPP Options History — December 2013

In December 2013, EPP traded between $45.15 and $47.71. ATM implied volatility averaged 15.2%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.6% (HV 20d: 11.6%). Max pain ranged from $48.00 to $50.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 26.23.

Notable Days

  • 2013-12-12: Highest Volume — 722 contracts
  • 2013-12-17: Largest IV drop — 19.6% change
  • 2013-12-06: Highest IV Rank — 55.2%
  • 2013-12-12: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.46$45.15$47.71$47.71$46.73
Max Pain$49.33$48.00$50.00$48.00$49.00
ATM IV15.2%11.5%19.4%15.3%12.9%
Expected Move4.2%3.3%5.2%4.4%3.7%
HV 20d11.6%9.6%13.7%10.1%13.7%
HV 60d12.6%12.1%13.2%13.2%12.5%
IV Rank33.1%14.0%55.2%33.6%21.2%
IV Percentile48.6%8.3%84.1%52.4%23.8%
Term Structure1.1%-3.1%3.3%-1.9%1.5%
VWIV15.4%10.2%21.8%21.8%12.5%
Skew 25d4.8%2.6%6.7%5.9%2.6%
Skew 10d9.8%2.4%15.9%10.8%2.4%
Call IV 25d14.2%9.9%18.2%15.6%13.3%
Put IV 25d19.0%14.1%24.5%21.5%15.9%
Bid-Ask Spread %77.5843.63108.7966.9747.78
Gamma HHI0.500.250.790.260.61
Net GEX-112.6K-217.7K6.0K6.0K-159.9K
Net DEX1.6M460.4K2.9M460.4K1.8M
Net VEX-6.5K-10.0K-2.0K-2.3K-9.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio26.230.00239.670.690.00
Total Volume54.38107221030
Total OI1,091.196091,5126091,400

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$47.71$48.0015.3%4.4%10.1%33.6%21.8%5.9%-1.9%6.0K460.4K-2.3K0.6966.97N/AN/A6142258351
2013-12-03$47.65$48.0015.5%4.4%9.9%34.7%17.4%4.9%-1.5%-13.1K562.8K-2.6K0.6079.51N/AN/A106258393
2013-12-04$47.59$48.0016.4%4.7%9.9%39.6%0.0%5.7%-2.8%-13.6K572.5K-2.7K0.0094.71N/AN/A01268399
2013-12-05$47.05$48.0016.9%4.8%9.9%41.9%0.0%6.3%-3.1%-24.9K697.2K-2.6K0.0098.55N/AN/A010268400
2013-12-06$47.38$50.0019.4%4.6%9.6%55.2%0.0%5.5%0.9%-17.7K613.7K-2.6K0.0091.46N/AN/A05268400
2013-12-09$46.93$50.0017.5%4.5%9.7%45.3%0.0%5.4%1.7%-29.5K720.5K-2.4K0.0085.98N/AN/A06268405
2013-12-10$46.87$50.0017.9%4.5%9.6%47.4%0.0%5.5%1.9%-33.2K750.5K-2.4K0.00102.07N/AN/A00268411
2013-12-11$46.00$50.0017.1%4.9%10.9%42.9%0.0%6.4%1.6%-41.4K893.1K-2.2K0.0097.71N/AN/A10268411
2013-12-12$45.45$50.0018.1%5.2%11.4%48.4%20.8%6.7%0.8%-39.8K1.0M-2.0K239.6793.47N/AN/A3719268411
2013-12-13$45.83$50.0016.8%4.8%11.9%41.3%0.0%5.5%1.6%-174.3K2.8M-9.3K2.7597.08N/AN/A4112671,124
2013-12-16$46.12$50.0016.0%4.6%11.0%37.3%0.0%5.4%2.4%-188.2K2.7M-9.4K0.00104.69N/AN/A0232711,135
2013-12-17$45.76$50.0012.8%3.7%11.0%21.1%0.0%2.6%1.5%-214.2K2.8M-8.8K0.0074.58N/AN/A002711,158
2013-12-18$45.15$50.0014.5%4.2%11.5%29.6%17.1%3.8%3.0%-203.2K2.9M-9.1K0.1152.25N/AN/A8092711,158
2013-12-19$45.31$50.0014.3%4.1%11.5%28.7%10.2%4.4%3.3%-134.4K2.6M-9.2K0.0043.63N/AN/A0103451,167
2013-12-20$45.84$50.0013.2%3.8%12.7%22.6%13.0%3.6%3.3%-217.7K2.3M-9.2K43.5055.33N/AN/A2873451,163
2013-12-23$46.30$49.0012.5%3.6%13.4%19.2%12.9%3.6%2.3%-174.6K2.0M-10.0K1.25108.79N/AN/A8102391,115
2013-12-24$46.58$49.0011.5%3.3%13.7%14.0%0.0%4.7%1.9%-174.0K2.0M-10.0K0.0054.08N/AN/A002431,125
2013-12-26$46.46$49.0013.2%3.8%13.7%22.8%12.7%5.3%3.0%-175.6K2.0M-9.9K0.0053.56N/AN/A1002431,125
2013-12-27$46.41$49.0012.5%3.6%13.7%19.2%12.5%3.2%1.7%-175.3K2.0M-9.9K0.0050.42N/AN/A2302531,125
2013-12-30$46.47$49.0014.5%4.2%13.7%29.5%0.0%4.5%0.1%-165.2K1.9M-10.0K0.0076.53N/AN/A102741,125
2013-12-31$46.73$49.0012.9%3.7%13.7%21.2%0.0%2.6%1.5%-159.9K1.8M-9.9K0.0047.78N/AN/A002751,125