EPP Options History — July 2016

In July 2016, EPP traded between $38.72 and $41.74. ATM implied volatility averaged 26.8%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 1.1% (HV 20d: 25.8%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.00.

Notable Days

  • 2016-07-12: Highest Volume — 403 contracts
  • 2016-07-06: Largest IV spike — 473.4% change
  • 2016-07-06: Highest IV Rank — 100.0%
  • 2016-07-06: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.49$38.72$41.74$39.35$41.74
Max Pain$40.25$40.00$45.00$45.00$40.00
ATM IV26.8%16.1%101.6%18.5%16.1%
Expected Move5.7%4.1%12.9%5.3%4.6%
HV 20d25.8%13.6%30.3%29.1%13.6%
HV 60d20.5%20.0%20.7%20.4%20.0%
IV Rank15.0%2.6%100.0%6.9%2.6%
IV Percentile44.3%9.9%100.0%32.9%9.9%
Term Structure0.2%-12.6%20.2%1.9%-1.7%
VWIV20.3%15.4%49.8%21.4%17.9%
Skew 25d3.4%-28.2%74.6%74.6%-4.0%
Skew 10d0.4%-57.1%19.6%-57.1%-28.6%
Call IV 25d26.7%16.3%62.7%16.3%22.0%
Put IV 25d30.1%18.0%90.9%90.9%18.0%
Bid-Ask Spread %120.66100.25142.95135.32135.85
Gamma HHI0.240.130.490.190.16
Net GEX5.1K-20.8K37.3K-12.7K10.3K
Net DEX124.1K-139.1K442.7K378.0K-139.1K
Net VEX-1.2K-1.8K-1.0K-1.4K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.000.922.922.331.28
Total Volume263.997403390169
Total OI378.8190535516272

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$39.35$45.0018.5%5.3%29.1%6.9%21.4%74.6%1.9%-12.7K378.0K-1.4K2.33135.32N/AN/A117273148368
2016-07-05$38.72$40.0017.7%4.1%29.4%5.7%15.6%2.8%3.5%-14.2K442.7K-1.5K2.33141.20N/AN/A117273148368
2016-07-06$38.97$40.00101.6%12.9%29.3%100.0%49.8%12.3%-12.6%-14.6K408.0K-1.8K2.33142.95N/AN/A117273148368
2016-07-07$38.79$40.0021.3%5.7%29.3%8.5%18.7%5.9%1.3%-20.8K440.4K-1.3K2.42118.90N/AN/A117283148368
2016-07-08$39.63$40.0018.0%5.5%30.3%4.8%19.2%4.4%-0.2%-5.2K382.8K-1.3K2.89105.58N/AN/A98283148379
2016-07-11$39.94$40.0022.8%5.4%29.5%10.2%18.4%3.1%1.2%5.7K332.9K-1.2K2.92109.60N/AN/A98286149379
2016-07-12$40.57$40.0090.2%4.2%29.5%87.1%15.4%-16.2%20.2%26.4K230.1K-1.2K2.44137.68N/AN/A117286149382
2016-07-13$40.55$40.0018.4%5.3%29.2%5.2%19.9%2.9%-0.6%33.1K221.9K-1.1K2.92106.83N/AN/A98286149382
2016-07-14$40.92$40.0019.6%5.6%29.3%6.6%19.6%-2.1%-0.7%37.3K196.5K-1.1K2.89111.47N/AN/A97280150382
2016-07-15$40.81$40.0019.7%5.6%29.3%6.7%18.2%2.3%1.3%305260.0K-1.1K2.89127.81N/AN/A97280150385
2016-07-18$41.04$40.0020.0%5.7%29.3%7.1%17.6%-28.2%-1.3%426-29.5K-1.0K2.23127.93N/AN/A306768122
2016-07-19$40.62$40.0020.8%6.0%28.8%7.9%21.0%2.9%-1.7%611-15.1K-1.0K1.61111.55N/AN/A416668122
2016-07-20$40.97$40.0017.8%5.1%28.9%4.6%19.7%2.4%0.2%2.8K-57.3K-1.1K1.61100.25N/AN/A416679124
2016-07-21$40.95$40.0020.6%5.9%28.2%7.7%20.6%-1.4%-3.7%3.3K-51.2K-1.1K1.08126.01N/AN/A616679124
2016-07-22$41.01$40.0018.9%5.4%27.1%5.8%18.3%1.8%-1.3%9.6K-82.1K-1.2K0.92100.59N/AN/A726699124
2016-07-25$40.98$40.0019.8%5.7%19.9%6.8%20.1%-0.1%-1.1%12.9K-97.7K-1.1K1.28114.57N/AN/A7191110124
2016-07-26$41.44$40.0018.0%5.2%16.5%4.7%18.2%1.4%-0.1%8.7K-110.8K-1.3K1.23135.15N/AN/A7491120149
2016-07-27$41.36$40.0018.5%5.3%14.8%5.3%18.1%0.9%-1.1%9.0K-108.4K-1.3K1.23103.54N/AN/A7491123149
2016-07-28$41.46$40.0018.0%5.2%14.2%4.8%17.7%2.0%-0.7%9.4K-120.2K-1.3K1.23120.49N/AN/A7491123149
2016-07-29$41.74$40.0016.1%4.6%13.6%2.6%17.9%-4.0%-1.7%10.3K-139.1K-1.2K1.28135.85N/AN/A7495123149