EPP Options History — September 2015

In September 2015, EPP traded between $35.93 and $38.64. ATM implied volatility averaged 28.6%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 7.8% (HV 20d: 36.4%). Max pain ranged from $33.00 to $45.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2015-09-10: Highest Volume — 481 contracts
  • 2015-09-17: Largest IV spike — 214.1% change
  • 2015-09-17: Highest IV Rank — 77.1%
  • 2015-09-17: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.23$35.93$38.64$36.39$36.66
Max Pain$42.57$33.00$45.00$33.00$42.00
ATM IV28.6%18.9%59.5%26.7%24.8%
Expected Move7.6%5.4%17.0%7.6%7.1%
HV 20d36.4%23.9%42.2%38.0%23.9%
HV 60d28.4%27.1%29.2%27.1%28.4%
IV Rank28.9%13.2%77.1%27.6%22.4%
IV Percentile94.3%80.2%99.6%98.4%94.4%
Term Structure-2.3%-28.1%8.0%5.1%-3.5%
VWIV30.0%21.5%59.9%31.9%25.9%
Skew 25d5.8%-6.8%20.8%-6.8%2.5%
Skew 10d10.5%-11.6%24.7%-11.6%17.4%
Call IV 25d26.7%18.1%76.9%41.9%22.8%
Put IV 25d32.6%24.1%83.4%35.1%25.3%
Bid-Ask Spread %109.9091.58140.97112.87107.45
Gamma HHI0.150.090.260.150.16
Net GEX-2.4K-8.6K8.8K-1.0K-4.7K
Net DEX449.7K194.8K650.5K446.9K650.3K
Net VEX-1.1K-1.9K-880-1.2K-880
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.001.080.941.08
Total Volume389.5710481453382
Total OI580524639578558

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$36.39$33.0026.7%7.6%38.0%27.6%31.9%-6.8%5.1%-1.0K446.9K-1.2K0.94112.87N/AN/A234219321257
2015-09-02$36.99$33.0029.4%8.4%38.9%31.8%32.0%7.1%-6.2%-1.4K464.2K-1.2K0.94110.32N/AN/A234219321257
2015-09-03$36.78$45.0028.0%6.6%38.7%29.6%31.3%1.9%2.9%-4.7K420.1K-1.1K0.94110.16N/AN/A234221321257
2015-09-04$36.11$45.0042.6%9.4%38.9%52.0%27.6%-0.5%6.7%-1.5K467.9K-1.2K0.94102.70N/AN/A234221321259
2015-09-08$37.64$45.0058.6%8.6%42.1%75.8%0.0%19.2%-1.7%-2.2K246.8K-9760.00117.65N/AN/A00317207
2015-09-09$37.61$45.0027.5%7.9%41.2%26.7%25.1%7.2%-4.2%-5.5K385.2K-1.1K0.9399.56N/AN/A237221321259
2015-09-10$37.67$45.0023.0%6.6%41.2%19.6%31.7%7.4%-4.1%-8.6K403.1K-1.2K0.85109.41N/AN/A260221324269
2015-09-11$37.65$45.0022.1%6.3%41.2%18.2%27.0%7.2%0.7%-4.6K368.2K-1.2K0.85100.49N/AN/A260221353269
2015-09-14$37.71$45.0024.2%6.9%41.2%21.5%25.1%7.9%-2.8%-3.8K351.8K-1.2K0.8597.30N/AN/A260221353269
2015-09-15$37.74$45.0020.1%5.8%41.2%15.0%21.5%8.3%-0.8%4.8K203.8K-1.0K0.00106.41N/AN/A40349217
2015-09-16$38.64$45.0018.9%5.4%42.2%13.2%31.9%6.2%-1.1%-3.3K296.7K-1.1K0.85119.18N/AN/A259221356269
2015-09-17$38.31$45.0059.5%17.0%42.2%77.1%59.9%6.5%-28.1%187194.8K-1.9K0.78140.97N/AN/A260204366269
2015-09-18$38.03$42.0021.8%6.3%41.4%17.8%26.0%3.8%0.9%8.8K290.2K-1.2K0.78110.12N/AN/A260204368271
2015-09-21$37.90$42.0023.6%6.8%40.5%20.5%25.7%6.4%-2.5%-1.4K548.0K-1.1K1.0798.74N/AN/A184196292264
2015-09-22$37.18$42.0024.0%6.9%33.5%21.3%25.7%4.1%-0.5%-2.5K585.0K-1.1K1.0791.58N/AN/A184196292264
2015-09-23$36.80$42.0024.6%7.0%28.5%22.1%25.4%3.8%-3.3%-3.4K613.7K-1.0K1.0898.50N/AN/A184198292266
2015-09-24$37.02$42.0024.0%6.9%28.1%21.2%30.0%12.0%-3.2%-4.0K619.2K-8961.08118.50N/AN/A184198292266
2015-09-25$36.82$42.0024.6%7.0%27.0%22.1%30.1%1.5%-0.3%-3.1K608.7K-1.0K1.08115.27N/AN/A184198292266
2015-09-28$36.32$42.0023.3%6.7%27.2%20.1%30.9%20.8%8.0%-3.8K628.3K-9491.08119.66N/AN/A184198292266
2015-09-29$35.93$42.0029.9%8.6%26.7%30.6%35.4%-3.8%-10.2%-3.6K650.5K-9141.08121.04N/AN/A184198292266
2015-09-30$36.66$42.0024.8%7.1%23.9%22.4%25.9%2.5%-3.5%-4.7K650.3K-8801.08107.45N/AN/A184198292266