EPP Options History — May 2015

In May 2015, EPP traded between $46.00 and $47.94. ATM implied volatility averaged 16.9%, placing in the 54.4% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.2% (HV 20d: 16.7%). Max pain ranged from $45.00 to $48.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.10.

Notable Days

  • 2015-05-14: Highest Volume — 752 contracts
  • 2015-05-11: Largest IV spike — 43.0% change
  • 2015-05-11: Highest IV Rank — 99.1%
  • 2015-05-11: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.90$46.00$47.94$47.61$46.00
Max Pain$47.10$45.00$48.00$45.00$47.00
ATM IV16.9%14.0%23.6%14.0%16.2%
Expected Move4.7%4.0%5.4%4.0%4.6%
HV 20d16.7%15.3%18.0%15.9%15.3%
HV 60d15.8%14.9%16.5%15.0%16.5%
IV Rank54.4%35.7%99.1%35.7%49.7%
IV Percentile76.5%48.0%99.6%48.0%72.6%
Term Structure0.1%-0.8%1.1%0.2%0.0%
VWIV14.9%12.9%18.6%18.6%15.7%
Skew 25d5.0%4.3%5.8%5.2%5.1%
Skew 10d11.4%8.6%14.9%11.5%9.3%
Call IV 25d14.8%12.3%16.5%12.3%14.8%
Put IV 25d19.8%17.5%22.3%17.5%19.9%
Bid-Ask Spread %79.0470.6395.1695.1685.29
Gamma HHI0.230.140.530.210.22
Net GEX34.0K5.5K116.5K40.1K25.5K
Net DEX1.1M858.1K1.3M858.1K1.3M
Net VEX-3.8K-5.0K-2.7K-5.0K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.001.411.251.14
Total Volume524.050752725646
Total OI995.49361,0341,029980

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$47.61$45.0014.0%4.0%15.9%35.7%18.6%5.2%0.2%40.1K858.1K-5.0K1.2595.16N/AN/A322403474555
2015-05-04$47.70$47.0015.7%4.2%15.7%46.5%0.0%4.7%0.6%47.2K860.2K-4.7K0.0077.51N/AN/A00476556
2015-05-05$47.40$47.0017.3%4.6%16.0%57.4%12.9%4.4%0.4%42.0K947.2K-4.5K1.3178.27N/AN/A322422476556
2015-05-06$46.67$47.0017.8%4.8%16.0%60.4%14.5%5.4%0.5%23.4K1.1M-4.3K1.3171.08N/AN/A322422476556
2015-05-07$46.29$47.0020.2%5.2%15.5%76.2%15.2%5.5%-0.0%13.0K1.2M-4.1K1.4170.63N/AN/A300422476556
2015-05-08$46.84$47.0016.5%4.8%16.2%52.1%0.0%5.0%0.6%26.9K1.1M-4.0K0.0072.79N/AN/A200466556
2015-05-11$46.12$47.0023.6%5.4%16.6%99.1%0.0%5.8%-0.3%5.5K1.2M-3.6K0.0073.10N/AN/A05459556
2015-05-12$46.77$47.0019.0%4.8%17.3%68.5%13.6%5.3%-0.2%23.5K1.1M-3.8K1.3974.31N/AN/A310432459561
2015-05-13$47.31$47.0016.1%4.6%17.8%49.6%13.9%5.4%-0.2%41.6K973.7K-4.1K1.3877.78N/AN/A312432459563
2015-05-14$47.59$47.0014.5%4.2%17.7%38.9%13.7%4.5%-0.2%55.4K934.7K-4.1K1.3881.58N/AN/A316436463563
2015-05-15$47.94$47.0014.5%4.2%16.6%38.6%13.5%4.3%1.1%116.5K891.6K-4.3K1.3181.16N/AN/A316413467567
2015-05-18$47.27$48.0016.3%4.7%17.4%50.5%15.2%5.5%0.8%26.8K1.0M-4.0K0.0079.35N/AN/A130438498
2015-05-19$46.73$48.0017.0%4.9%17.9%55.4%0.0%5.0%0.1%25.9K1.1M-3.6K0.0078.54N/AN/A00451498
2015-05-20$46.53$48.0016.7%4.8%17.9%53.1%15.0%4.9%-0.5%24.9K1.2M-3.5K1.1378.62N/AN/A305344451500
2015-05-21$46.88$48.0016.0%4.6%18.0%48.8%14.8%4.7%0.6%28.7K1.1M-3.6K1.1278.21N/AN/A306344452500
2015-05-22$46.86$47.0016.8%4.8%16.8%53.7%15.0%4.8%-0.8%29.6K1.1M-3.5K1.1279.67N/AN/A306344455500
2015-05-26$46.78$47.0017.3%5.0%16.7%57.4%16.4%5.2%-0.8%29.3K1.1M-3.4K1.0980.94N/AN/A317344455500
2015-05-27$46.63$47.0015.3%4.4%16.2%43.8%15.3%4.8%-0.0%31.9K1.2M-3.1K1.1782.23N/AN/A295344467500
2015-05-28$46.01$47.0016.6%4.8%15.9%52.9%15.7%4.7%-0.3%21.5K1.3M-2.7K1.1484.58N/AN/A302344467500
2015-05-29$46.00$47.0016.2%4.6%15.3%49.7%15.7%5.1%0.0%25.5K1.3M-2.8K1.1485.29N/AN/A302344480500