EPP Options History — September 2014

In September 2014, EPP traded between $45.95 and $51.74. ATM implied volatility averaged 13.0%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.3% (HV 20d: 10.7%). Max pain ranged from $44.00 to $51.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 3.97.

Notable Days

  • 2014-09-15: Highest Volume — 217 contracts
  • 2014-09-08: Largest IV spike — 28.3% change
  • 2014-09-29: Highest IV Rank — 43.8%
  • 2014-09-30: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.05$45.95$51.74$51.19$46.07
Max Pain$46.80$44.00$51.00$51.00$44.00
ATM IV13.0%8.6%16.7%10.6%15.9%
Expected Move3.8%3.3%4.4%3.5%4.4%
HV 20d10.7%6.4%15.8%8.1%15.8%
HV 60d10.6%9.4%12.3%9.4%12.3%
IV Rank25.8%4.6%43.8%14.3%40.1%
IV Percentile52.5%0.4%92.5%12.3%87.3%
Term Structure0.5%-1.2%2.1%0.8%-0.3%
VWIV14.0%12.0%16.5%12.7%12.0%
Skew 25d2.9%2.0%3.9%2.1%3.0%
Skew 10d7.2%4.6%10.5%7.9%6.8%
Call IV 25d12.4%8.7%15.9%9.8%15.9%
Put IV 25d15.3%11.1%18.9%12.0%18.9%
Bid-Ask Spread %50.3540.4565.0742.4764.67
Gamma HHI0.600.520.750.570.54
Net GEX-383.4K-490.4K-218.8K-247.8K-483.4K
Net DEX5.0M1.7M8.9M2.3M8.7M
Net VEX-24.7K-27.4K-20.0K-23.8K-21.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.970.0030.500.000.00
Total Volume72.476521795
Total OI3,128.4762,6973,5412,6973,541

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$51.19$0.0010.6%3.5%8.1%14.3%0.0%2.1%0.8%-247.8K2.3M-23.8K0.0042.47N/AN/A904102,287
2014-09-03$51.74$0.009.4%3.5%7.4%8.4%0.0%3.3%1.3%-221.6K1.7M-22.6K0.0040.79N/AN/A1004102,287
2014-09-04$51.62$0.009.4%3.3%7.5%8.4%0.0%2.0%0.9%-218.8K1.9M-22.8K3.5040.45N/AN/A20704172,287
2014-09-05$51.52$0.008.6%3.3%6.4%4.6%0.0%3.2%2.1%-269.4K2.1M-22.8K0.0041.92N/AN/A6004372,347
2014-09-08$50.87$0.0011.1%3.5%8.2%16.6%0.0%2.9%1.2%-291.6K2.7M-24.8K3.3342.55N/AN/A3104972,347
2014-09-09$50.65$0.0011.0%3.6%8.4%16.1%0.0%2.1%1.1%-321.4K2.9M-24.6K2.5043.99N/AN/A20505002,347
2014-09-10$50.57$0.0011.7%3.6%8.3%19.4%0.0%2.0%1.8%-334.1K3.2M-25.8K0.1143.00N/AN/A90105202,387
2014-09-11$50.02$0.0013.0%3.8%8.8%25.8%0.0%2.2%1.0%-348.1K3.7M-26.5K1.0044.22N/AN/A10106102,387
2014-09-12$49.57$0.0012.9%3.6%9.0%25.4%0.0%3.3%0.8%-380.3K4.2M-26.7K0.8746.37N/AN/A23206202,387
2014-09-15$49.00$0.0014.0%3.9%9.8%31.0%0.0%3.6%0.3%-399.7K5.1M-26.2K1.4148.09N/AN/A901276372,407
2014-09-16$49.32$0.0014.0%3.9%9.9%30.6%12.7%3.4%0.4%-402.1K4.5M-26.8K0.9447.44N/AN/A87827272,532
2014-09-17$48.31$51.0014.6%4.1%11.7%33.5%0.0%3.1%0.4%-405.3K6.1M-26.5K0.0052.66N/AN/A01657872,562
2014-09-18$48.53$51.0013.4%3.9%11.6%27.6%0.0%3.9%0.8%-490.4K6.2M-27.4K0.0053.20N/AN/A3007852,708
2014-09-19$48.19$51.0014.2%3.9%11.7%31.7%12.3%2.5%0.3%-469.3K6.5M-26.8K0.0357.48N/AN/A3218152,708
2014-09-22$47.54$51.0014.2%3.4%12.2%32.0%16.5%3.2%-0.8%-456.0K6.6M-24.6K1.6057.41N/AN/A15247232,494
2014-09-23$47.64$44.0013.3%4.0%12.2%27.5%0.0%2.1%0.9%-473.6K6.5M-25.2K30.5055.14N/AN/A2617352,512
2014-09-24$47.97$44.0014.0%3.9%12.7%30.6%0.0%2.7%-0.1%-470.7K6.1M-25.9K4.2753.49N/AN/A11477372,571
2014-09-25$46.80$44.0015.3%4.1%14.6%37.3%16.5%3.5%-0.3%-463.9K7.4M-22.8K21.4357.87N/AN/A71507482,571
2014-09-26$46.89$44.0015.4%4.1%14.8%37.9%12.0%3.5%-0.3%-477.2K7.8M-24.7K0.0059.16N/AN/A3407412,721
2014-09-29$45.95$44.0016.7%4.2%15.8%43.8%0.0%3.5%-1.2%-426.2K8.9M-20.0K0.0065.07N/AN/A01377312,721
2014-09-30$46.07$44.0015.9%4.4%15.8%40.1%0.0%3.0%-0.3%-483.4K8.7M-21.1K0.0064.67N/AN/A057312,810