EPP Options History — November 2014

In November 2014, EPP traded between $46.55 and $48.54. ATM implied volatility averaged 16.1%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.2% (HV 20d: 13.9%). Max pain ranged from $44.00 to $48.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.99.

Notable Days

  • 2014-11-20: Highest Volume — 555 contracts
  • 2014-11-13: Largest IV spike — 16.9% change
  • 2014-11-28: Highest IV Rank — 75.7%
  • 2014-11-19: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.61$46.55$48.54$47.88$46.55
Max Pain$45.32$44.00$48.00$44.00$48.00
ATM IV16.1%12.7%19.3%14.8%18.1%
Expected Move3.9%3.3%5.7%3.9%4.0%
HV 20d13.9%12.3%16.5%16.5%14.5%
HV 60d14.8%14.4%15.7%14.4%15.7%
IV Rank43.8%24.6%75.7%34.9%75.7%
IV Percentile82.1%44.8%97.6%77.0%94.8%
Term Structure-2.0%-4.4%2.2%2.2%-1.9%
VWIV14.9%13.6%23.1%14.2%17.5%
Skew 25d3.8%2.0%7.1%4.2%7.1%
Skew 10d9.7%3.8%14.0%4.7%9.9%
Call IV 25d15.1%12.7%17.6%13.3%12.7%
Put IV 25d18.9%16.8%21.4%17.5%19.9%
Bid-Ask Spread %71.9859.75146.5072.7281.58
Gamma HHI0.640.520.700.630.61
Net GEX-579.5K-660.0K-449.6K-519.3K-528.3K
Net DEX6.6M4.7M9.1M5.8M9.1M
Net VEX-19.8K-23.1K-14.4K-23.1K-14.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.990.1610.501.940.28
Total Volume336.421055540651
Total OI3,111.4212,8763,1873,0973,060

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$47.88$44.0014.8%3.9%16.5%34.9%14.2%4.2%2.2%-519.3K5.8M-23.1K1.9472.72N/AN/A1382685432,554
2014-11-04$48.09$44.0014.6%3.8%16.1%33.9%14.0%3.6%1.5%-546.3K5.5M-23.1K1.8859.75N/AN/A1382595502,565
2014-11-05$47.67$44.0014.2%3.7%15.3%31.6%13.9%2.5%1.3%-550.8K6.4M-21.9K1.9065.84N/AN/A1382625502,576
2014-11-06$47.52$44.0014.3%3.7%14.2%32.4%13.8%2.9%2.2%-545.9K6.5M-21.5K1.9060.46N/AN/A1382625502,594
2014-11-07$47.91$44.0012.7%3.7%12.6%24.6%13.7%3.7%-2.3%-584.1K6.0M-22.1K1.8962.44N/AN/A1382615502,604
2014-11-10$47.98$44.0014.0%3.7%12.6%30.7%13.8%4.0%-2.5%-611.8K5.8M-22.0K1.8962.80N/AN/A1382615502,604
2014-11-11$48.20$44.0013.7%3.7%12.3%29.2%13.6%3.5%-2.4%-604.7K5.2M-21.2K1.6360.28N/AN/A1612625422,473
2014-11-12$48.06$44.0013.8%3.7%12.4%29.6%13.9%4.8%-1.6%-644.3K5.6M-21.7K1.6464.64N/AN/A1662735652,605
2014-11-13$48.07$46.0016.1%3.7%12.4%40.9%14.0%3.8%-3.1%-650.2K5.6M-21.8K1.6460.28N/AN/A1662735652,616
2014-11-14$48.54$46.0015.4%3.3%12.4%37.7%0.0%2.0%-2.6%-640.5K4.7M-21.8K0.0076.25N/AN/A005602,616
2014-11-17$47.89$46.0016.7%3.7%13.4%44.1%14.4%3.8%-3.6%-660.0K5.8M-20.7K1.7860.76N/AN/A1532735652,616
2014-11-18$47.78$46.0018.4%3.9%13.3%52.5%14.4%2.5%-4.0%-599.4K6.1M-20.2K1.7777.46N/AN/A1542735712,616
2014-11-19$46.98$46.0018.3%5.7%14.6%51.9%23.1%3.6%-2.8%-449.6K7.5M-17.7K0.16146.50N/AN/A2545672,616
2014-11-20$46.76$46.0017.7%3.8%14.5%49.1%14.0%4.3%-4.4%-486.7K7.9M-15.9K0.9380.52N/AN/A2882675662,597
2014-11-21$47.34$46.0018.7%4.2%15.0%53.9%14.8%3.7%-4.0%-619.1K7.1M-17.9K0.9366.11N/AN/A2882674982,597
2014-11-24$47.10$46.0019.3%4.1%15.0%56.6%15.6%3.9%-3.0%-570.8K7.5M-16.7K10.5064.13N/AN/A101054152,461
2014-11-25$46.93$46.0017.9%4.0%13.5%49.8%14.5%2.4%-4.0%-569.5K8.4M-15.4K1.0980.12N/AN/A2492724252,566
2014-11-26$47.40$47.0017.8%4.1%13.6%73.3%17.5%5.0%-2.7%-628.8K8.1M-17.5K0.0065.00N/AN/A0114252,624
2014-11-28$46.55$48.0018.1%4.0%14.5%75.7%0.0%7.1%-1.9%-528.3K9.1M-14.4K0.2881.58N/AN/A40114252,635