EPP Options History — July 2015

In July 2015, EPP traded between $41.32 and $43.99. ATM implied volatility averaged 18.7%, placing in the 59.7% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 3.0% (HV 20d: 21.7%). Max pain ranged from $40.00 to $51.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.54.

Notable Days

  • 2015-07-17: Highest Volume — 776 contracts
  • 2015-07-08: Largest IV spike — 20.4% change
  • 2015-07-08: Highest IV Rank — 100.0%
  • 2015-07-08: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.84$41.32$43.99$43.69$42.76
Max Pain$42.64$40.00$51.00$51.00$43.00
ATM IV18.7%14.6%26.1%18.5%14.6%
Expected Move5.0%4.2%6.0%5.3%4.2%
HV 20d21.7%16.5%23.5%17.5%21.1%
HV 60d17.5%15.8%18.2%16.1%17.6%
IV Rank59.7%34.4%100.0%65.4%34.4%
IV Percentile77.1%34.1%100.0%90.1%34.1%
Term Structure-0.3%-1.2%0.8%-0.5%0.8%
VWIV21.6%17.5%24.0%24.0%17.5%
Skew 25d4.9%2.9%6.8%6.6%3.3%
Skew 10d11.1%5.8%18.6%16.3%10.2%
Call IV 25d16.1%13.7%17.9%17.7%14.6%
Put IV 25d21.1%17.9%24.6%24.2%17.9%
Bid-Ask Spread %95.3972.15117.27110.88117.27
Gamma HHI0.120.090.200.120.12
Net GEX-12.6K-37.7K8.0K-12.6K3.2K
Net DEX1.1M424.2K1.8M1.6M484.4K
Net VEX-1.2K-1.4K-992-1.4K-1.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.541.351.901.461.45
Total Volume544.364390776596401
Total OI758.4094581,042930489

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$43.69$51.0018.5%5.3%17.5%65.4%24.0%6.6%-0.5%-12.6K1.6M-1.4K1.46110.88N/AN/A242354374556
2015-07-02$43.99$51.0018.6%5.3%16.5%65.9%23.0%6.1%-0.6%-8.1K1.6M-1.4K1.35100.58N/AN/A262354374556
2015-07-06$42.78$40.0022.4%5.6%19.0%90.8%21.5%6.1%-0.8%-18.7K1.6M-1.3K1.3572.15N/AN/A262354395556
2015-07-07$42.69$40.0021.7%5.5%19.0%86.1%23.8%6.2%-0.9%-21.4K1.6M-1.2K1.6580.19N/AN/A248408395556
2015-07-08$41.32$40.0026.1%6.0%21.8%100.0%23.7%6.8%-1.2%-37.7K1.8M-1.3K1.5584.05N/AN/A260403397625
2015-07-09$42.00$40.0023.2%5.7%22.1%83.3%24.0%6.5%-0.8%-36.3K1.7M-1.4K1.5578.08N/AN/A260403409625
2015-07-10$42.63$40.0020.2%5.3%22.8%66.3%23.3%5.7%-0.4%-30.9K1.6M-1.4K1.5885.53N/AN/A260412409625
2015-07-13$42.88$40.0024.2%5.4%23.1%89.2%24.0%5.5%-0.7%-29.4K1.6M-1.4K1.5888.06N/AN/A260412409625
2015-07-14$43.14$40.0022.1%5.1%23.3%77.5%23.1%4.9%-0.6%-27.9K1.6M-1.4K1.5484.06N/AN/A268412409625
2015-07-15$43.01$40.0017.8%5.1%23.1%52.7%22.5%5.1%-0.9%-34.9K1.6M-1.3K1.5490.46N/AN/A268412417625
2015-07-16$43.43$40.0017.5%5.0%23.4%50.9%23.1%3.9%-0.3%-14.9K1.5M-1.3K1.5497.86N/AN/A268414417625
2015-07-17$43.43$40.0017.8%5.1%23.3%52.3%21.3%4.2%-0.3%6.4K1.1M-1.3K1.9095.89N/AN/A268508417537
2015-07-20$43.55$43.0016.6%4.7%23.3%45.4%21.6%4.1%-0.3%6.0K440.2K-1.2K1.4699.29N/AN/A159232206252
2015-07-21$43.59$43.0015.1%4.3%23.2%36.9%20.4%4.5%0.2%8.0K424.2K-1.2K1.4496.57N/AN/A161232206252
2015-07-22$42.94$43.0016.2%4.6%23.4%43.3%19.3%4.0%0.7%3.6K465.5K-1.1K1.5797.22N/AN/A161252208252
2015-07-23$42.65$44.0016.4%4.7%23.5%44.2%19.7%5.2%0.5%-4.8K530.9K-1.2K1.5794.65N/AN/A161252204272
2015-07-24$42.16$44.0018.2%5.2%22.3%54.8%20.5%4.2%-0.4%-7.3K554.1K-1.2K1.65102.76N/AN/A153252204272
2015-07-27$41.82$44.0017.9%5.1%21.8%52.9%21.2%4.3%-0.1%-8.2K571.2K-1.1K1.65104.91N/AN/A153252205272
2015-07-28$42.62$44.0016.1%4.6%21.6%42.9%20.6%4.1%0.1%-5.2K539.5K-1.1K1.5597.55N/AN/A153237205272
2015-07-29$42.83$44.0015.6%4.5%21.4%39.8%18.9%4.0%0.5%-2.6K509.4K-1.0K1.53112.66N/AN/A155237205272
2015-07-30$42.68$44.0015.3%4.4%21.2%38.4%18.0%2.9%0.1%-3.1K516.3K-9921.45107.96N/AN/A164237207272
2015-07-31$42.76$43.0014.6%4.2%21.1%34.4%17.5%3.3%0.8%3.2K484.4K-1.0K1.45117.27N/AN/A164237217272