EPP Options History — August 2015

In August 2015, EPP traded between $35.80 and $42.82. ATM implied volatility averaged 23.5%, placing in the 55.0% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.2% (HV 20d: 22.4%). Max pain ranged from $33.00 to $43.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.20.

Notable Days

  • 2015-08-21: Highest Volume — 471 contracts
  • 2015-08-25: Largest IV spike — 168.9% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-25: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.15$35.80$42.82$42.36$37.88
Max Pain$37.45$33.00$43.00$43.00$33.00
ATM IV23.5%14.8%74.0%17.3%26.7%
Expected Move6.7%4.3%21.2%5.0%7.6%
HV 20d22.4%14.5%36.6%18.9%36.6%
HV 60d20.0%17.2%26.0%17.6%25.9%
IV Rank55.0%20.6%100.0%49.9%27.6%
IV Percentile84.1%34.9%100.0%76.6%98.8%
Term Structure-2.0%-20.5%2.4%-0.2%-3.1%
VWIV32.1%17.6%79.9%17.6%36.3%
Skew 25d4.0%-10.0%8.3%2.7%2.5%
Skew 10d7.8%-14.0%17.8%8.2%7.3%
Call IV 25d24.7%14.8%89.2%16.7%26.7%
Put IV 25d28.7%18.5%93.0%19.4%29.2%
Bid-Ask Spread %102.4883.05135.14108.57110.53
Gamma HHI0.150.100.260.100.14
Net GEX-9.0K-35.0K5.0K5.0K-4.7K
Net DEX555.1K359.4K805.9K470.5K388.9K
Net VEX-990-1.9K-648-925-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.001.801.400.94
Total Volume372.33304710453
Total OI525.048463583463579

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$42.36$43.0017.3%5.0%18.9%49.9%0.0%2.7%-0.2%5.0K470.5K-9250.00108.57N/AN/A00213250
2015-08-04$42.81$43.0015.1%4.3%19.3%36.9%17.6%3.5%0.2%3.9K479.3K-9481.40107.00N/AN/A169237217272
2015-08-05$42.82$43.0014.8%4.3%14.9%35.5%18.3%4.5%0.2%3.0K495.2K-9691.41112.57N/AN/A168237222272
2015-08-06$42.05$0.0016.9%4.8%15.5%47.1%0.0%4.8%-0.3%-1.3K545.5K-8581.4187.36N/AN/A168237232272
2015-08-07$41.88$0.0017.0%4.8%14.5%47.8%0.0%4.1%-0.2%-1.6K536.9K-8821.4190.06N/AN/A168237232272
2015-08-10$42.38$0.0018.1%4.9%15.0%54.4%0.0%4.3%-0.1%3.0K534.1K-9021.4190.17N/AN/A168237232272
2015-08-11$41.14$0.0022.0%5.4%18.0%76.6%0.0%4.8%-0.2%-5.8K537.3K-7960.7893.64N/AN/A97228250
2015-08-12$40.75$0.0018.1%5.2%18.2%54.3%0.0%4.6%-0.3%-16.2K619.7K-7491.3883.95N/AN/A172237225272
2015-08-13$40.76$0.0018.2%5.2%17.6%54.8%0.0%4.1%-0.5%-16.3K619.4K-7151.3883.05N/AN/A172237225272
2015-08-14$40.78$0.0018.2%5.2%17.6%54.7%0.0%4.7%-0.5%-16.8K613.5K-7151.3898.01N/AN/A172237225272
2015-08-17$40.74$0.0018.4%5.3%17.5%55.9%0.0%4.8%-0.3%-20.2K615.7K-6481.8090.22N/AN/A159287225272
2015-08-18$40.17$0.0019.5%5.6%17.8%62.3%0.0%5.0%-0.7%-35.0K768.3K-9271.6896.29N/AN/A164275225322
2015-08-19$40.14$0.0019.2%5.5%17.4%60.7%18.9%5.4%-0.6%-32.0K668.4K-9260.00104.17N/AN/A290226300
2015-08-20$39.14$40.0019.8%5.7%19.0%64.2%18.8%3.8%-0.5%-28.9K797.1K-9781.40106.86N/AN/A194271252322
2015-08-21$38.20$39.0021.3%6.1%20.2%72.3%20.4%5.5%-0.2%-7.6K805.9K-1.0K1.4092.76N/AN/A196275267316
2015-08-24$35.80$39.0027.5%7.9%29.3%100.0%28.6%-10.0%2.4%-6.2K700.8K-9470.96108.83N/AN/A228219249258
2015-08-25$37.64$33.0074.0%21.2%34.7%100.0%71.0%3.9%-20.5%2.6K363.2K-1.9K0.96135.14N/AN/A228219311258
2015-08-26$38.13$33.0042.9%12.3%35.2%52.4%79.9%5.9%-8.7%-868375.6K-1.4K0.96129.47N/AN/A228219311258
2015-08-27$38.90$33.0022.1%6.3%36.3%20.6%20.4%7.1%-1.0%-7.1K362.5K-1.1K0.94109.33N/AN/A234219311258
2015-08-28$38.62$33.0026.6%7.6%36.3%27.5%23.1%8.3%-8.0%-6.4K359.4K-1.2K0.94114.02N/AN/A234219321258
2015-08-31$37.88$33.0026.7%7.6%36.6%27.6%36.3%2.5%-3.1%-4.7K388.9K-1.2K0.94110.53N/AN/A234219321258