EPP Options History — February 2015

In February 2015, EPP traded between $44.98 and $46.59. ATM implied volatility averaged 15.8%, placing in the 47.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.3% (HV 20d: 12.5%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 6.05.

Notable Days

  • 2015-02-11: Highest Volume — 595 contracts
  • 2015-02-04: Largest IV spike — 33.9% change
  • 2015-02-11: Highest IV Rank — 58.1%
  • 2015-02-11: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.84$44.98$46.59$44.98$46.29
Max Pain$45.68$44.00$46.00$44.00$46.00
ATM IV15.8%12.2%17.4%15.0%15.5%
Expected Move4.5%3.5%5.0%4.3%4.4%
HV 20d12.5%12.0%13.2%13.1%12.3%
HV 60d13.9%12.6%14.3%13.9%12.6%
IV Rank47.1%23.6%58.1%41.8%45.3%
IV Percentile77.6%33.3%90.1%72.6%75.0%
Term Structure-0.2%-1.7%1.3%0.7%-0.5%
VWIV16.0%14.4%20.0%19.3%14.4%
Skew 25d3.9%2.1%4.8%4.6%3.7%
Skew 10d10.9%7.0%13.7%12.3%9.3%
Call IV 25d14.6%11.4%15.8%13.9%14.3%
Put IV 25d18.5%15.6%20.6%18.5%18.0%
Bid-Ask Spread %83.9073.1994.5390.2292.65
Gamma HHI0.170.150.200.190.16
Net GEX-46.7K-75.5K-29.1K-75.5K-32.0K
Net DEX1.4M1.3M1.6M1.6M1.4M
Net VEX-4.5K-4.7K-4.0K-4.4K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.050.008.446.735.52
Total Volume434.05305952398
Total OI920.7377851,006906798

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$44.98$44.0015.0%4.3%13.1%41.8%0.0%4.6%0.7%-75.5K1.6M-4.4K0.0090.22N/AN/A02164742
2015-02-03$45.53$44.0012.2%3.5%12.9%23.6%19.3%4.3%1.3%-57.6K1.5M-4.0K6.7392.10N/AN/A70471164742
2015-02-04$45.34$44.0016.4%4.7%12.7%51.0%20.0%2.1%0.2%-60.8K1.5M-4.4K6.0194.53N/AN/A80481175742
2015-02-05$45.84$46.0014.5%4.2%12.6%38.8%14.7%3.6%0.2%-52.9K1.4M-4.6K6.0174.77N/AN/A80481195753
2015-02-06$45.57$46.0015.4%4.5%12.6%44.5%15.8%3.8%-0.1%-53.2K1.5M-4.6K6.2979.09N/AN/A80503195753
2015-02-09$45.49$46.0017.1%4.9%12.5%56.1%15.8%4.0%-0.8%-57.5K1.5M-4.7K6.2976.13N/AN/A80503195775
2015-02-10$45.58$46.0017.1%4.6%12.1%55.7%16.1%3.9%-0.6%-56.2K1.5M-4.7K6.2979.02N/AN/A80503195775
2015-02-11$45.13$46.0017.4%5.0%12.8%58.1%16.4%4.8%-0.3%-65.7K1.6M-4.6K6.4473.19N/AN/A80515195775
2015-02-12$45.27$46.0017.4%5.0%12.5%57.7%16.0%4.8%-0.3%-66.7K1.6M-4.7K6.4477.01N/AN/A80515195803
2015-02-13$45.91$46.0015.6%4.5%13.2%45.9%15.4%3.3%0.2%-43.0K1.4M-4.7K8.4478.01N/AN/A61515195803
2015-02-17$46.03$46.0016.1%4.6%13.1%49.4%16.1%3.9%-0.5%-36.0K1.4M-4.6K8.4480.38N/AN/A61515201803
2015-02-18$46.27$46.0016.2%4.6%12.1%50.0%16.2%4.1%-0.4%-32.8K1.3M-4.7K8.4483.46N/AN/A61515203803
2015-02-19$46.10$46.0016.1%4.6%12.0%49.5%0.0%3.7%-1.7%-34.7K1.4M-4.5K0.0084.97N/AN/A00200803
2015-02-20$46.32$46.0015.7%4.5%12.0%47.0%0.0%4.0%-0.3%-34.5K1.4M-4.6K0.0086.81N/AN/A10199803
2015-02-23$46.09$46.0016.3%4.7%12.0%50.9%15.8%4.2%-0.7%-34.3K1.4M-4.4K5.5886.07N/AN/A57318199586
2015-02-24$46.45$46.0015.7%4.5%12.1%46.4%14.8%4.1%-0.1%-32.2K1.3M-4.5K5.3085.98N/AN/A60318201586
2015-02-25$46.59$46.0014.5%4.2%12.1%38.8%14.7%3.6%-0.4%-29.1K1.3M-4.5K5.3089.47N/AN/A60318203586
2015-02-26$46.20$46.0015.4%4.4%12.4%44.6%14.5%3.4%-0.4%-33.4K1.4M-4.3K5.3190.25N/AN/A61324203586
2015-02-27$46.29$46.0015.5%4.4%12.3%45.3%14.4%3.7%-0.5%-32.0K1.4M-4.3K5.5292.65N/AN/A61337204594