EPP Options History — December 2015

In December 2015, EPP traded between $37.38 and $39.76. ATM implied volatility averaged 19.5%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.4% (HV 20d: 19.1%). Max pain ranged from $39.00 to $48.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 3.12.

Notable Days

  • 2015-12-28: Highest Volume — 1,005 contracts
  • 2015-12-22: Largest IV spike — 49.8% change
  • 2015-12-22: Highest IV Rank — 29.8%
  • 2015-12-22: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.37$37.38$39.76$39.76$38.42
Max Pain$42.68$39.00$48.00$39.00$39.00
ATM IV19.5%13.8%29.5%20.4%18.1%
Expected Move5.4%4.0%8.5%5.8%5.2%
HV 20d19.1%17.4%21.1%18.6%19.3%
HV 60d19.2%18.6%20.3%20.3%18.6%
IV Rank14.2%5.2%29.8%15.5%11.9%
IV Percentile62.0%7.5%97.6%77.0%59.1%
Term Structure0.1%-3.0%3.4%-2.5%0.5%
VWIV17.5%13.0%23.3%21.5%14.3%
Skew 25d0.1%-53.1%11.5%-53.1%6.1%
Skew 10d5.7%-65.2%19.0%-65.2%6.4%
Call IV 25d22.0%11.8%77.1%77.1%13.2%
Put IV 25d22.1%15.8%27.0%24.0%19.3%
Bid-Ask Spread %107.7796.16124.16116.41113.74
Gamma HHI0.630.170.920.170.90
Net GEX108.6K-15.7K342.0K4.4K300.7K
Net DEX187.5K-816.7K764.5K299.4K-478.5K
Net VEX-2.0K-4.0K-676-676-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.120.247.637.630.26
Total Volume643.09101,00501,005
Total OI774.4092991,1942991,189

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$39.76$39.0020.4%5.8%18.6%15.5%0.0%-53.1%-2.5%4.4K299.4K-6760.00116.41N/AN/A00122177
2015-12-02$39.39$39.0020.9%6.0%18.1%16.3%21.5%3.2%-2.5%4.5K309.3K-6967.63107.40N/AN/A32244123179
2015-12-03$39.23$48.0022.3%5.4%18.1%18.5%19.8%6.6%-3.0%-12.7K457.3K-1.1K7.63106.45N/AN/A32244123249
2015-12-04$39.53$48.0016.7%4.1%18.1%9.7%21.7%7.5%1.9%-12.2K473.2K-1.1K7.63105.00N/AN/A32244123249
2015-12-07$38.93$48.0021.9%5.5%18.7%17.9%0.0%7.2%0.6%-13.0K482.2K-1.0K0.00104.32N/AN/A00122247
2015-12-08$38.32$48.0025.3%6.3%18.2%23.3%19.2%7.1%-2.1%-10.2K567.1K-1.0K7.6396.16N/AN/A32244123249
2015-12-09$38.25$48.0021.9%6.3%18.1%17.9%18.4%10.8%-1.0%-11.7K559.1K-9977.63104.20N/AN/A32244123249
2015-12-10$38.26$48.0021.2%6.1%17.4%16.8%18.1%8.9%-0.3%-11.7K563.9K-9887.63102.39N/AN/A32244123249
2015-12-11$37.38$48.0022.4%6.4%19.1%18.6%18.4%4.9%-0.7%-8.2K621.5K-9097.6397.80N/AN/A32244123249
2015-12-14$37.44$48.0024.2%6.9%18.6%21.6%19.5%7.0%-0.5%-7.7K639.1K-8516.13101.27N/AN/A32196123249
2015-12-15$37.58$48.0017.3%5.0%18.3%10.7%13.0%11.5%0.1%-15.7K764.5K-1.0K0.24107.00N/AN/A802196123301
2015-12-16$38.42$39.0018.7%5.4%20.0%12.9%23.3%-7.1%-2.8%152.1K-107.4K-4.0K0.24124.16N/AN/A802196893301
2015-12-17$37.89$39.0014.5%4.2%20.3%6.3%16.7%6.5%2.1%164.8K381.1K-2.6K0.24101.85N/AN/A802196893301
2015-12-18$38.09$39.0018.3%5.2%19.2%12.2%16.4%7.1%3.4%160.1K176.2K-3.1K0.24100.20N/AN/A802196893301
2015-12-21$37.46$39.0019.7%5.6%19.6%14.4%18.2%1.1%-0.7%145.9K226.4K-2.8K0.24105.30N/AN/A801196876301
2015-12-22$37.72$39.0029.5%8.5%19.8%29.8%17.6%1.3%-0.3%149.2K120.1K-3.1K0.25110.54N/AN/A797196877301
2015-12-23$38.25$39.0016.0%4.6%20.5%8.6%14.7%2.4%1.9%234.6K-44.9K-3.1K0.25109.50N/AN/A797196877301
2015-12-24$38.25$39.0015.7%4.5%20.3%8.2%14.4%4.7%1.8%266.7K-320.0K-3.5K0.25113.81N/AN/A797196877301
2015-12-28$38.06$39.0016.7%4.8%19.8%9.7%16.7%2.3%1.2%228.1K-20.6K-2.7K0.26111.57N/AN/A798207877301
2015-12-29$38.83$39.0013.8%4.0%21.1%5.2%14.2%4.1%2.2%340.4K-727.0K-3.3K0.26118.74N/AN/A798207878312
2015-12-30$38.71$39.0014.1%4.1%19.4%5.7%14.3%-48.0%2.7%342.0K-816.7K-3.2K0.26113.11N/AN/A798207877312
2015-12-31$38.42$39.0018.1%5.2%19.3%11.9%14.3%6.1%0.5%300.7K-478.5K-3.1K0.26113.74N/AN/A798207877312