EPP Options History — May 2016

In May 2016, EPP traded between $38.35 and $40.15. ATM implied volatility averaged 23.3%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 8.2% (HV 20d: 15.1%). Max pain ranged from $41.00 to $44.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 3.10.

Notable Days

  • 2016-05-04: Highest Volume — 389 contracts
  • 2016-05-27: Largest IV spike — 200.1% change
  • 2016-05-27: Highest IV Rank — 76.2%
  • 2016-05-27: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.96$38.35$40.15$40.15$39.14
Max Pain$43.57$41.00$44.00$41.00$44.00
ATM IV23.3%17.5%64.5%19.7%25.5%
Expected Move6.7%5.0%18.5%5.7%7.3%
HV 20d15.1%13.7%18.9%18.9%14.4%
HV 60d19.5%17.5%20.4%20.2%17.5%
IV Rank18.1%9.8%76.2%13.0%21.1%
IV Percentile63.5%29.4%99.2%54.8%85.3%
Term Structure-0.2%-20.2%27.7%-2.4%27.7%
VWIV22.8%19.2%48.0%21.6%21.4%
Skew 25d1.9%-27.7%9.5%3.8%-0.6%
Skew 10d2.5%-46.0%17.6%-2.8%9.0%
Call IV 25d26.5%17.8%91.3%25.8%54.5%
Put IV 25d28.4%20.0%94.3%29.6%53.9%
Bid-Ask Spread %115.1789.82137.33130.90134.52
Gamma HHI0.150.140.180.170.16
Net GEX-10.2K-15.4K-6.8K-9.3K-15.4K
Net DEX595.6K416.3K700.9K482.5K488.4K
Net VEX-1.8K-2.4K-1.6K-2.1K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.102.743.502.743.15
Total Volume362.19327389381336
Total OI449.429428475439451

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$40.15$41.0019.7%5.7%18.9%13.0%21.6%3.8%-2.4%-9.3K482.5K-2.1K2.74130.90N/AN/A102279129310
2016-05-03$39.55$41.0018.5%5.3%17.9%11.3%20.3%1.0%-1.7%-7.6K533.7K-2.0K2.74108.29N/AN/A102279129310
2016-05-04$39.00$41.0017.5%5.0%17.6%9.8%25.7%0.5%4.2%-6.8K584.4K-1.9K2.81133.72N/AN/A102287129310
2016-05-05$39.02$44.0022.3%6.1%15.7%16.6%22.2%3.0%-0.8%-10.4K604.9K-1.9K3.50106.79N/AN/A82287129318
2016-05-06$38.88$44.0019.3%6.0%15.6%12.3%21.6%5.8%0.2%-10.9K667.2K-1.8K3.30104.42N/AN/A87287128318
2016-05-09$38.75$44.0020.9%6.0%15.6%14.7%21.8%4.9%0.2%-10.1K638.5K-1.8K3.3089.82N/AN/A87287133318
2016-05-10$39.43$44.0020.1%6.2%15.1%13.4%19.8%5.7%-1.0%-12.0K622.8K-1.9K3.30112.20N/AN/A87287133318
2016-05-11$39.13$44.0020.7%5.9%14.0%14.4%22.8%5.0%0.3%-8.4K603.7K-1.8K3.19105.16N/AN/A90287137318
2016-05-12$38.98$44.0021.2%6.1%13.8%15.0%21.0%2.6%0.3%-10.3K623.9K-1.7K3.1999.14N/AN/A90287137318
2016-05-13$38.46$44.0024.9%7.2%14.3%20.4%22.2%-27.7%-4.5%-10.2K630.2K-1.7K3.19126.72N/AN/A90287137318
2016-05-16$39.00$44.0024.7%7.1%14.8%20.0%25.2%9.5%-3.9%-10.3K613.1K-1.8K3.19127.73N/AN/A90287137318
2016-05-17$39.11$44.0021.3%6.1%13.7%15.2%20.6%4.7%0.3%-11.4K636.5K-1.6K3.1991.45N/AN/A90287137318
2016-05-18$38.58$44.0019.9%5.7%14.2%13.3%21.2%2.8%-0.4%-10.6K589.3K-1.7K3.42127.14N/AN/A84287142318
2016-05-19$38.35$44.0022.8%6.5%14.2%17.3%20.4%4.7%-0.1%-8.3K700.9K-1.6K3.01108.00N/AN/A88265144318
2016-05-20$38.55$44.0020.9%6.0%14.5%14.7%21.3%3.3%0.6%-10.9K682.7K-1.7K3.01116.46N/AN/A88265146329
2016-05-23$38.37$44.0022.9%6.6%14.5%17.5%20.3%3.5%-1.1%-9.3K630.7K-1.6K2.85100.45N/AN/A85242122306
2016-05-24$38.58$44.0020.8%6.0%14.6%14.5%21.4%1.3%2.5%-10.1K600.5K-1.8K2.85127.72N/AN/A85242131306
2016-05-25$38.93$44.0019.6%5.6%14.4%12.8%19.2%2.5%-0.8%-8.9K589.4K-1.7K3.00102.21N/AN/A85255131306
2016-05-26$39.04$44.0021.5%6.2%14.5%15.5%21.0%1.6%-2.5%-11.9K567.0K-1.8K3.15128.36N/AN/A81255131319
2016-05-27$39.10$44.0064.5%18.5%14.5%76.2%48.0%3.0%-20.2%-11.5K416.3K-2.4K3.15137.33N/AN/A81255132319
2016-05-31$39.14$44.0025.5%7.3%14.4%21.1%21.4%-0.6%27.7%-15.4K488.4K-2.3K3.15134.52N/AN/A81255132319