EPP Options History — February 2014 In February 2014, EPP traded between $43.12 and $47.31. ATM implied volatility averaged 14.5%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 5.1% (HV 20d: 19.6%). Max pain ranged from $43.00 to $46.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.30.
Notable Days 2014-02-24 : Highest Volume — 81 contracts2014-02-11 : Largest IV drop — 18.2% change2014-02-03 : Highest IV Rank — 61.7%2014-02-03 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $45.91 $43.12 $47.31 $43.12 $46.95 Max Pain $43.63 $43.00 $46.00 $46.00 $43.00 ATM IV 14.5% 12.3% 20.3% 20.3% 14.1% Expected Move 4.2% 3.7% 5.8% 5.8% 4.0% HV 20d 19.6% 15.1% 21.9% 15.1% 17.6% HV 60d 15.0% 13.1% 15.6% 13.1% 15.5% IV Rank 33.0% 22.5% 61.7% 61.7% 31.2% IV Percentile 34.1% 9.9% 88.9% 88.9% 31.7% Term Structure -0.1% -1.6% 0.7% -1.6% -0.5% VWIV 14.9% 12.8% 16.9% 16.9% 13.5% Skew 25d 3.9% 1.3% 6.5% 4.9% 3.5% Skew 10d 9.0% 5.2% 15.8% 11.0% 10.8% Call IV 25d 13.3% 11.6% 17.5% 17.5% 12.8% Put IV 25d 17.2% 14.4% 22.3% 22.3% 16.3% Bid-Ask Spread % 47.90 23.91 103.69 38.72 28.05 Gamma HHI 0.67 0.52 0.76 0.73 0.59 Net GEX -175.4K -210.6K -127.0K -127.0K -172.6K Net DEX 2.0M 1.3M 3.2M 3.2M 1.4M Net VEX -7.2K -7.8K -5.4K -5.4K -7.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.30 0.00 1.50 0.00 0.00 Total Volume 12.211 0 81 6 50 Total OI 1,168.263 1,120 1,226 1,120 1,226
Daily Data (19 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 2014-02-03 $43.12 $46.00 20.3% 5.8% 15.1% 61.7% 0.0% 4.9% -1.6% -127.0K 3.2M -5.4K 0.00 38.72 N/A N/A 6 0 175 945 2014-02-04 $44.05 $46.00 18.6% 5.3% 17.5% 53.1% 0.0% 6.5% -1.3% -153.6K 2.9M -6.6K 0.00 36.47 N/A N/A 0 0 181 945 2014-02-05 $43.65 $46.00 17.5% 5.0% 17.6% 48.2% 16.9% 6.5% -1.1% -147.5K 3.1M -5.8K 1.50 30.94 N/A N/A 8 12 181 945 2014-02-06 $44.65 $46.00 15.6% 4.5% 19.8% 38.5% 16.6% 6.1% 0.5% -186.4K 2.8M -7.1K 0.25 37.25 N/A N/A 8 2 183 957 2014-02-07 $44.92 $43.00 14.6% 4.3% 20.0% 33.6% 0.0% 4.8% -0.1% -193.7K 2.6M -7.4K 0.00 39.09 N/A N/A 0 0 191 959 2014-02-10 $44.76 $43.00 15.0% 4.3% 19.5% 35.9% 0.0% 4.7% 0.1% -195.5K 2.7M -7.0K 0.00 39.84 N/A N/A 0 6 191 959 2014-02-11 $45.83 $43.00 12.3% 4.1% 21.3% 22.5% 12.8% 4.3% 0.3% -207.7K 2.2M -7.8K 0.33 41.30 N/A N/A 6 2 191 965 2014-02-12 $46.07 $43.00 12.6% 4.1% 21.3% 23.7% 0.0% 3.8% 0.2% -200.1K 2.0M -7.8K 0.00 39.05 N/A N/A 0 0 196 965 2014-02-13 $46.06 $43.00 14.1% 4.0% 21.3% 31.2% 0.0% 4.2% 0.7% -210.6K 2.0M -7.7K 0.00 40.00 N/A N/A 0 0 196 965 2014-02-14 $46.62 $43.00 12.9% 3.7% 21.7% 25.4% 0.0% 2.5% 0.2% -179.1K 1.7M -7.7K 0.00 100.66 N/A N/A 1 0 196 965 2014-02-18 $46.74 $43.00 13.4% 3.8% 21.7% 27.9% 0.0% 3.3% 0.4% -178.7K 1.6M -7.5K 0.00 30.77 N/A N/A 0 0 197 965 2014-02-19 $46.63 $43.00 13.3% 3.8% 21.7% 27.3% 0.0% 3.3% 0.3% -185.6K 1.7M -7.4K 0.00 77.54 N/A N/A 0 23 197 965 2014-02-20 $47.05 $43.00 13.5% 3.9% 21.9% 28.1% 0.0% 2.3% -0.2% -162.3K 1.5M -7.5K 0.00 102.13 N/A N/A 0 3 196 988 2014-02-21 $46.91 $43.00 13.0% 3.7% 20.2% 25.7% 0.0% 2.8% 0.5% -139.6K 1.5M -7.4K 0.00 103.69 N/A N/A 11 0 196 991 2014-02-24 $47.31 $43.00 13.5% 3.9% 18.3% 28.3% 13.5% 1.3% 0.1% -175.6K 1.3M -7.0K 0.00 37.46 N/A N/A 81 0 174 973 2014-02-25 $46.93 $43.00 13.5% 3.9% 18.8% 28.2% 0.0% 2.1% 0.1% -169.9K 1.4M -7.5K 0.00 30.17 N/A N/A 0 10 253 973 2014-02-26 $46.89 $43.00 13.7% 3.9% 18.7% 29.1% 0.0% 3.1% -0.1% -175.3K 1.5M -7.5K 0.00 33.05 N/A N/A 0 3 253 973 2014-02-27 $47.16 $43.00 13.5% 3.9% 17.7% 28.1% 0.0% 4.0% 0.3% -171.8K 1.3M -7.3K 0.00 23.91 N/A N/A 0 0 253 973 2014-02-28 $46.95 $43.00 14.1% 4.0% 17.6% 31.2% 0.0% 3.5% -0.5% -172.6K 1.4M -7.4K 0.00 28.05 N/A N/A 0 50 253 973
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