EPP Options History — June 2014

In June 2014, EPP traded between $49.05 and $50.43. ATM implied volatility averaged 11.7%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 3.0% (HV 20d: 8.7%). Max pain ranged from $49.00 to $58.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 5.03.

Notable Days

  • 2014-06-02: Highest Volume — 1,250 contracts
  • 2014-06-25: Largest IV spike — 41.6% change
  • 2014-06-25: Highest IV Rank — 28.1%
  • 2014-06-09: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.86$49.05$50.43$50.05$49.25
Max Pain$51.95$49.00$58.00$49.00$58.00
ATM IV11.7%9.4%13.5%11.5%10.6%
Expected Move3.5%2.7%4.0%3.3%3.0%
HV 20d8.7%7.9%10.3%7.9%10.3%
HV 60d9.2%8.6%10.0%10.0%9.5%
IV Rank19.3%8.2%28.1%18.5%14.2%
IV Percentile14.1%0.4%42.5%4.4%2.8%
Term Structure1.6%-0.7%6.5%2.1%0.9%
VWIV15.6%8.3%33.8%14.9%10.5%
Skew 25d4.3%0.9%9.4%3.3%2.3%
Skew 10d8.0%1.2%27.9%1.2%3.5%
Call IV 25d10.5%6.4%18.7%10.5%10.2%
Put IV 25d14.8%10.0%22.6%13.8%12.5%
Bid-Ask Spread %105.6993.66131.49103.1899.63
Gamma HHI0.680.460.780.460.78
Net GEX-267.5K-366.6K-81.1K-81.1K-366.6K
Net DEX4.6M1.9M5.4M1.9M5.4M
Net VEX-34.3K-38.3K-15.3K-15.3K-38.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.030.0025.0024.510.00
Total Volume92.04801,2501,25036
Total OI2,752.0481,4123,0601,4123,060

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$50.05$49.0011.5%3.3%7.9%18.5%0.0%3.3%2.1%-81.1K1.9M-15.3K24.51103.18N/AN/A491,2012451,167
2014-06-03$49.93$49.0011.5%3.3%8.0%18.7%0.0%1.6%1.3%-262.6K4.6M-34.4K0.47103.50N/AN/A38182942,367
2014-06-04$49.70$49.0012.1%3.5%8.2%21.4%0.0%4.7%0.4%-259.1K4.8M-34.9K0.00101.71N/AN/A0233322,370
2014-06-05$49.97$49.0011.9%3.4%8.4%20.7%0.0%1.1%0.7%-262.8K4.7M-35.1K25.00103.45N/AN/A3753322,393
2014-06-06$50.04$51.0011.1%3.7%8.4%16.6%0.0%4.5%1.3%-274.6K4.7M-36.1K0.0096.53N/AN/A1703342,468
2014-06-09$50.43$51.0011.9%4.0%8.7%20.3%0.0%4.5%-0.3%-269.1K4.4M-35.7K0.1096.68N/AN/A5053462,468
2014-06-10$50.31$51.0010.9%3.8%8.5%15.8%14.9%4.3%-0.5%-247.8K4.4M-35.9K0.00110.71N/AN/A033822,463
2014-06-11$50.01$51.0011.6%3.8%8.8%19.2%0.0%5.4%1.5%-244.5K4.6M-35.7K0.00102.03N/AN/A1203822,466
2014-06-12$49.86$51.0012.9%3.7%8.9%25.6%0.0%4.9%1.7%-257.5K4.8M-35.7K0.00100.87N/AN/A003942,466
2014-06-13$50.00$51.0013.1%3.8%8.9%26.6%15.7%4.3%1.3%-270.0K4.7M-35.6K0.00100.99N/AN/A0103942,466
2014-06-16$49.96$51.0013.1%3.7%8.8%26.2%0.0%3.9%0.7%-265.1K4.7M-35.3K0.0099.08N/AN/A1003942,476
2014-06-17$49.53$51.0013.1%3.8%8.9%26.4%0.0%5.5%2.2%-287.5K5.2M-35.0K0.0093.66N/AN/A1604042,476
2014-06-18$49.85$51.0012.0%3.4%8.1%20.9%8.3%6.5%3.2%-270.2K4.9M-35.3K0.20100.48N/AN/A2044202,476
2014-06-19$50.16$51.0012.1%3.5%8.0%21.3%0.0%6.5%2.0%-274.5K4.5M-35.3K0.00123.39N/AN/A004002,480
2014-06-20$49.94$51.0011.3%3.2%8.1%17.3%33.8%9.4%6.5%-271.7K4.6M-35.0K0.00131.49N/AN/A603902,480
2014-06-23$50.04$51.0012.1%3.5%8.0%21.3%0.0%6.6%2.7%-306.6K4.7M-34.7K0.00102.53N/AN/A003392,458
2014-06-24$49.54$51.009.5%2.7%8.7%8.7%0.0%2.8%3.7%-305.5K4.8M-34.5K0.00107.69N/AN/A003392,458
2014-06-25$49.05$58.0013.5%3.9%9.3%28.1%10.7%4.0%-0.7%-232.0K4.6M-34.4K0.00129.40N/AN/A0102652,458
2014-06-26$49.67$58.009.7%2.8%9.8%9.9%0.0%0.9%1.1%-298.5K4.5M-33.9K0.00107.14N/AN/A0252652,468
2014-06-27$49.73$58.009.4%2.7%9.7%8.2%0.0%2.8%2.6%-311.1K4.6M-34.2K0.00105.27N/AN/A03022652,493
2014-06-30$49.25$58.0010.6%3.0%10.3%14.2%10.5%2.3%0.9%-366.6K5.4M-38.3K0.0099.63N/AN/A0362652,795