EPP Options History — December 2014

In December 2014, EPP traded between $42.78 and $46.08. ATM implied volatility averaged 17.7%, placing in the 66.1% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 3.0% (HV 20d: 14.7%). Max pain ranged from $48.00 to $48.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.99.

Notable Days

  • 2014-12-16: Highest Volume — 738 contracts
  • 2014-12-11: Largest IV drop — 32.5% change
  • 2014-12-08: Highest IV Rank — 100.0%
  • 2014-12-16: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.57$42.78$46.08$45.71$43.95
Max Pain$48.00$48.00$48.00$48.00$48.00
ATM IV17.7%12.6%23.8%20.3%14.5%
Expected Move4.4%3.9%5.3%4.2%4.4%
HV 20d14.7%13.2%15.9%15.3%13.6%
HV 60d15.5%14.9%16.0%16.0%15.1%
IV Rank66.1%30.2%100.0%91.7%42.1%
IV Percentile85.8%40.5%100.0%98.4%70.2%
Term Structure0.0%-4.3%3.2%-2.6%0.6%
VWIV15.0%13.6%19.2%14.7%18.0%
Skew 25d5.0%2.4%8.2%5.9%3.7%
Skew 10d10.5%5.6%15.1%12.9%6.5%
Call IV 25d14.5%12.6%16.9%16.5%14.0%
Put IV 25d19.5%16.0%22.8%22.4%17.7%
Bid-Ask Spread %77.4157.68106.2569.5857.68
Gamma HHI0.300.180.500.440.32
Net GEX-215.9K-409.4K-107.4K-336.2K-119.7K
Net DEX10.8M9.7M11.4M10.1M11.0M
Net VEX-6.9K-11.6K-4.4K-10.0K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.331.381.051.38
Total Volume528.045073857211
Total OI3,257.9553,1113,4153,1113,241

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$45.71$48.0020.3%4.2%15.3%91.7%14.7%5.9%-2.6%-336.2K10.1M-10.0K1.0569.58N/AN/A2792934652,646
2014-12-02$46.02$48.0018.7%4.2%15.1%80.0%14.9%5.5%-2.3%-407.5K9.7M-11.6K1.0182.52N/AN/A2832864652,657
2014-12-03$46.08$48.0020.1%4.2%14.9%90.1%14.6%4.8%-3.1%-397.6K9.9M-10.7K1.0266.97N/AN/A2932984692,672
2014-12-04$46.07$48.0020.7%4.3%14.7%94.5%13.6%3.2%-4.3%-409.4K9.9M-11.1K0.3378.24N/AN/A1554792,696
2014-12-05$45.93$48.0020.6%4.2%14.7%93.8%14.4%6.3%1.1%-366.3K10.1M-10.2K1.0474.87N/AN/A3003124942,701
2014-12-08$45.53$48.0021.7%4.1%14.4%100.0%14.1%5.8%1.6%-313.6K10.5M-8.9K0.9971.72N/AN/A3153124942,722
2014-12-09$45.19$48.0022.1%4.3%14.5%100.0%13.6%6.6%0.1%-246.9K10.8M-7.1K0.8975.83N/AN/A3503124942,722
2014-12-10$44.79$48.0023.8%4.2%14.3%100.0%14.3%6.0%0.6%-197.6K11.0M-6.6K0.9983.66N/AN/A3503455292,732
2014-12-11$44.73$48.0016.0%4.4%14.3%51.9%14.4%6.5%1.7%-201.8K11.1M-7.0K0.9381.01N/AN/A3613365292,777
2014-12-12$44.31$48.0017.1%4.6%14.4%58.7%14.4%6.0%-0.2%-164.8K11.3M-6.1K0.9485.60N/AN/A3713475402,788
2014-12-15$43.90$48.0017.0%4.6%13.6%57.9%15.2%5.7%1.0%-142.3K11.4M-5.4K0.9684.09N/AN/A3513385502,799
2014-12-16$43.70$48.0018.1%5.3%13.2%64.6%19.2%8.2%3.2%-115.3K11.4M-4.7K0.98106.25N/AN/A3723665532,802
2014-12-17$42.78$48.0018.4%5.0%14.4%66.4%15.9%4.9%-0.9%-107.4K11.3M-4.9K0.9885.19N/AN/A3723665812,832
2014-12-18$43.27$48.0017.9%5.0%14.9%63.2%14.9%4.3%-0.5%-137.9K11.2M-5.7K0.9574.90N/AN/A3723525812,832
2014-12-19$43.77$48.0016.3%4.8%15.9%53.5%14.0%3.8%0.5%-181.4K11.1M-6.1K1.0081.45N/AN/A995812,834
2014-12-22$44.11$0.0014.3%4.3%15.4%41.3%0.0%2.7%0.9%-177.0K10.8M-6.0K1.0270.78N/AN/A2993054812,748
2014-12-23$43.78$0.0014.9%4.3%15.5%44.6%0.0%4.9%0.1%-124.4K11.0M-4.9K1.0570.63N/AN/A2993144812,748
2014-12-24$43.90$0.0014.3%4.2%15.6%41.3%0.0%3.6%0.7%-124.2K11.0M-5.0K1.0571.39N/AN/A2993144812,758
2014-12-26$44.17$0.0015.0%4.3%15.2%45.2%0.0%5.1%-0.0%-135.2K11.0M-5.1K1.2574.45N/AN/A2513144812,758
2014-12-29$44.59$0.0012.6%3.9%14.9%30.2%0.0%2.4%1.4%-198.3K10.7M-5.7K1.3878.16N/AN/A2273144832,758
2014-12-30$44.29$0.0014.6%4.3%13.8%43.1%0.0%4.0%0.3%-143.8K10.9M-5.0K0.0078.08N/AN/A004832,758
2014-12-31$43.95$0.0014.5%4.4%13.6%42.1%18.0%3.7%0.6%-119.7K11.0M-4.4K0.0057.68N/AN/A0114832,758