EPP Options History — November 2015

In November 2015, EPP traded between $37.76 and $39.64. ATM implied volatility averaged 19.7%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.7% (HV 20d: 18.0%). Max pain ranged from $39.00 to $39.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 4.77.

Notable Days

2015-11-19: Highest Volume — 222 contracts
2015-11-18: Largest IV drop — 32.7% change
2015-11-30: Highest IV Rank — 20.2%
2015-11-30: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.81	$37.76	$39.64	$39.02	$38.89
Max Pain	$39.00	$39.00	$39.00	$39.00	$39.00
ATM IV	19.7%	15.0%	23.4%	18.7%	23.4%
Expected Move	5.6%	4.3%	6.7%	5.4%	6.7%
HV 20d	18.0%	16.8%	19.3%	18.4%	16.9%
HV 60d	25.6%	20.3%	29.0%	28.9%	20.3%
IV Rank	14.4%	7.1%	20.2%	12.9%	20.2%
IV Percentile	71.2%	19.8%	90.1%	73.0%	90.1%
Term Structure	-0.2%	-2.6%	1.0%	0.1%	0.6%
VWIV	18.8%	16.8%	21.3%	18.8%	21.3%
Skew 25d	1.8%	-37.5%	7.8%	5.0%	-0.2%
Skew 10d	11.1%	-14.1%	33.2%	13.9%	-14.1%
Call IV 25d	20.4%	13.8%	65.2%	17.9%	22.1%
Put IV 25d	22.2%	19.0%	27.7%	23.0%	21.9%
Bid-Ask Spread %	107.96	97.25	128.77	106.52	119.57
Gamma HHI	0.19	0.16	0.31	0.17	0.17
Net GEX	2.4K	-4.9K	5.0K	3.5K	4.2K
Net DEX	349.1K	301.3K	428.8K	329.8K	339.9K
Net VEX	-826	-939	-760	-836	-760
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.77	3.06	5.50	3.06	5.44
Total Volume	147.05	0	222	207	0
Total OI	302.05	287	320	293	299

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2015-11-02	$39.02	$39.00	18.7%	5.4%	18.4%	12.9%	18.8%	5.0%	0.1%	3.5K	329.8K	-836	3.06	106.52	N/A	N/A	51	156	132	161
2015-11-03	$39.64	$39.00	16.5%	4.7%	19.1%	9.4%	19.7%	7.8%	0.3%	3.6K	305.1K	-802	3.10	102.09	N/A	N/A	51	158	132	161
2015-11-04	$39.43	$39.00	16.4%	4.7%	18.4%	9.2%	16.8%	3.9%	0.4%	3.6K	305.0K	-836	3.10	120.64	N/A	N/A	51	158	132	163
2015-11-05	$39.19	$0.00	20.3%	5.3%	17.9%	15.3%	0.0%	4.2%	0.7%	3.8K	311.7K	-825	4.65	98.40	N/A	N/A	34	158	132	163
2015-11-06	$38.82	$0.00	19.0%	5.5%	18.1%	13.4%	0.0%	3.9%	0.4%	3.1K	331.6K	-812	0.00	98.24	N/A	N/A	0	0	126	161
2015-11-09	$38.06	$0.00	22.7%	5.8%	19.3%	19.1%	0.0%	2.4%	-0.3%	3.6K	359.6K	-812	0.00	109.60	N/A	N/A	0	0	126	161
2015-11-10	$37.93	$0.00	22.1%	5.8%	18.5%	18.3%	0.0%	4.2%	-0.4%	5.0K	379.2K	-792	4.65	100.58	N/A	N/A	34	158	127	163
2015-11-11	$38.48	$0.00	20.2%	5.8%	19.0%	15.2%	0.0%	4.7%	0.4%	2.9K	355.5K	-784	4.65	104.92	N/A	N/A	34	158	127	163
2015-11-12	$38.28	$0.00	20.7%	5.9%	17.3%	16.0%	0.0%	4.3%	-0.9%	2.8K	352.2K	-788	5.50	97.91	N/A	N/A	34	187	127	163
2015-11-13	$37.76	$0.00	21.0%	6.0%	17.7%	16.5%	0.0%	-0.5%	-0.5%	-71	423.1K	-939	5.50	118.89	N/A	N/A	34	187	127	192
2015-11-16	$38.10	$0.00	20.9%	6.0%	17.9%	16.4%	0.0%	6.8%	0.4%	-662	428.8K	-897	0.00	106.16	N/A	N/A	0	0	126	190
2015-11-17	$38.27	$0.00	22.3%	6.4%	18.0%	18.6%	0.0%	-37.5%	-1.9%	-1.0K	411.3K	-926	5.50	128.77	N/A	N/A	34	187	127	192
2015-11-18	$38.58	$0.00	15.0%	4.3%	18.3%	7.1%	0.0%	3.4%	0.2%	-4.9K	410.7K	-905	5.50	110.61	N/A	N/A	34	187	127	192
2015-11-19	$39.28	$0.00	19.4%	5.6%	17.9%	14.0%	19.1%	2.9%	0.1%	-3.3K	341.6K	-848	5.34	97.25	N/A	N/A	35	187	127	192
2015-11-20	$39.60	$39.00	17.9%	5.1%	17.5%	11.5%	18.3%	3.3%	-0.8%	4.5K	301.3K	-808	5.34	110.62	N/A	N/A	35	187	128	192
2015-11-23	$39.33	$39.00	19.9%	5.7%	17.5%	14.8%	0.0%	6.8%	0.2%	4.7K	311.8K	-785	0.00	103.18	N/A	N/A	0	0	124	177
2015-11-24	$39.56	$39.00	18.0%	5.2%	17.5%	11.8%	0.0%	6.7%	-1.6%	4.6K	318.8K	-785	0.00	103.55	N/A	N/A	0	0	124	177
2015-11-25	$39.21	$39.00	18.4%	5.3%	17.6%	12.3%	17.5%	2.3%	1.0%	4.3K	313.3K	-765	5.44	119.39	N/A	N/A	32	174	125	179
2015-11-27	$38.69	$39.00	21.1%	6.0%	16.8%	16.6%	21.3%	2.2%	-2.6%	4.3K	351.3K	-812	5.44	102.33	N/A	N/A	32	174	125	179
2015-11-30	$38.89	$39.00	23.4%	6.7%	16.9%	20.2%	0.0%	-0.2%	0.6%	4.2K	339.9K	-760	0.00	119.57	N/A	N/A	0	0	122	177