EPP Options History — October 2015

In October 2015, EPP traded between $36.74 and $40.70. ATM implied volatility averaged 18.9%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 2.0% (HV 20d: 20.8%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.85.

Notable Days

  • 2015-10-15: Highest Volume — 427 contracts
  • 2015-10-13: Largest IV spike — 41.5% change
  • 2015-10-13: Highest IV Rank — 24.0%
  • 2015-10-09: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.37$36.74$40.70$36.74$39.18
Max Pain$39.43$39.00$42.00$42.00$39.00
ATM IV18.9%14.2%25.8%21.8%15.2%
Expected Move5.4%4.4%6.6%6.3%4.4%
HV 20d20.8%19.0%24.2%23.2%20.1%
HV 60d28.6%27.8%29.1%27.8%28.9%
IV Rank13.2%5.8%24.0%17.7%7.4%
IV Percentile65.3%11.9%94.4%86.5%25.4%
Term Structure1.7%-4.9%20.6%0.9%0.0%
VWIV30.6%13.1%57.1%30.2%14.6%
Skew 25d2.1%-38.5%13.1%-8.6%4.4%
Skew 10d13.2%2.5%27.5%11.4%11.8%
Call IV 25d22.8%13.0%83.6%33.9%16.4%
Put IV 25d24.9%17.7%85.0%25.3%20.8%
Bid-Ask Spread %116.0791.53137.33122.16121.32
Gamma HHI0.210.120.370.170.15
Net GEX5.5K-4.7K8.7K-4.7K8.7K
Net DEX377.4K239.6K621.9K621.9K291.1K
Net VEX-799-1.0K-695-906-859
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.003.061.083.06
Total Volume276.1821427382207
Total OI425.182256589558280

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$36.74$42.0021.8%6.3%23.2%17.7%30.2%-8.6%0.9%-4.7K621.9K-9061.08122.16N/AN/A184198292266
2015-10-02$37.40$42.0021.1%6.1%23.9%16.7%35.9%3.1%0.2%-2.1K599.1K-7901.08125.66N/AN/A184198292266
2015-10-05$38.34$0.0022.5%6.3%24.2%18.9%0.0%7.1%-0.1%4.0K338.0K-7930.00100.60N/AN/A10287214
2015-10-06$38.39$0.0021.5%6.4%19.5%17.3%0.0%5.6%-1.0%2.3K520.4K-8011.1393.52N/AN/A175198293266
2015-10-07$39.06$0.0021.2%5.7%20.3%16.8%0.0%5.4%-0.0%4.0K472.0K-8281.1391.53N/AN/A175198293266
2015-10-08$39.55$0.0016.9%5.0%20.7%10.0%0.0%2.8%1.7%5.6K455.8K-7971.1397.51N/AN/A175198293266
2015-10-09$39.72$0.0014.2%6.6%20.6%5.8%0.0%2.5%-3.6%4.6K441.7K-7841.14104.99N/AN/A175199293266
2015-10-12$39.73$0.0018.2%5.1%20.7%12.1%0.0%3.7%1.7%7.2K440.5K-7521.14102.93N/AN/A175199293267
2015-10-13$39.06$0.0025.8%5.7%21.8%24.0%0.0%7.0%0.5%8.5K472.4K-7361.14121.39N/AN/A175199293267
2015-10-14$39.38$0.0018.3%5.2%20.4%12.2%13.1%13.1%8.3%8.1K460.8K-7191.14123.48N/AN/A175199293267
2015-10-15$40.19$39.0019.6%5.6%21.2%14.3%30.5%2.3%1.2%-4.1K422.1K-7841.24122.63N/AN/A191236293267
2015-10-16$40.21$39.0019.6%5.6%20.9%14.2%21.1%4.6%-1.4%8.2K443.7K-8421.28126.70N/AN/A184236315274
2015-10-19$39.77$39.0018.2%5.2%21.3%12.1%20.5%2.8%20.6%8.1K254.0K-7362.62124.35N/AN/A47123128128
2015-10-20$39.54$39.0018.0%5.2%20.0%11.7%19.1%4.9%0.3%8.7K264.0K-7002.62106.65N/AN/A47123128128
2015-10-21$39.36$39.0018.6%5.3%19.6%12.7%18.7%3.7%1.2%8.6K265.8K-6952.62108.02N/AN/A47123128128
2015-10-22$40.18$39.0016.0%4.6%20.6%8.6%46.1%7.6%2.0%8.4K250.5K-7022.62129.78N/AN/A47123128128
2015-10-23$40.70$39.0015.6%4.5%20.5%7.9%42.9%3.2%2.1%8.2K239.6K-7143.04112.73N/AN/A47143128128
2015-10-26$40.46$39.0015.7%4.5%19.7%8.1%47.8%-38.5%2.3%7.3K255.0K-9142.92135.35N/AN/A49143128148
2015-10-27$40.11$39.0017.9%5.1%19.5%11.5%57.1%3.9%0.4%7.1K254.4K-8682.92125.72N/AN/A49143130148
2015-10-28$39.90$39.0020.5%5.9%19.0%15.7%42.0%1.4%-4.9%6.6K252.4K-1.0K2.80137.33N/AN/A51143130148
2015-10-29$39.11$39.0019.2%5.5%20.9%13.7%18.9%4.0%4.1%7.8K288.8K-8242.80119.27N/AN/A51143132148
2015-10-30$39.18$39.0015.2%4.4%20.1%7.4%14.6%4.4%0.0%8.7K291.1K-8593.06121.32N/AN/A51156132148