EPP Options History — May 2014

In May 2014, EPP traded between $49.04 and $50.30. ATM implied volatility averaged 12.0%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 4.1% (HV 20d: 7.9%). Max pain ranged from $48.00 to $50.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 4.43.

Notable Days

  • 2014-05-30: Highest Volume — 449 contracts
  • 2014-05-15: Largest IV spike — 12.6% change
  • 2014-05-05: Highest IV Rank — 27.2%
  • 2014-05-06: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.60$49.04$50.30$49.14$50.05
Max Pain$49.05$48.00$50.00$49.00$49.00
ATM IV12.0%10.6%13.3%12.7%11.7%
Expected Move3.5%3.2%3.8%3.6%3.4%
HV 20d7.9%5.9%10.5%10.5%7.9%
HV 60d10.9%10.2%12.7%12.7%10.3%
IV Rank20.8%14.0%27.2%24.6%19.6%
IV Percentile10.4%1.2%27.0%18.7%7.9%
Term Structure0.7%0.1%1.4%0.4%0.5%
VWIV12.5%10.9%14.1%12.5%10.9%
Skew 25d2.9%2.4%3.7%2.5%3.6%
Skew 10d7.1%3.3%10.2%8.0%5.9%
Call IV 25d11.3%10.2%12.0%12.0%10.4%
Put IV 25d14.2%12.6%15.1%14.5%14.0%
Bid-Ask Spread %91.7078.51109.29106.3796.77
Gamma HHI0.260.170.420.180.31
Net GEX49.5K-11.3K91.3K39.2K-10.7K
Net DEX167.8K-43.1K918.8K188.7K918.8K
Net VEX-3.2K-8.6K-2.4K-2.7K-8.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.430.0048.890.0048.89
Total Volume46.8104490449
Total OI579.143511967511967

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$49.14$49.0012.7%3.6%10.5%24.6%0.0%2.5%0.4%39.2K188.7K-2.7K0.00106.37N/AN/A00213298
2014-05-02$49.21$49.0012.4%3.6%10.4%23.0%0.0%3.2%0.6%42.4K169.3K-2.7K0.00109.29N/AN/A40213298
2014-05-05$49.15$0.0013.3%3.8%10.4%27.2%12.5%3.0%1.0%43.9K181.8K-2.7K0.0092.90N/AN/A60217298
2014-05-06$49.27$50.0012.4%3.8%10.4%22.7%12.1%2.9%0.7%50.8K137.2K-2.6K0.0090.81N/AN/A100223298
2014-05-07$49.23$50.0012.8%3.7%9.0%25.0%0.0%2.8%1.0%54.0K134.7K-2.7K0.0078.51N/AN/A00233298
2014-05-08$49.26$50.0011.3%3.6%7.3%17.6%0.0%2.9%1.0%59.5K121.3K-2.7K0.0091.30N/AN/A00233298
2014-05-09$49.35$50.0011.6%3.6%6.7%19.0%0.0%3.1%1.0%61.8K122.7K-2.6K0.0080.59N/AN/A00233298
2014-05-12$49.70$50.0010.6%3.5%7.1%14.0%14.1%3.0%0.9%69.2K30.1K-2.5K0.0081.99N/AN/A10233298
2014-05-13$49.78$48.0011.5%3.4%7.1%18.5%0.0%3.0%0.5%73.8K20.1K-2.5K0.0092.71N/AN/A00234298
2014-05-14$49.87$48.0010.6%3.3%6.6%14.2%11.6%2.8%1.4%77.6K-9.8K-2.4K0.0092.98N/AN/A120234298
2014-05-15$49.85$48.0011.9%3.4%5.9%20.8%0.0%2.6%0.5%87.0K-6.0K-2.5K0.0089.18N/AN/A20240298
2014-05-16$50.00$48.0012.0%3.4%5.9%20.8%12.6%2.7%0.3%91.3K-43.1K-2.5K0.0088.04N/AN/A510240298
2014-05-19$49.59$49.0011.8%3.4%6.7%20.1%13.4%3.7%0.4%50.8K65.2K-2.5K0.0087.81N/AN/A10237298
2014-05-20$49.04$49.0013.1%3.8%7.4%26.5%12.9%3.2%0.4%42.4K171.6K-2.5K4.2987.92N/AN/A730238298
2014-05-21$49.42$49.0013.0%3.7%7.8%26.0%0.0%2.8%0.7%35.1K172.0K-2.8K0.0087.91N/AN/A00237328
2014-05-22$49.64$49.0011.8%3.4%7.9%19.8%10.9%3.1%1.0%38.1K125.1K-2.7K0.0089.78N/AN/A50237328
2014-05-23$49.82$49.0012.0%3.4%7.7%20.8%0.0%2.5%0.1%46.6K62.7K-2.6K0.0099.39N/AN/A20242328
2014-05-27$50.00$49.0011.7%3.4%7.4%19.5%0.0%3.2%0.3%49.0K52.3K-2.5K0.0091.67N/AN/A03240328
2014-05-28$49.85$49.0011.6%3.3%7.4%19.2%0.0%2.7%1.4%48.0K73.2K-2.4K0.0094.16N/AN/A0400240327
2014-05-29$50.30$49.0011.2%3.2%7.9%17.2%0.0%2.4%1.1%-11.3K835.6K-8.6K0.0095.53N/AN/A00240727
2014-05-30$50.05$49.0011.7%3.4%7.9%19.6%0.0%3.6%0.5%-10.7K918.8K-8.6K48.8996.77N/AN/A9440240727