EPP Options History — October 2014

In October 2014, EPP traded between $45.51 and $48.55. ATM implied volatility averaged 16.5%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 0.1% (HV 20d: 16.6%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.31.

Notable Days

  • 2014-10-08: Highest Volume — 734 contracts
  • 2014-10-10: Largest IV spike — 18.0% change
  • 2014-10-13: Highest IV Rank — 67.2%
  • 2014-10-15: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.85$45.51$48.55$45.94$48.55
Max Pain$44.00$44.00$44.00$44.00$44.00
ATM IV16.5%13.5%21.4%15.7%13.5%
Expected Move4.2%3.6%4.7%4.2%3.6%
HV 20d16.6%13.7%18.9%14.7%15.7%
HV 60d13.3%12.3%14.2%12.3%14.2%
IV Rank43.3%28.3%67.2%39.3%28.3%
IV Percentile87.4%63.1%99.2%86.9%63.1%
Term Structure0.5%-1.5%2.2%-0.4%1.0%
VWIV15.0%11.8%16.6%13.5%14.1%
Skew 25d4.1%2.9%6.0%4.0%2.9%
Skew 10d9.3%4.2%13.6%12.8%10.4%
Call IV 25d14.7%13.0%16.4%15.0%13.0%
Put IV 25d18.8%15.9%21.8%19.0%15.9%
Bid-Ask Spread %66.2857.9191.5368.8858.60
Gamma HHI0.540.410.640.520.64
Net GEX-479.5K-561.7K-378.6K-467.7K-517.5K
Net DEX7.5M4.6M9.5M9.2M4.6M
Net VEX-21.6K-24.4K-17.4K-19.8K-24.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.002.552.551.24
Total Volume436.652073471555
Total OI3,362.6092,9053,8433,5413,097

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$45.94$44.0015.7%4.2%14.7%39.3%13.5%4.0%-0.4%-467.7K9.2M-19.8K2.5568.88N/AN/A20517312,810
2014-10-02$46.13$44.0015.5%4.2%15.1%38.3%0.0%4.0%-0.1%-491.8K9.2M-20.3K0.0066.31N/AN/A007512,861
2014-10-03$46.17$44.0015.2%4.2%15.2%36.5%0.0%3.8%0.1%-502.6K9.1M-20.4K0.0067.87N/AN/A097512,861
2014-10-06$46.57$44.0015.5%3.6%15.8%38.3%0.0%3.5%0.5%-526.5K8.4M-22.1K0.0061.28N/AN/A01007512,859
2014-10-07$46.15$44.0016.5%4.2%15.9%43.2%0.0%3.6%-0.3%-500.6K8.6M-20.4K0.0066.90N/AN/A107512,808
2014-10-08$47.00$44.0015.3%4.0%17.8%37.0%15.4%3.6%0.4%-561.7K7.8M-22.7K2.4664.59N/AN/A2125227592,808
2014-10-09$46.30$44.0015.7%4.2%18.1%39.0%15.4%2.9%0.5%-513.6K8.8M-19.2K1.6564.78N/AN/A2624327582,810
2014-10-10$45.51$44.0018.5%4.4%18.6%52.9%16.2%4.8%-0.6%-424.6K9.5M-17.7K1.6562.47N/AN/A2624338112,810
2014-10-13$45.60$44.0021.4%4.5%18.5%67.2%16.6%4.6%-0.9%-437.1K9.4M-17.4K1.6764.89N/AN/A2594338112,810
2014-10-14$46.09$44.0020.9%4.4%18.9%64.7%16.5%4.0%-0.2%-490.0K8.9M-18.7K1.6767.14N/AN/A2594338032,810
2014-10-15$46.20$44.0020.4%4.7%17.8%62.4%16.0%5.4%-1.5%-499.9K8.7M-19.6K1.2569.51N/AN/A2863578042,810
2014-10-16$46.22$44.0018.2%4.5%17.7%51.4%11.8%5.4%-1.4%-519.4K8.6M-19.1K0.2191.53N/AN/A191418202,863
2014-10-17$46.70$44.0017.5%4.5%18.2%48.2%0.0%4.3%-0.6%-417.7K7.7M-22.3K0.0066.41N/AN/A009592,884
2014-10-20$47.01$44.0016.6%4.4%17.8%43.6%15.9%5.3%2.1%-378.6K6.5M-22.8K1.0667.75N/AN/A2352485022,403
2014-10-21$47.29$44.0016.7%4.5%17.9%43.9%16.1%3.9%1.9%-402.3K6.2M-23.2K1.1360.33N/AN/A2452775132,431
2014-10-22$47.16$44.0016.9%4.5%17.7%44.7%16.0%4.1%1.1%-416.7K6.2M-23.7K1.2257.91N/AN/A2452985212,471
2014-10-23$47.45$44.0016.3%4.3%15.5%41.9%14.8%6.0%2.2%-452.6K6.3M-23.6K1.2577.23N/AN/A2453075212,493
2014-10-24$47.77$44.0014.9%3.9%15.6%35.3%14.5%3.6%0.7%-485.6K5.9M-24.2K1.2562.22N/AN/A2453075212,523
2014-10-27$47.50$44.0016.3%4.2%13.7%42.0%14.4%4.5%1.7%-476.9K6.2M-23.5K1.1462.66N/AN/A2673055212,523
2014-10-28$48.31$44.0014.5%3.8%14.8%33.2%14.3%3.4%1.8%-503.4K5.0M-24.4K1.1466.12N/AN/A2673055432,532
2014-10-29$47.79$44.0014.4%3.8%15.4%32.6%14.1%3.7%0.9%-504.7K5.9M-23.3K1.1569.03N/AN/A2673075432,532
2014-10-30$48.24$44.0014.1%3.8%15.6%31.4%14.2%2.9%2.1%-536.9K5.1M-24.3K1.2459.95N/AN/A2483075432,543
2014-10-31$48.55$44.0013.5%3.6%15.7%28.3%14.1%2.9%1.0%-517.5K4.6M-24.2K1.2458.60N/AN/A2483075432,554