EPP Options History — August 2014

In August 2014, EPP traded between $49.74 and $51.51. ATM implied volatility averaged 11.2%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 1.5% (HV 20d: 9.6%). Max pain ranged from $48.00 to $50.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 19.87.

Notable Days

  • 2014-08-05: Highest Volume — 1,177 contracts
  • 2014-08-14: Largest IV drop — 25.5% change
  • 2014-08-13: Highest IV Rank — 29.8%
  • 2014-08-13: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.75$49.74$51.51$50.47$51.12
Max Pain$49.80$48.00$50.00$48.00$50.00
ATM IV11.2%9.7%13.8%11.7%10.0%
Expected Move3.4%2.9%3.6%3.4%3.5%
HV 20d9.6%8.2%11.2%9.6%8.2%
HV 60d9.7%9.4%10.0%9.5%9.4%
IV Rank16.9%9.5%29.8%19.7%10.9%
IV Percentile17.7%4.4%60.7%21.0%6.3%
Term Structure0.6%-0.1%1.3%-0.1%1.0%
VWIV11.7%10.8%12.4%12.0%10.8%
Skew 25d2.7%0.9%3.5%2.8%1.6%
Skew 10d6.9%4.4%10.2%4.4%6.7%
Call IV 25d10.1%8.7%11.7%10.5%9.7%
Put IV 25d12.8%11.3%14.4%13.3%11.3%
Bid-Ask Spread %63.6941.2896.1896.1841.28
Gamma HHI0.670.570.830.830.58
Net GEX-318.0K-536.8K-234.6K-499.3K-252.5K
Net DEX3.0M1.9M5.5M4.6M2.4M
Net VEX-28.8K-42.4K-24.3K-41.3K-24.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio19.870.00167.140.000.00
Total Volume177.42901,177370
Total OI2,768.7622,4643,5923,4532,697

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$50.47$48.0011.7%3.4%9.6%19.7%0.0%2.8%-0.1%-499.3K4.6M-41.3K0.0096.18N/AN/A3702633,190
2014-08-04$50.65$0.0010.6%3.2%9.7%14.3%12.0%2.8%0.5%-485.8K4.3M-41.4K8.6779.44N/AN/A121043003,190
2014-08-05$50.04$50.0012.6%3.4%10.6%23.9%12.0%3.1%-0.1%-536.8K5.5M-42.4K167.1479.25N/AN/A71,1703093,283
2014-08-06$50.22$50.0011.8%3.4%10.6%20.0%0.0%2.8%0.4%-400.1K4.1M-33.4K0.0081.43N/AN/A003162,641
2014-08-07$49.74$50.0012.7%3.3%11.2%24.3%0.0%3.2%0.7%-428.6K4.6M-34.0K0.0079.80N/AN/A01,0003162,641
2014-08-08$49.74$50.0011.3%3.3%10.7%17.6%0.0%2.8%0.2%-340.9K3.8M-28.8K0.0080.78N/AN/A01,0003162,235
2014-08-11$49.90$50.0013.1%3.4%10.7%26.3%11.5%2.2%0.4%-335.6K3.6M-28.2K0.0082.30N/AN/A3203162,211
2014-08-12$50.14$50.0011.5%3.3%10.7%18.4%11.6%0.9%0.9%-291.0K3.3M-28.2K0.7191.03N/AN/A42303472,211
2014-08-13$50.49$50.0013.8%3.6%10.8%29.8%12.4%3.1%0.0%-294.5K3.1M-27.6K0.0077.99N/AN/A203382,241
2014-08-14$50.77$50.0010.3%2.9%10.2%12.6%10.8%3.1%0.6%-281.9K2.5M-25.0K0.9167.09N/AN/A11103382,132
2014-08-15$50.71$50.0011.2%3.2%9.3%17.2%0.0%2.1%0.6%-266.7K2.7M-26.0K0.0043.83N/AN/A0203492,132
2014-08-18$51.00$0.0010.8%3.3%9.5%15.0%0.0%3.5%0.6%-272.1K2.4M-24.5K1.4161.22N/AN/A781103322,132
2014-08-19$51.23$0.0010.9%3.5%9.3%15.4%0.0%2.1%1.0%-263.8K2.2M-25.1K0.0047.05N/AN/A004102,233
2014-08-20$51.51$0.009.7%3.4%8.8%9.5%0.0%2.3%1.1%-234.6K1.9M-24.8K0.0042.46N/AN/A054102,233
2014-08-21$51.34$0.0010.6%3.5%8.9%14.3%0.0%3.0%1.0%-258.1K2.2M-25.5K0.0046.30N/AN/A004102,237
2014-08-22$51.23$0.0010.5%3.5%8.8%13.8%0.0%3.1%0.9%-251.0K2.3M-24.9K0.0044.76N/AN/A0504102,237
2014-08-25$51.35$0.0010.5%3.5%8.8%13.7%0.0%2.3%0.7%-255.0K2.2M-25.0K0.0049.65N/AN/A604102,287
2014-08-26$51.34$0.0010.5%3.5%8.8%13.4%0.0%2.8%1.0%-249.1K2.1M-24.7K0.0050.62N/AN/A004102,287
2014-08-27$51.48$0.0010.9%3.5%8.9%15.4%0.0%3.3%0.6%-235.4K2.0M-24.6K0.0052.89N/AN/A004102,287
2014-08-28$51.30$0.009.8%3.5%8.2%10.0%0.0%3.2%1.3%-246.0K2.3M-24.6K0.0042.10N/AN/A004102,287
2014-08-29$51.12$0.0010.0%3.5%8.2%10.9%0.0%1.6%1.0%-252.5K2.4M-24.3K0.0041.28N/AN/A004102,287