EPP Options History — February 2016

In February 2016, EPP traded between $33.79 and $36.35. ATM implied volatility averaged 24.2%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.4% (HV 20d: 25.6%). Max pain ranged from $34.00 to $38.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 3.40.

Notable Days

  • 2016-02-11: Highest Volume — 373 contracts
  • 2016-02-02: Largest IV spike — 33.4% change
  • 2016-02-09: Highest IV Rank — 35.0%
  • 2016-02-12: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.91$33.79$36.35$35.37$35.22
Max Pain$34.80$34.00$38.00$34.00$34.00
ATM IV24.2%19.5%32.8%19.5%22.7%
Expected Move6.8%5.6%8.1%5.6%6.5%
HV 20d25.6%21.8%30.4%28.9%22.0%
HV 60d23.4%22.4%24.1%22.4%23.5%
IV Rank21.5%14.2%35.0%14.2%19.2%
IV Percentile80.4%60.3%97.6%62.7%75.0%
Term Structure0.4%-1.7%4.6%4.6%3.7%
VWIV26.2%17.6%42.9%17.6%42.0%
Skew 25d-1.8%-61.4%9.7%-61.4%-43.5%
Skew 10d5.6%-38.3%25.4%-38.3%13.5%
Call IV 25d29.9%17.9%89.2%89.2%74.4%
Put IV 25d28.2%23.5%34.0%27.8%30.9%
Bid-Ask Spread %115.7489.18141.03135.86141.03
Gamma HHI0.250.210.380.260.26
Net GEX-9.7K-24.9K2.4K-9.3K-21.6K
Net DEX505.4K431.5K601.9K493.9K512.8K
Net VEX-1.1K-1.5K-892-1.1K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.402.344.514.474.33
Total Volume293.75253373257272
Total OI348.65287404287373

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$35.37$34.0019.5%5.6%28.9%14.2%17.6%-61.4%4.6%-9.3K493.9K-1.1K4.47135.86N/AN/A4721057230
2016-02-02$34.32$34.0026.1%7.5%30.0%24.5%25.3%3.2%-1.7%-5.6K542.6K-9034.47123.14N/AN/A4721057230
2016-02-03$34.64$34.0019.7%5.6%30.4%14.5%24.4%2.5%4.5%-3.1K549.3K-9664.51131.35N/AN/A4721257230
2016-02-04$35.05$38.0024.2%6.8%29.6%21.5%18.8%5.4%-0.4%-5.5K527.3K-8922.6893.25N/AN/A7921257232
2016-02-05$34.50$38.0023.5%7.2%27.9%20.4%42.9%4.1%-1.5%-2.1K473.1K-1.2K2.68110.93N/AN/A7921290231
2016-02-08$34.41$38.0028.3%7.3%27.3%27.9%24.1%7.3%-1.2%-1.8K516.3K-1.1K2.6893.28N/AN/A7921290231
2016-02-09$33.79$38.0032.8%8.1%27.9%35.0%29.0%7.5%-1.3%-1.6K546.4K-1.1K2.36105.47N/AN/A9021290231
2016-02-10$33.81$34.0027.2%7.8%27.9%26.2%28.6%6.9%-0.9%1.8K515.5K-1.1K2.36106.17N/AN/A90212101231
2016-02-11$33.79$34.0027.1%7.8%27.5%26.1%28.6%9.7%0.3%2.4K542.6K-1.0K3.1489.18N/AN/A90283101231
2016-02-12$34.20$34.0028.3%8.1%27.3%28.1%29.6%1.9%-1.3%-8.5K601.9K-1.5K3.14128.70N/AN/A90283101302
2016-02-16$34.87$34.0022.9%6.6%23.2%19.6%28.2%4.2%1.3%-2.6K511.9K-1.3K3.14117.38N/AN/A90283101302
2016-02-17$35.39$34.0022.9%6.6%23.1%19.6%23.3%5.2%0.1%-7.6K439.9K-1.5K2.34129.74N/AN/A91213101302
2016-02-18$35.36$34.0024.1%6.9%22.1%21.3%28.0%5.1%-1.1%-3.6K434.9K-1.2K2.34116.46N/AN/A91213102302
2016-02-19$35.39$34.0024.4%7.0%21.8%21.9%26.1%9.6%0.7%-21.0K431.5K-1.3K2.34117.72N/AN/A91213102302
2016-02-22$36.35$34.0020.6%5.9%23.0%15.8%18.0%4.4%1.7%-16.1K458.3K-1.1K3.96111.72N/AN/A5120261291
2016-02-23$35.72$34.0020.0%5.7%23.4%15.0%22.6%-24.2%0.5%-18.2K437.6K-1.1K3.96126.31N/AN/A5120263291
2016-02-24$35.42$34.0023.5%6.7%23.2%20.4%22.8%7.7%0.6%-24.0K522.4K-1.1K4.33117.99N/AN/A5122163291
2016-02-25$35.46$34.0024.0%6.9%22.7%21.3%21.7%9.0%-0.9%-24.9K535.9K-1.2K4.33100.14N/AN/A5122163310
2016-02-26$35.19$34.0022.0%6.3%22.4%18.0%22.4%0.3%1.1%-20.8K515.1K-1.2K4.33119.03N/AN/A5122163310
2016-02-29$35.22$34.0022.7%6.5%22.0%19.2%42.0%-43.5%3.7%-21.6K512.8K-1.1K4.33141.03N/AN/A5122163310