EPP Options History — January 2014

In January 2014, EPP traded between $43.78 and $46.54. ATM implied volatility averaged 13.5%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.4% (HV 20d: 12.2%). Max pain ranged from $46.00 to $49.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.33.

Notable Days

  • 2014-01-15: Highest Volume — 93 contracts
  • 2014-01-13: Largest IV spike — 63.2% change
  • 2014-01-29: Highest IV Rank — 43.2%
  • 2014-01-29: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.43$43.78$46.54$46.30$43.87
Max Pain$46.76$46.00$49.00$49.00$46.00
ATM IV13.5%7.7%16.5%16.5%16.2%
Expected Move4.1%3.4%4.7%4.7%4.6%
HV 20d12.2%8.4%14.4%14.0%14.4%
HV 60d11.7%10.5%12.7%12.2%12.7%
IV Rank27.5%0.0%43.2%40.1%41.6%
IV Percentile32.3%0.0%64.7%64.3%60.7%
Term Structure1.0%-0.5%2.5%0.3%0.7%
VWIV11.6%7.9%13.6%13.6%7.9%
Skew 25d3.7%2.4%6.1%4.4%4.8%
Skew 10d9.4%2.9%14.8%2.9%13.4%
Call IV 25d13.1%11.0%14.3%13.3%14.1%
Put IV 25d16.8%14.8%18.9%17.8%18.9%
Bid-Ask Spread %51.3030.0186.6843.8043.20
Gamma HHI0.710.600.790.630.74
Net GEX-197.4K-303.8K-152.4K-162.9K-152.4K
Net DEX2.4M1.8M3.1M2.0M2.9M
Net VEX-8.4K-9.8K-6.2K-9.8K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.330.0010.000.000.30
Total Volume11.190933013
Total OI1,294.2861,0661,5341,4001,107

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$46.30$49.0016.5%4.7%14.0%40.1%0.0%4.4%0.3%-162.9K2.0M-9.8K0.0043.80N/AN/A3002751,125
2014-01-03$46.42$49.0014.3%4.1%14.1%28.7%0.0%3.3%0.9%-165.2K1.8M-9.8K0.0086.68N/AN/A003051,125
2014-01-06$46.20$47.0014.3%4.4%13.7%28.5%0.0%3.4%0.9%-169.1K2.0M-9.7K0.0067.92N/AN/A003051,125
2014-01-07$46.30$47.0013.6%4.2%13.4%25.0%0.0%2.8%1.3%-183.1K2.0M-9.6K0.0067.17N/AN/A1203051,125
2014-01-08$46.15$47.0013.0%4.2%13.1%21.8%13.6%3.8%1.5%-191.9K2.1M-9.5K6.0045.46N/AN/A2123051,125
2014-01-09$46.08$47.0013.4%4.1%13.1%23.8%0.0%3.0%1.1%-198.9K2.1M-9.4K0.0043.45N/AN/A003071,125
2014-01-10$46.54$47.007.7%3.7%11.8%0.0%13.0%2.4%1.6%-192.3K1.8M-9.3K0.0041.35N/AN/A303071,125
2014-01-13$46.10$47.0012.6%3.9%11.4%23.9%0.0%3.4%1.6%-237.1K2.1M-9.1K0.0040.40N/AN/A003101,125
2014-01-14$45.89$47.0011.0%3.9%11.2%16.2%0.0%3.6%1.6%-265.9K2.2M-9.0K0.0071.16N/AN/A063101,125
2014-01-15$45.81$47.009.5%3.7%11.0%8.7%0.0%4.0%2.0%-296.9K2.3M-8.9K0.0040.70N/AN/A0933101,131
2014-01-16$45.72$47.0013.1%3.8%10.6%26.5%0.0%3.4%1.3%-291.4K2.8M-8.9K0.0065.94N/AN/A053101,224
2014-01-17$45.71$47.0012.0%3.4%9.4%20.9%12.0%2.5%2.5%-303.8K2.9M-8.7K7.0048.10N/AN/A2143101,224
2014-01-21$45.81$46.0012.0%3.4%9.4%20.9%0.0%3.5%1.4%-174.4K2.2M-8.4K0.0031.16N/AN/A10154912
2014-01-22$45.85$46.0012.0%3.5%8.4%21.2%0.0%3.9%1.2%-177.6K2.1M-8.4K0.0030.01N/AN/A100155912
2014-01-23$44.86$46.0013.4%3.9%10.7%28.0%7.9%3.0%1.1%-174.4K2.6M-7.7K10.0036.30N/AN/A110165912
2014-01-24$43.91$46.0015.4%4.4%12.4%37.4%0.0%5.2%0.1%-156.2K2.9M-6.9K0.0056.29N/AN/A010164922
2014-01-27$44.00$46.0015.9%4.6%12.5%40.2%0.0%4.0%-0.5%-156.6K2.8M-6.8K0.0073.94N/AN/A010164932
2014-01-28$44.38$46.0015.7%4.5%13.1%39.0%0.0%3.4%0.1%-171.5K2.9M-7.0K0.0034.57N/AN/A00164942
2014-01-29$43.78$46.0016.5%4.7%13.7%43.2%0.0%4.5%-0.4%-152.7K3.1M-6.2K0.0043.34N/AN/A00164942
2014-01-30$44.30$46.0016.2%4.6%14.3%41.5%0.0%6.1%-0.3%-170.5K2.9M-6.9K0.0066.42N/AN/A10164942
2014-01-31$43.87$46.0016.2%4.6%14.4%41.6%0.0%4.8%0.7%-152.4K2.9M-6.6K0.3043.20N/AN/A103165942