EPP Options History — April 2014

In April 2014, EPP traded between $48.39 and $49.88. ATM implied volatility averaged 12.6%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.5% (HV 20d: 11.0%). Max pain ranged from $47.00 to $49.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2014-04-24: Highest Volume — 74 contracts
  • 2014-04-10: Largest IV spike — 25.5% change
  • 2014-04-14: Highest IV Rank — 33.3%
  • 2014-04-14: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.24$48.39$49.88$48.39$49.39
Max Pain$48.71$47.00$49.00$47.00$49.00
ATM IV12.6%10.4%14.5%12.7%12.8%
Expected Move3.6%3.3%4.2%3.6%3.7%
HV 20d11.0%9.8%12.5%12.5%10.3%
HV 60d15.1%13.3%15.9%15.4%13.3%
IV Rank23.7%13.0%33.3%24.3%25.0%
IV Percentile15.1%0.8%41.7%13.1%19.4%
Term Structure1.0%0.1%2.3%0.1%0.1%
VWIV12.1%11.3%13.0%11.3%13.0%
Skew 25d3.0%1.8%4.7%3.9%3.0%
Skew 10d7.1%1.4%12.7%12.7%3.7%
Call IV 25d11.5%9.5%13.2%9.7%11.1%
Put IV 25d14.5%13.3%16.3%13.6%14.1%
Bid-Ask Spread %106.3192.58128.96125.95124.04
Gamma HHI0.250.190.340.340.19
Net GEX29.4K-108.1K99.2K-108.1K42.0K
Net DEX33.6K-302.3K407.3K407.3K158.3K
Net VEX-3.2K-4.3K-2.6K-4.3K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.006.000.000.00
Total Volume16.76207470
Total OI1,052.0484971,4261,351511

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$48.39$47.0012.7%3.6%12.5%24.3%0.0%3.9%0.1%-108.1K407.3K-4.3K0.00125.95N/AN/A702611,090
2014-04-02$48.52$47.0011.5%3.3%12.5%18.3%0.0%3.4%0.8%-66.6K256.9K-3.8K0.00127.48N/AN/A002581,090
2014-04-03$48.40$47.0012.6%3.6%11.8%24.0%0.0%4.0%0.3%-54.0K257.1K-3.8K0.00128.96N/AN/A602581,090
2014-04-04$48.45$49.0012.5%3.8%11.7%23.4%0.0%2.7%1.4%-27.7K182.4K-3.5K0.00101.13N/AN/A2102641,090
2014-04-07$48.43$49.0013.8%3.8%11.0%29.7%0.0%3.7%1.2%-38.5K229.3K-3.1K0.00102.31N/AN/A4202471,090
2014-04-08$49.17$49.0011.6%3.5%11.4%19.0%11.3%2.7%2.0%67.1K-72.8K-2.6K0.2098.16N/AN/A4492531,090
2014-04-09$49.86$49.0010.4%3.3%12.0%13.0%0.0%3.0%2.1%81.2K-302.3K-2.8K0.0093.66N/AN/A4202871,095
2014-04-10$49.42$49.0013.0%3.7%12.3%25.9%13.0%3.3%1.7%94.5K-282.6K-3.2K0.0092.58N/AN/A603241,095
2014-04-11$49.36$49.0013.5%3.9%12.0%28.4%0.0%3.0%1.3%89.2K-297.7K-3.3K0.0094.01N/AN/A503261,095
2014-04-14$49.45$49.0014.5%4.2%11.5%33.3%0.0%2.8%0.9%89.0K-290.8K-3.2K6.0098.67N/AN/A163311,095
2014-04-15$49.11$49.0014.0%4.0%12.0%30.7%0.0%3.1%1.2%99.2K-202.1K-3.1K0.00103.15N/AN/A003311,095
2014-04-16$49.54$49.0012.6%3.6%10.3%23.7%0.0%2.5%1.6%83.0K-231.3K-3.0K0.00103.44N/AN/A1803061,095
2014-04-17$49.65$49.0011.8%3.4%9.8%20.0%0.0%2.9%2.3%-55.9K405.7K-4.0K0.0098.35N/AN/A2103221,095
2014-04-21$49.60$49.0012.7%3.6%9.9%24.5%0.0%3.5%0.8%43.9K57.6K-3.3K0.0095.94N/AN/A00241284
2014-04-22$49.88$49.0012.4%3.6%9.9%23.0%0.0%2.6%0.6%47.9K-325-3.1K0.00110.12N/AN/A00241284
2014-04-23$49.61$49.0011.9%3.4%9.8%20.4%0.0%1.8%1.0%49.3K43.3K-3.1K0.00111.72N/AN/A00241284
2014-04-24$49.53$49.0012.4%3.6%10.0%23.0%0.0%4.7%0.2%49.2K54.6K-3.0K0.00109.97N/AN/A740241284
2014-04-25$49.23$49.0012.3%3.5%10.4%22.3%0.0%2.3%0.8%45.2K117.2K-2.8K0.00102.99N/AN/A360231284
2014-04-28$49.59$49.0011.6%3.3%10.4%18.9%0.0%2.0%0.9%43.6K103.6K-2.7K0.00109.02N/AN/A00213284
2014-04-29$49.45$49.0013.2%3.8%10.4%26.7%0.0%2.3%0.1%43.6K112.6K-2.6K0.00100.95N/AN/A014213284
2014-04-30$49.39$49.0012.8%3.7%10.3%25.0%0.0%3.0%0.1%42.0K158.3K-2.8K0.00124.04N/AN/A00213298