EPP Options History — June 2016

In June 2016, EPP traded between $36.97 and $40.42. ATM implied volatility averaged 21.1%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.4% (HV 20d: 17.7%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 3.33.

Notable Days

  • 2016-06-28: Highest Volume — 390 contracts
  • 2016-06-13: Largest IV spike — 39.7% change
  • 2016-06-15: Highest IV Rank — 28.5%
  • 2016-06-15: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.99$36.97$40.42$39.01$39.13
Max Pain$44.95$44.00$45.00$44.00$45.00
ATM IV21.1%15.1%30.8%22.3%21.0%
Expected Move6.0%4.3%8.8%6.4%6.0%
HV 20d17.7%12.6%29.7%13.5%29.7%
HV 60d17.6%16.0%21.3%17.5%20.9%
IV Rank13.9%6.5%28.5%16.7%10.6%
IV Percentile53.2%6.0%95.6%68.7%54.8%
Term Structure0.4%-13.3%30.7%-0.6%-2.6%
VWIV26.9%20.7%39.9%36.6%26.4%
Skew 25d4.0%-35.2%16.1%2.1%3.6%
Skew 10d2.3%-59.8%40.2%-50.6%16.4%
Call IV 25d25.2%13.0%73.0%20.6%18.7%
Put IV 25d29.3%21.2%77.8%22.6%22.4%
Bid-Ask Spread %118.7698.97139.83134.05138.53
Gamma HHI0.180.140.240.140.21
Net GEX-18.8K-27.7K-10.0K-11.7K-21.4K
Net DEX564.6K372.7K799.3K584.8K424.5K
Net VEX-1.6K-1.8K-1.2K-1.7K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.332.335.883.152.33
Total Volume360.318306390336390
Total OI491.636451519451516

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$39.01$44.0022.3%6.4%13.5%16.7%36.6%2.1%-0.6%-11.7K584.8K-1.7K3.15134.05N/AN/A81255132319
2016-06-02$38.86$45.0020.2%5.9%12.6%13.7%22.3%10.1%-0.6%-10.9K605.6K-1.6K3.15102.03N/AN/A81255132319
2016-06-03$39.53$45.0019.7%5.6%14.0%12.9%27.6%3.7%-1.7%-14.1K533.5K-1.8K3.15119.03N/AN/A81255132319
2016-06-06$39.95$45.0021.1%5.8%14.4%14.9%26.5%7.0%-0.2%-10.0K482.6K-1.6K3.4898.97N/AN/A81282132319
2016-06-07$40.24$45.0021.4%5.7%14.4%15.3%23.7%8.7%-0.3%-15.4K448.3K-1.7K3.63114.33N/AN/A79287132349
2016-06-08$40.42$45.0019.1%5.5%13.2%12.1%22.8%2.6%1.5%-17.0K447.7K-1.7K3.65113.74N/AN/A79288132384
2016-06-09$40.04$45.0020.3%5.8%13.4%13.7%24.5%5.5%0.1%-21.0K526.1K-1.7K3.65102.90N/AN/A79288132385
2016-06-10$39.23$45.0016.3%4.7%15.4%8.1%22.7%6.8%1.4%-22.7K595.7K-1.7K3.56127.34N/AN/A81288132385
2016-06-13$38.76$45.0022.7%6.5%15.2%17.2%23.8%8.0%-2.7%-24.4K653.9K-1.7K3.5699.41N/AN/A81288134385
2016-06-14$38.43$45.0022.1%6.3%14.6%16.3%26.1%6.5%3.3%-24.0K710.2K-1.7K3.56121.18N/AN/A81288134385
2016-06-15$38.45$45.0030.8%8.8%14.6%28.5%39.9%4.7%-13.3%-21.5K706.3K-1.8K3.56139.83N/AN/A81288134385
2016-06-16$38.31$45.0021.6%6.2%13.8%15.7%30.4%-35.2%-1.8%-22.1K799.3K-1.6K3.62126.46N/AN/A81293134385
2016-06-17$38.46$45.0023.2%6.6%13.8%17.9%25.0%8.7%-1.1%-21.3K775.4K-1.6K5.88104.48N/AN/A50294134385
2016-06-20$39.32$45.0015.1%4.3%15.8%6.5%21.9%13.7%30.7%-15.2K467.1K-1.4K5.24121.39N/AN/A49257128349
2016-06-21$39.49$45.0019.4%5.6%15.6%12.5%29.6%6.2%0.9%-18.0K518.4K-1.5K2.65106.13N/AN/A97257128349
2016-06-22$38.91$45.0019.5%5.6%16.6%12.6%30.5%3.3%-1.6%-17.7K467.9K-1.4K2.65135.57N/AN/A97257128349
2016-06-23$39.83$45.0017.2%4.9%18.3%9.4%20.7%4.8%0.6%-13.9K372.7K-1.2K2.65128.18N/AN/A97257128349
2016-06-24$37.96$45.0022.5%6.4%25.2%12.8%38.6%16.1%0.8%-16.2K519.6K-1.6K2.65137.74N/AN/A97257128347
2016-06-27$36.97$45.0029.4%8.4%26.7%23.0%26.8%0.7%-3.6%-23.5K686.7K-1.3K2.81117.19N/AN/A97273128347
2016-06-28$37.95$45.0019.9%5.7%28.6%9.0%23.4%0.7%-1.4%-27.7K602.7K-1.4K2.33119.04N/AN/A117273128368
2016-06-29$38.54$45.0018.8%5.4%29.2%7.3%21.4%0.7%0.3%-24.3K491.2K-1.4K2.33105.28N/AN/A117273148368
2016-06-30$39.13$45.0021.0%6.0%29.7%10.6%26.4%3.6%-2.6%-21.4K424.5K-1.4K2.33138.53N/AN/A117273148368