EPP Options History — March 2015

In March 2015, EPP traded between $44.31 and $46.69. ATM implied volatility averaged 15.2%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.3% (HV 20d: 14.9%). Max pain ranged from $46.00 to $46.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 8.47.

Notable Days

  • 2015-03-31: Highest Volume — 505 contracts
  • 2015-03-12: Largest IV drop — 19.5% change
  • 2015-03-10: Highest IV Rank — 84.8%
  • 2015-03-10: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.64$44.31$46.69$46.40$45.36
Max Pain$46.00$46.00$46.00$46.00$46.00
ATM IV15.2%10.6%21.5%16.1%17.5%
Expected Move4.3%3.0%5.4%4.6%5.0%
HV 20d14.9%9.9%18.5%11.9%18.5%
HV 60d13.6%12.6%14.4%12.6%14.3%
IV Rank43.5%13.1%84.8%49.1%58.3%
IV Percentile64.4%12.3%98.8%80.2%88.5%
Term Structure0.8%-0.7%3.2%-0.5%-0.7%
VWIV16.1%11.3%23.0%14.8%18.2%
Skew 25d4.1%2.1%6.2%3.2%4.4%
Skew 10d10.1%6.3%13.2%9.6%8.8%
Call IV 25d13.4%9.2%16.8%14.9%15.7%
Put IV 25d17.5%13.5%21.6%18.1%20.1%
Bid-Ask Spread %88.4274.0297.1790.4190.63
Gamma HHI0.190.140.310.150.18
Net GEX-51.2K-83.6K-32.7K-32.7K-63.2K
Net DEX1.5M1.3M1.9M1.4M1.6M
Net VEX-3.7K-4.4K-3.3K-4.4K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.470.0056.005.526.32
Total Volume164.3640505398505
Total OI879.682812938812938

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$46.40$46.0016.1%4.6%11.9%49.1%14.8%3.2%-0.5%-32.7K1.4M-4.4K5.5290.41N/AN/A61337204608
2015-03-03$46.48$46.0016.3%4.7%10.5%50.5%15.3%2.7%-0.5%-33.3K1.3M-4.4K5.5491.15N/AN/A61338204608
2015-03-04$46.26$46.0016.3%4.7%9.9%50.9%15.3%2.1%-0.5%-36.2K1.4M-4.3K5.5488.52N/AN/A61338204609
2015-03-05$45.93$46.0016.1%4.5%10.2%49.0%16.5%4.6%1.1%-37.3K1.4M-4.2K5.5475.21N/AN/A61338204609
2015-03-06$45.34$46.0018.3%4.8%10.5%63.9%17.6%5.5%0.5%-40.4K1.6M-4.0K5.4474.02N/AN/A61332204609
2015-03-09$45.31$46.0019.2%5.0%10.3%69.8%0.0%4.9%0.2%-43.5K1.6M-4.0K0.0078.42N/AN/A04204614
2015-03-10$44.34$46.0021.5%5.4%12.8%84.8%16.8%4.8%-0.2%-48.9K1.8M-3.6K8.0078.94N/AN/A432204618
2015-03-11$44.31$46.0018.4%5.3%12.7%64.3%23.0%5.2%0.3%-60.3K1.8M-3.6K56.0080.34N/AN/A156208639
2015-03-12$45.15$46.0014.8%4.2%14.2%40.5%14.4%6.2%1.0%-66.5K1.7M-3.7K8.0091.00N/AN/A18208694
2015-03-13$44.44$46.0016.0%4.6%15.2%48.3%16.0%3.8%1.0%-83.6K1.9M-3.7K7.0087.19N/AN/A428208702
2015-03-16$44.88$46.0014.7%4.2%14.7%40.3%13.7%4.6%1.9%-78.0K1.8M-3.7K0.0087.11N/AN/A10208705
2015-03-17$44.63$46.0014.6%4.2%14.7%39.4%14.5%3.0%1.4%-81.3K1.8M-3.7K0.0088.29N/AN/A30209705
2015-03-18$45.68$46.0012.3%3.5%17.0%23.8%0.0%4.4%3.0%-58.1K1.6M-3.5K11.0094.92N/AN/A222209705
2015-03-19$45.49$46.0014.3%4.1%17.0%37.2%0.0%2.9%1.9%-59.2K1.6M-3.5K0.0089.22N/AN/A00211714
2015-03-20$46.37$46.0011.9%3.4%18.4%21.7%0.0%3.7%3.2%-47.2K1.4M-3.5K0.0097.17N/AN/A00211714
2015-03-23$46.63$46.0010.7%3.1%18.4%13.6%11.3%4.3%1.7%-40.6K1.3M-3.3K0.0095.56N/AN/A160206691
2015-03-24$46.69$46.0010.6%3.0%18.2%13.1%0.0%4.7%1.4%-34.0K1.3M-3.3K0.0096.90N/AN/A00222691
2015-03-25$46.37$46.0012.2%3.5%18.3%23.2%0.0%3.9%1.4%-37.4K1.3M-3.4K0.0095.24N/AN/A00222691
2015-03-26$46.21$46.0013.4%3.9%18.1%31.7%15.6%4.4%0.7%-47.7K1.4M-3.3K5.6492.58N/AN/A69389222691
2015-03-27$46.03$46.0013.9%4.0%18.1%34.7%0.0%3.4%0.4%-46.7K1.4M-3.4K0.0090.72N/AN/A00222691
2015-03-30$45.85$46.0015.9%4.6%18.2%48.0%17.9%3.8%-0.5%-50.4K1.5M-3.4K6.0091.68N/AN/A69414222691
2015-03-31$45.36$46.0017.5%5.0%18.5%58.3%18.2%4.4%-0.7%-63.2K1.6M-3.3K6.3290.63N/AN/A69436222716