EPP Options History — March 2014

In March 2014, EPP traded between $46.09 and $48.09. ATM implied volatility averaged 13.7%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 0.1% (HV 20d: 13.7%). Max pain ranged from $43.00 to $47.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2014-03-26: Highest Volume — 64 contracts
  • 2014-03-10: Largest IV spike — 21.1% change
  • 2014-03-13: Highest IV Rank — 42.2%
  • 2014-03-13: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.01$46.09$48.09$46.60$48.09
Max Pain$46.00$43.00$47.00$43.00$47.00
ATM IV13.7%11.7%16.3%15.3%11.7%
Expected Move3.9%3.3%4.7%4.4%3.3%
HV 20d13.7%12.0%17.4%17.4%13.3%
HV 60d15.5%15.2%15.9%15.6%15.4%
IV Rank29.6%19.4%42.2%37.2%19.4%
IV Percentile27.3%2.4%59.9%48.8%2.4%
Term Structure0.8%-0.9%2.3%-0.8%0.7%
VWIV16.3%13.4%21.2%16.6%13.4%
Skew 25d3.2%2.2%5.0%2.9%2.6%
Skew 10d8.4%5.0%12.7%9.6%7.1%
Call IV 25d12.7%11.1%15.0%15.0%11.4%
Put IV 25d15.9%14.1%17.9%17.9%14.1%
Bid-Ask Spread %84.5125.50127.2958.32125.67
Gamma HHI0.610.390.790.620.39
Net GEX-220.6K-353.5K-119.0K-198.0K-148.3K
Net DEX1.4M613.2K2.1M1.7M613.2K
Net VEX-6.5K-7.6K-4.6K-7.6K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.002.501.100.00
Total Volume8.5710642112
Total OI1,304.9051,2571,3391,2761,339

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$46.60$43.0015.3%4.4%17.4%37.2%16.6%2.9%-0.8%-198.0K1.7M-7.6K1.1058.32N/AN/A10112531,023
2014-03-04$47.31$46.0013.5%3.9%16.2%28.3%0.0%2.8%0.8%-175.7K1.3M-7.3K0.0032.43N/AN/A1102531,034
2014-03-05$47.30$46.0014.5%4.1%15.0%33.0%0.0%3.9%-0.6%-155.6K1.3M-7.5K0.0025.50N/AN/A002641,034
2014-03-06$47.89$46.0012.4%3.6%14.5%23.0%0.0%2.4%0.6%-119.0K986.9K-7.0K0.00112.55N/AN/A032641,034
2014-03-07$47.66$46.0012.3%3.7%13.2%22.3%17.0%5.0%2.3%-130.6K1.1M-6.9K2.50101.43N/AN/A252641,037
2014-03-10$47.20$46.0014.9%4.1%14.0%35.0%0.0%3.5%0.6%-176.7K1.3M-7.0K0.0033.57N/AN/A002621,042
2014-03-11$46.79$46.0014.4%4.0%14.4%32.6%21.2%4.0%1.0%-199.9K1.6M-7.0K0.0099.18N/AN/A052621,042
2014-03-12$46.74$46.0014.0%4.0%12.0%30.8%0.0%2.5%1.1%-228.8K1.6M-7.0K0.0028.99N/AN/A002621,047
2014-03-13$46.45$46.0016.3%4.7%12.1%42.2%14.7%4.7%-0.9%-232.7K1.9M-7.0K0.0066.76N/AN/A012621,047
2014-03-14$46.20$46.0015.1%4.3%12.3%36.1%15.1%3.6%0.7%-262.8K2.0M-6.9K0.0077.87N/AN/A0102621,046
2014-03-17$46.76$46.0013.8%4.0%12.3%30.0%0.0%4.0%1.5%-224.9K1.7M-6.6K0.0076.89N/AN/A002621,056
2014-03-18$47.03$46.0013.5%3.9%12.4%28.3%0.0%2.7%1.4%-227.4K1.4M-6.1K0.00107.29N/AN/A002621,056
2014-03-19$46.33$46.0014.7%4.2%13.5%34.2%0.0%3.5%1.0%-297.1K1.9M-6.3K0.00115.34N/AN/A062621,056
2014-03-20$46.09$46.0013.7%3.9%13.2%29.4%0.0%2.9%1.9%-353.5K2.1M-6.4K0.0031.58N/AN/A002621,056
2014-03-21$46.39$46.0014.1%4.0%13.4%31.4%0.0%3.2%1.6%-319.8K1.9M-6.1K0.0069.16N/AN/A1902621,056
2014-03-24$46.59$46.0013.1%3.8%13.1%26.5%0.0%3.1%0.5%-296.6K1.7M-6.0K0.23120.40N/AN/A1332311,026
2014-03-25$47.16$46.0012.9%3.7%13.6%25.2%0.0%3.4%1.1%-241.2K1.2M-5.7K0.00127.29N/AN/A502441,026
2014-03-26$47.27$46.0013.4%3.9%13.6%28.0%13.4%2.3%0.4%-217.0K1.1M-5.7K0.00117.70N/AN/A0642491,026
2014-03-27$47.47$47.0013.4%3.8%13.5%27.6%0.0%2.2%0.5%-233.0K1.1M-5.8K0.00123.58N/AN/A002491,090
2014-03-28$47.80$47.0011.8%3.4%13.6%20.1%0.0%2.4%1.1%-194.9K868.7K-5.4K0.00123.16N/AN/A002491,090
2014-03-31$48.09$47.0011.7%3.3%13.3%19.4%0.0%2.6%0.7%-148.3K613.2K-4.6K0.00125.67N/AN/A1202491,090