EPP Options History — June 2015

In June 2015, EPP traded between $43.01 and $46.14. ATM implied volatility averaged 16.6%, placing in the 52.3% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.8% (HV 20d: 13.8%). Max pain ranged from $47.00 to $51.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.20.

Notable Days

  • 2015-06-18: Highest Volume — 685 contracts
  • 2015-06-25: Largest IV spike — 65.9% change
  • 2015-06-30: Highest IV Rank — 84.5%
  • 2015-06-30: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.07$43.01$46.14$45.72$43.40
Max Pain$50.45$47.00$51.00$47.00$51.00
ATM IV16.6%10.5%21.4%17.0%21.4%
Expected Move4.7%3.0%6.1%4.9%6.1%
HV 20d13.8%11.4%17.3%15.0%17.3%
HV 60d15.2%14.2%16.4%16.4%16.1%
IV Rank52.3%12.4%84.5%55.3%84.5%
IV Percentile68.9%9.9%97.6%82.5%97.6%
Term Structure-0.1%-2.0%2.7%-1.4%-1.8%
VWIV22.1%15.2%26.8%17.6%24.8%
Skew 25d6.9%4.9%8.8%4.9%6.5%
Skew 10d13.0%-7.1%18.6%6.3%18.6%
Call IV 25d14.8%11.8%19.3%15.7%18.9%
Put IV 25d21.8%19.3%25.4%20.6%25.4%
Bid-Ask Spread %94.9376.56114.1085.1999.23
Gamma HHI0.130.100.200.200.12
Net GEX4.7K-19.4K20.6K20.6K-15.8K
Net DEX1.5M1.3M1.6M1.3M1.6M
Net VEX-1.9K-2.7K-1.4K-2.4K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.201.071.461.111.46
Total Volume599.9091685636596
Total OI970.0458711,036980930

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$45.72$47.0017.0%4.9%15.0%55.3%17.6%4.9%-1.4%20.6K1.3M-2.4K1.1185.19N/AN/A302334480500
2015-06-02$45.81$47.0016.7%4.8%15.0%52.9%0.0%6.0%-0.8%19.5K1.3M-2.5K0.0086.67N/AN/A01476504
2015-06-03$45.85$47.0017.5%5.0%15.0%58.7%15.2%5.1%-1.4%19.1K1.3M-2.7K1.1188.01N/AN/A302335480507
2015-06-04$44.92$51.0019.9%5.4%15.7%74.4%22.6%7.9%-0.7%6.3K1.4M-2.3K1.1682.02N/AN/A305355480507
2015-06-05$44.63$51.0018.7%5.1%15.6%66.3%21.7%7.5%-0.3%1.5K1.5M-2.0K1.1376.56N/AN/A305346481527
2015-06-08$44.58$51.0019.6%4.9%14.7%72.1%23.6%7.9%-0.2%1.5K1.5M-1.8K1.1385.13N/AN/A305346481527
2015-06-09$44.38$51.0021.3%5.5%13.9%83.5%24.4%7.8%-2.0%-2.6K1.6M-1.7K1.1393.68N/AN/A305346481527
2015-06-10$44.99$51.0015.7%4.5%13.9%46.8%21.4%7.9%0.4%3.6K1.5M-1.7K1.1385.82N/AN/A305346481527
2015-06-11$45.25$51.0015.8%4.5%13.3%47.5%20.3%8.7%0.5%6.8K1.5M-1.9K1.1389.07N/AN/A305346481527
2015-06-12$45.13$51.0016.6%4.8%12.9%52.5%20.9%7.0%-0.2%3.3K1.5M-1.7K1.1089.88N/AN/A315346481527
2015-06-15$45.03$51.0016.6%4.8%12.4%52.8%20.9%7.0%0.2%5.2K1.5M-1.6K1.1197.94N/AN/A314348491527
2015-06-16$45.23$51.0016.4%4.7%12.0%51.0%21.9%7.0%-0.3%1.6K1.5M-1.6K1.0790.77N/AN/A326348491529
2015-06-17$45.48$51.0016.7%4.8%11.7%53.2%23.6%8.3%-0.4%3.9K1.4M-1.8K1.09106.90N/AN/A324354488529
2015-06-18$45.64$51.0010.5%3.0%11.8%12.4%24.0%7.2%2.7%-6.0K1.4M-1.8K1.07107.35N/AN/A331354490539
2015-06-19$45.72$51.0010.7%3.1%11.4%13.7%20.0%6.5%1.7%7.9K1.4M-1.7K1.0798.93N/AN/A324346497539
2015-06-22$45.93$51.0010.8%3.1%11.6%14.0%19.6%6.6%1.4%12.3K1.4M-1.7K1.3399.90N/AN/A236313367504
2015-06-23$46.14$51.0014.4%4.1%11.8%38.1%22.1%5.7%1.3%14.3K1.4M-1.8K1.33114.10N/AN/A236313367504
2015-06-24$45.91$51.0010.5%3.0%11.8%12.6%24.4%8.8%2.3%8.4K1.3M-2.2K1.30106.55N/AN/A241313367504
2015-06-25$44.77$51.0017.5%5.0%14.0%58.6%26.8%6.4%-0.5%10.7K1.4M-1.7K1.33104.90N/AN/A242321372504
2015-06-26$44.04$51.0018.9%5.4%15.0%68.2%22.6%5.8%-1.1%-3041.5M-1.4K1.4099.32N/AN/A238334373512
2015-06-29$43.01$51.0021.0%6.0%16.8%81.6%25.2%6.0%-1.7%-19.4K1.6M-1.4K1.46100.47N/AN/A242354379556
2015-06-30$43.40$51.0021.4%6.1%17.3%84.5%24.8%6.5%-1.8%-15.8K1.6M-1.4K1.4699.23N/AN/A242354374556