EPP Options History — January 2016 In January 2016, EPP traded between $33.57 and $37.78. ATM implied volatility averaged 26.3%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 1.1% (HV 20d: 25.2%). Max pain ranged from $34.00 to $37.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 2.16.
Notable Days 2016-01-15 : Highest Volume — 1,221 contracts2016-01-07 : Largest IV spike — 28.6% change2016-01-27 : Highest IV Rank — 37.1%2016-01-27 : Largest Expected Move — 9.8%Monthly Statistics Metric Avg Min Max Open Close Price $34.97 $33.57 $37.78 $37.78 $35.17 Max Pain $34.74 $34.00 $37.00 $37.00 $34.00 ATM IV 26.3% 20.7% 34.1% 23.3% 23.8% Expected Move 7.1% 5.6% 9.8% 6.0% 6.8% HV 20d 25.2% 19.8% 28.7% 20.1% 28.7% HV 60d 20.9% 18.4% 22.6% 18.6% 22.6% IV Rank 24.8% 16.0% 37.1% 20.2% 20.9% IV Percentile 91.5% 75.4% 98.0% 88.9% 83.7% Term Structure -1.0% -8.0% 4.7% -1.3% 4.7% VWIV 24.8% 20.6% 37.3% 21.3% 22.0% Skew 25d -4.1% -49.2% 9.5% 6.4% -41.9% Skew 10d 12.2% -29.1% 27.8% 16.5% -29.1% Call IV 25d 34.5% 18.6% 86.9% 18.9% 69.2% Put IV 25d 30.4% 22.5% 63.8% 25.3% 27.4% Bid-Ask Spread % 110.55 90.82 140.85 93.00 127.17 Gamma HHI 0.34 0.21 0.81 0.81 0.25 Net GEX 17.8K -7.8K 179.5K 179.5K -7.8K Net DEX 665.8K 194.3K 985.0K 194.3K 470.0K Net VEX -909 -2.1K -350 -2.1K -1.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.16 0.24 4.26 0.26 4.26 Total Volume 671.263 247 1,221 1,005 247 Total OI 767.684 277 1,249 1,189 277
Daily Data (19 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 2016-01-04 $37.78 $37.00 23.3% 6.0% 20.1% 20.2% 21.3% 6.4% -1.3% 179.5K 194.3K -2.1K 0.26 93.00 N/A N/A 798 207 877 312 2016-01-05 $37.55 $37.00 20.7% 5.6% 19.8% 16.0% 20.6% 4.0% 0.0% 140.0K 471.3K -1.5K 0.26 93.76 N/A N/A 798 207 877 312 2016-01-06 $36.54 $37.00 24.8% 6.2% 21.2% 22.4% 21.2% 3.8% -0.4% 47.6K 794.5K -882 0.26 98.13 N/A N/A 798 207 877 312 2016-01-07 $35.37 $37.00 31.9% 6.9% 23.3% 33.6% 21.3% 6.7% 0.2% 11.5K 942.9K -506 0.24 90.82 N/A N/A 818 199 877 312 2016-01-08 $34.79 $35.00 25.5% 6.9% 23.7% 23.6% 22.3% 4.4% -0.1% 2.5K 952.8K -398 0.24 98.23 N/A N/A 818 199 897 310 2016-01-11 $34.93 $35.00 30.2% 6.7% 23.8% 30.9% 24.1% 2.2% -1.1% 2.1K 979.8K -350 0.26 104.84 N/A N/A 838 219 897 312 2016-01-12 $35.06 $34.00 26.9% 6.7% 22.9% 25.8% 25.0% 3.3% -0.6% 3.6K 985.0K -555 0.26 104.78 N/A N/A 838 219 917 332 2016-01-13 $34.56 $34.00 24.7% 7.1% 23.2% 22.3% 22.9% 5.4% -2.7% 3.9K 834.0K -557 0.26 121.89 N/A N/A 838 219 917 296 2016-01-14 $35.06 $34.00 24.0% 6.9% 23.9% 21.2% 23.9% 7.1% -1.7% 3.8K 863.2K -527 0.30 103.70 N/A N/A 838 252 917 296 2016-01-15 $33.57 $34.00 27.1% 7.8% 25.9% 26.1% 28.7% 2.7% -3.5% -1.5K 940.9K -697 0.46 133.00 N/A N/A 839 382 917 329 2016-01-19 $34.15 $34.00 26.1% 7.5% 27.1% 24.6% 29.3% -43.2% -0.1% -7.0K 508.0K -1.2K 4.26 133.58 N/A N/A 47 200 57 220 2016-01-20 $33.60 $34.00 26.8% 7.7% 27.0% 25.7% 28.2% 7.6% -0.5% -4.9K 570.7K -915 4.26 105.52 N/A N/A 47 200 57 220 2016-01-21 $34.00 $34.00 26.7% 7.6% 27.5% 25.4% 25.3% 9.4% -0.6% -5.5K 557.1K -909 4.26 93.97 N/A N/A 47 200 57 220 2016-01-22 $34.57 $34.00 24.5% 7.0% 28.2% 22.0% 24.3% 9.5% -3.2% -5.5K 535.1K -922 4.26 108.58 N/A N/A 47 200 57 220 2016-01-25 $34.12 $34.00 25.8% 7.4% 27.5% 24.0% 25.1% 4.4% 0.0% -5.2K 528.9K -888 4.26 100.67 N/A N/A 47 200 57 220 2016-01-26 $34.64 $34.00 28.0% 8.0% 28.4% 27.6% 24.4% -49.2% 0.1% -6.4K 513.3K -1.1K 4.26 134.54 N/A N/A 47 200 57 220 2016-01-27 $34.24 $34.00 34.1% 9.8% 28.5% 37.1% 37.3% -23.0% -8.0% -7.2K 492.9K -1.2K 4.26 140.85 N/A N/A 47 200 57 220 2016-01-28 $34.74 $34.00 24.7% 7.1% 27.9% 22.3% 25.0% 3.0% -0.5% -5.9K 515.1K -962 4.26 113.47 N/A N/A 47 200 57 220 2016-01-29 $35.17 $34.00 23.8% 6.8% 28.7% 20.9% 22.0% -41.9% 4.7% -7.8K 470.0K -1.1K 4.26 127.17 N/A N/A 47 200 57 220
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