EPP Options History — July 2014

In July 2014, EPP traded between $49.50 and $51.13. ATM implied volatility averaged 10.2%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded below realized volatility by 0.4% (HV 20d: 10.6%). Max pain ranged from $48.00 to $58.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 28.18.

Notable Days

  • 2014-07-22: Highest Volume — 1,167 contracts
  • 2014-07-22: Largest IV drop — 17.5% change
  • 2014-07-31: Highest IV Rank — 17.3%
  • 2014-07-07: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.31$49.50$51.13$49.50$50.64
Max Pain$49.36$48.00$58.00$58.00$48.00
ATM IV10.2%8.8%11.3%10.9%11.3%
Expected Move2.9%2.5%3.2%3.1%3.2%
HV 20d10.6%9.3%11.8%10.5%9.5%
HV 60d9.1%8.6%9.8%9.6%9.5%
IV Rank12.3%5.2%17.3%15.4%17.3%
IV Percentile4.4%0.4%13.5%3.6%13.5%
Term Structure1.0%-0.4%2.0%1.3%-0.4%
VWIV10.6%10.6%10.6%10.6%10.6%
Skew 25d2.3%0.1%4.9%0.3%3.9%
Skew 10d4.3%0.5%18.3%0.8%5.8%
Call IV 25d9.3%7.6%10.9%9.8%10.0%
Put IV 25d11.5%8.3%14.0%10.1%14.0%
Bid-Ask Spread %101.0193.98112.17100.1196.01
Gamma HHI0.740.610.860.760.84
Net GEX-394.3K-581.4K-267.6K-356.0K-496.2K
Net DEX4.5M3.7M5.4M5.3M4.4M
Net VEX-38.5K-46.9K-34.6K-37.6K-41.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio28.180.00165.710.000.00
Total Volume113.77301,167120
Total OI3,230.1362,9123,9323,0303,453

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$49.50$58.0010.9%3.1%10.5%15.4%0.0%0.3%1.3%-356.0K5.3M-37.6K0.00100.11N/AN/A1202652,765
2014-07-02$50.00$58.009.6%2.8%11.0%9.2%0.0%2.9%1.2%-335.3K4.8M-37.1K0.00102.45N/AN/A102772,765
2014-07-03$50.04$58.009.1%2.6%10.8%6.7%0.0%0.5%1.7%-324.8K4.8M-37.0K0.00103.50N/AN/A102782,765
2014-07-07$50.05$48.009.9%3.2%10.8%10.9%0.0%2.5%1.3%-371.7K4.8M-36.6K0.0098.30N/AN/A002792,765
2014-07-08$49.88$48.0010.9%3.1%10.4%15.8%0.0%2.4%1.5%-322.3K4.8M-37.0K0.0099.83N/AN/A0252792,765
2014-07-09$49.74$48.0010.8%3.1%10.5%15.2%0.0%2.5%1.6%-342.7K5.0M-37.2K12.50108.27N/AN/A81002792,790
2014-07-10$49.58$48.0010.6%3.0%10.3%13.9%0.0%4.9%0.9%-372.2K5.4M-38.4K0.00100.53N/AN/A03572852,890
2014-07-11$50.00$48.0010.9%3.1%10.7%15.7%0.0%2.2%1.2%-296.2K4.7M-35.8K0.00102.01N/AN/A002852,743
2014-07-14$50.20$48.0011.1%3.2%10.8%16.8%0.0%3.0%1.1%-300.6K4.3M-35.2K0.00106.09N/AN/A002852,743
2014-07-15$49.97$48.0010.8%3.1%10.9%14.8%0.0%0.1%1.4%-267.6K4.6M-35.2K0.00112.17N/AN/A0122852,743
2014-07-16$50.24$48.0010.4%3.0%10.6%13.1%0.0%2.4%1.9%-307.3K4.3M-35.1K0.00107.39N/AN/A002852,755
2014-07-17$49.72$48.0010.3%3.0%11.0%12.9%0.0%0.9%2.0%-306.1K4.3M-34.6K0.0093.98N/AN/A0102852,728
2014-07-18$50.33$48.0010.9%3.1%11.7%15.4%0.0%2.9%1.9%-306.1K4.2M-35.0K22.20109.79N/AN/A102222852,738
2014-07-21$50.22$48.0011.1%3.2%11.6%16.7%0.0%4.3%-0.2%-387.6K4.1M-37.0K0.0098.54N/AN/A0402452,667
2014-07-22$50.59$48.009.2%2.6%11.8%7.2%10.6%3.3%0.9%-413.2K3.7M-36.3K165.7197.05N/AN/A71,1602452,707
2014-07-23$51.08$48.009.1%2.6%11.6%6.6%0.0%1.3%0.9%-567.4K4.7M-46.9K0.0096.31N/AN/A042523,677
2014-07-24$51.04$48.008.8%2.5%10.8%5.2%0.0%1.1%1.3%-572.9K4.7M-46.7K0.0096.24N/AN/A032523,677
2014-07-25$50.85$48.009.4%2.7%10.2%8.4%0.0%2.7%0.6%-581.4K5.0M-46.7K25.05100.04N/AN/A205012523,680
2014-07-28$50.99$48.009.6%2.7%10.2%9.0%0.0%2.8%0.6%-487.7K4.0M-40.3K0.0098.81N/AN/A1002533,190
2014-07-29$51.07$48.009.9%2.8%9.4%10.5%0.0%2.0%0.1%-483.3K3.8M-39.9K0.0097.81N/AN/A002633,190
2014-07-30$51.13$48.0010.4%3.0%9.3%13.3%0.0%1.7%0.1%-475.7K3.8M-40.0K0.0096.97N/AN/A002633,190
2014-07-31$50.64$48.0011.3%3.2%9.5%17.3%0.0%3.9%-0.4%-496.2K4.4M-41.4K0.0096.01N/AN/A002633,190