EPP Options History — April 2016

In April 2016, EPP traded between $37.59 and $40.97. ATM implied volatility averaged 18.5%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 1.6% (HV 20d: 20.1%). Max pain ranged from $37.00 to $41.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 2.56.

Notable Days

  • 2016-04-14: Highest Volume — 404 contracts
  • 2016-04-11: Largest IV spike — 56.5% change
  • 2016-04-11: Highest IV Rank — 23.9%
  • 2016-04-11: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.53$37.59$40.97$38.95$39.98
Max Pain$38.41$37.00$41.00$37.00$41.00
ATM IV18.5%15.2%27.4%15.8%19.0%
Expected Move5.2%4.4%5.9%4.5%5.5%
HV 20d20.1%19.1%21.6%19.9%19.6%
HV 60d22.5%20.3%24.8%24.8%20.3%
IV Rank11.2%6.6%23.9%7.4%12.0%
IV Percentile40.4%9.9%92.1%17.5%49.6%
Term Structure0.2%-2.0%2.6%-1.1%-0.0%
VWIV20.0%15.5%30.0%18.3%30.0%
Skew 25d2.3%-27.4%19.6%-0.7%19.6%
Skew 10d2.3%-46.7%44.4%6.8%4.4%
Call IV 25d20.4%14.9%48.9%20.1%21.5%
Put IV 25d22.7%17.6%41.1%19.3%41.1%
Bid-Ask Spread %114.7588.60137.59132.67137.03
Gamma HHI0.280.150.480.380.17
Net GEX11.6K-14.3K58.9K43.0K-7.8K
Net DEX273.3K-2.5K502.7K112.8K501.3K
Net VEX-1.3K-2.0K-842-862-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.561.884.132.142.74
Total Volume360.571299404352381
Total OI401.238259510385425

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$38.95$37.0015.8%4.5%19.9%7.4%18.3%-0.7%-1.1%43.0K112.8K-8622.14132.67N/AN/A112240145240
2016-04-04$38.46$0.0021.1%5.5%19.4%15.0%0.0%-14.4%1.8%32.0K154.3K-9012.14122.86N/AN/A112240145260
2016-04-05$37.63$0.0019.5%5.7%20.8%12.7%0.0%5.2%0.4%26.2K289.8K-8422.3588.60N/AN/A112263145260
2016-04-06$38.37$0.0017.8%5.6%21.0%10.2%0.0%5.4%-0.2%39.9K219.1K-1.0K2.35121.77N/AN/A112263145283
2016-04-07$37.59$0.0018.7%5.6%21.4%11.5%19.0%5.5%-0.2%28.2K291.9K-9622.77107.96N/AN/A99274145283
2016-04-08$37.89$37.0017.5%5.4%21.6%9.9%19.6%5.2%1.4%42.6K279.3K-9682.77102.20N/AN/A99274147294
2016-04-11$38.07$37.0027.4%5.9%19.7%23.9%19.9%7.0%0.1%36.5K273.4K-9212.7791.98N/AN/A99274147294
2016-04-12$38.88$37.0023.2%5.1%21.1%17.9%19.2%5.5%0.4%58.9K155.0K-8934.13113.48N/AN/A67277147294
2016-04-13$39.55$37.0017.7%5.1%21.0%10.2%18.8%3.2%-0.3%914180.3K-1.2K4.13123.96N/AN/A67277152297
2016-04-14$39.83$37.0017.2%4.9%20.0%9.4%19.8%4.8%0.8%16.5K-933-9952.1893.17N/AN/A127277163297
2016-04-15$39.99$37.0017.2%4.9%19.4%9.4%23.6%-27.4%0.0%-6.3K-2.5K-1.0K2.18129.68N/AN/A127277213297
2016-04-18$40.40$37.0017.6%5.0%19.7%9.9%18.0%1.4%-0.1%-7.0K326.1K-1.1K1.88102.33N/AN/A10419564195
2016-04-19$40.97$37.0016.9%4.9%20.2%9.0%16.5%4.0%1.1%850248.4K-1.5K1.90116.60N/AN/A104198105205
2016-04-20$40.95$37.0015.2%4.4%20.1%6.6%17.6%19.3%0.8%2.2K258.8K-1.4K2.21133.59N/AN/A104230105208
2016-04-21$40.67$37.0017.7%5.1%19.2%10.1%15.6%1.1%0.0%-4.4K319.3K-1.8K2.35117.42N/AN/A104244105251
2016-04-22$40.63$41.0016.8%4.8%19.1%8.8%27.4%1.5%-1.2%-10.6K352.6K-1.9K2.40128.71N/AN/A106254105265
2016-04-25$40.50$41.0018.5%5.3%19.2%11.2%15.5%2.9%0.4%-12.0K408.3K-1.9K2.4099.67N/AN/A106254107285
2016-04-26$40.67$41.0017.7%5.1%19.2%10.1%16.6%2.5%-0.5%-9.3K404.8K-1.8K2.55104.53N/AN/A106270107285
2016-04-27$40.08$41.0016.1%4.6%19.8%7.8%29.1%-10.2%2.6%-11.7K502.7K-1.9K2.55137.59N/AN/A106270107301
2016-04-28$40.00$41.0019.0%5.4%19.8%11.9%16.0%6.5%-2.0%-14.3K464.7K-2.0K2.78103.96N/AN/A97270107301
2016-04-29$39.98$41.0019.0%5.5%19.6%12.0%30.0%19.6%-0.0%-7.8K501.3K-2.0K2.74137.03N/AN/A102279124301