EPP Options History — March 2016

In March 2016, EPP traded between $36.10 and $39.69. ATM implied volatility averaged 22.1%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 0.5% (HV 20d: 22.6%). Max pain ranged from $34.00 to $37.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.57.

Notable Days

  • 2016-03-23: Highest Volume — 379 contracts
  • 2016-03-03: Largest IV spike — 321.4% change
  • 2016-03-03: Highest IV Rank — 100.0%
  • 2016-03-16: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.58$36.10$39.69$36.10$39.24
Max Pain$36.73$34.00$37.00$34.00$37.00
ATM IV22.1%14.7%81.4%22.3%15.8%
Expected Move5.8%4.2%15.8%6.4%4.5%
HV 20d22.6%20.2%24.3%23.6%20.2%
HV 60d25.0%24.1%25.5%24.1%24.8%
IV Rank16.5%5.9%100.0%18.6%7.5%
IV Percentile41.4%10.7%100.0%72.6%18.3%
Term Structure-1.7%-33.0%4.1%1.4%0.5%
VWIV24.6%15.0%64.2%48.8%16.2%
Skew 25d3.4%-57.8%44.6%-57.8%-0.1%
Skew 10d1.8%-53.9%14.1%-53.9%-3.6%
Call IV 25d24.3%13.4%92.0%92.0%18.0%
Put IV 25d27.7%17.3%77.4%34.2%17.8%
Bid-Ask Spread %122.6697.92143.84139.07135.20
Gamma HHI0.250.170.380.250.25
Net GEX10.3K-24.4K55.6K-24.4K27.3K
Net DEX212.8K-47.4K491.9K491.9K34.3K
Net VEX-977-1.7K-617-1.1K-911
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.571.324.334.331.96
Total Volume319.136272379272332
Total OI399.091299452373385

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$36.10$34.0022.3%6.4%23.6%18.6%48.8%-57.8%1.4%-24.4K491.9K-1.1K4.33139.07N/AN/A5122163310
2016-03-02$36.96$34.0019.3%5.5%21.8%13.8%22.3%6.5%-0.8%-13.8K395.8K-9914.17125.54N/AN/A5322163310
2016-03-03$37.52$37.0081.4%14.0%22.1%100.0%64.2%20.8%-21.4%-14.7K437.6K-1.7K3.75143.05N/AN/A5922165310
2016-03-04$38.28$37.0017.8%4.7%22.7%10.2%20.1%5.7%3.3%-8.9K322.5K-8283.25103.26N/AN/A6822171310
2016-03-07$38.43$37.0017.5%5.0%21.4%9.9%21.6%3.0%2.9%-5.8K298.8K-7973.25118.47N/AN/A6822180310
2016-03-08$37.74$37.0022.4%5.2%22.8%16.8%20.8%2.4%-0.2%-6.9K314.5K-9413.25119.70N/AN/A6822180310
2016-03-09$38.38$37.0018.4%5.3%21.6%11.1%21.5%4.4%1.8%-4.0K296.2K-8663.2597.92N/AN/A6822180310
2016-03-10$38.18$37.0016.6%4.8%21.9%8.5%17.8%3.2%3.0%-5.8K291.0K-7723.25124.32N/AN/A6822180310
2016-03-11$39.11$37.0015.9%4.6%22.6%7.6%18.0%5.5%3.2%-3254.3K-7013.26101.63N/AN/A6822280310
2016-03-14$38.82$37.0016.7%4.8%23.1%8.8%18.5%5.3%1.4%-3.1K275.3K-8462.27110.20N/AN/A9822280311
2016-03-15$38.22$37.0016.5%4.7%23.8%8.4%21.8%44.6%2.2%-1.8K300.1K-6171.75129.65N/AN/A127222110311
2016-03-16$38.99$37.0055.3%15.8%24.2%63.1%52.1%-10.6%-33.0%-3.3K164.1K-1.5K1.75143.84N/AN/A127222141311
2016-03-17$39.57$37.0014.9%4.3%24.3%6.2%15.5%3.9%1.4%43.0K131.6K-7241.75116.13N/AN/A127222130311
2016-03-18$39.69$37.0014.7%4.2%24.3%5.9%23.9%32.0%-1.0%538124.2K-8031.75134.82N/AN/A127222130311
2016-03-21$39.60$37.0017.6%5.1%23.1%10.0%26.5%-4.8%-3.9%659246.4K-8413.23132.41N/AN/A6521069230
2016-03-22$39.48$37.0017.4%5.0%21.8%9.7%19.2%5.9%0.3%7.3K239.4K-7151.32107.22N/AN/A15921086230
2016-03-23$38.81$37.0018.1%5.2%22.7%10.8%22.3%0.0%-3.6%38.3K-23.3K-1.4K1.38132.90N/AN/A159220200230
2016-03-24$38.69$37.0015.7%4.5%22.9%7.3%15.3%-0.5%2.1%55.6K59.6K-1.1K1.38103.00N/AN/A159220200240
2016-03-28$38.74$37.0019.1%5.5%22.5%12.1%22.0%-1.1%1.4%42.2K27.0K-1.3K1.38133.78N/AN/A159220200240
2016-03-29$38.86$37.0017.7%5.1%22.4%10.1%18.2%6.1%-2.2%50.1K47.3K-1.0K2.78130.95N/AN/A79220200240
2016-03-30$39.30$37.0015.2%4.3%21.3%6.5%15.0%0.1%4.1%53.8K-47.4K-9371.96115.50N/AN/A112220192240
2016-03-31$39.24$37.0015.8%4.5%20.2%7.5%16.2%-0.1%0.5%27.3K34.3K-9111.96135.20N/AN/A112220145240