EPP Options History — August 2016

In August 2016, EPP traded between $40.75 and $42.18. ATM implied volatility averaged 16.1%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 6.4% (HV 20d: 9.7%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 1.27.

Notable Days

  • 2016-08-15: Highest Volume — 209 contracts
  • 2016-08-26: Largest IV spike — 356.7% change
  • 2016-08-26: Highest IV Rank — 58.5%
  • 2016-08-26: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.62$40.75$42.18$41.41$40.75
Max Pain$40.87$40.00$41.00$40.00$41.00
ATM IV16.1%10.0%63.7%15.9%10.0%
Expected Move4.7%2.9%18.3%4.5%2.9%
HV 20d9.7%8.4%14.1%14.1%8.9%
HV 60d19.5%19.0%20.1%20.1%19.1%
IV Rank4.4%0.0%58.5%2.3%0.0%
IV Percentile8.6%0.0%98.4%7.9%0.0%
Term Structure0.2%-29.8%8.5%1.2%8.5%
VWIV17.9%12.9%61.8%28.7%13.4%
Skew 25d1.6%-36.3%44.2%-36.3%-5.9%
Skew 10d-0.3%-32.8%10.2%-21.2%7.5%
Call IV 25d19.2%11.4%86.3%52.1%86.3%
Put IV 25d20.8%12.7%80.4%15.9%80.4%
Bid-Ask Spread %124.4597.47146.58131.18141.44
Gamma HHI0.230.160.390.200.18
Net GEX14.8K1.4K28.9K15.8K1.4K
Net DEX-155.2K-297.3K58.0K-147.0K58.0K
Net VEX-1.2K-1.5K-924-1.2K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.001.851.201.85
Total Volume152.1740209165168
Total OI305.217265355286279

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$41.41$40.0015.9%4.5%14.1%2.3%28.7%-36.3%1.2%15.8K-147.0K-1.2K1.20131.18N/AN/A7590133153
2016-08-02$41.29$40.0017.4%5.0%12.5%4.1%15.8%2.3%-1.6%15.4K-133.7K-1.3K1.33124.68N/AN/A75100146163
2016-08-03$41.11$40.0018.5%5.3%12.7%5.4%25.2%3.6%-3.3%13.8K-96.3K-1.3K1.33136.79N/AN/A75100146163
2016-08-04$41.23$41.0014.2%4.2%12.4%0.4%15.0%1.0%-1.0%16.0K-110.9K-1.2K1.33130.14N/AN/A75100146163
2016-08-05$41.61$41.0012.4%4.2%10.6%0.0%15.2%2.5%0.3%19.7K-186.7K-1.2K1.33118.36N/AN/A75100146163
2016-08-08$41.84$41.0015.1%4.4%10.5%3.0%15.7%3.3%0.4%20.7K-223.8K-1.1K1.3397.47N/AN/A75100146163
2016-08-09$41.99$41.0013.3%4.1%9.3%1.0%14.0%3.9%-2.6%22.2K-266.4K-1.0K1.17135.13N/AN/A7588146163
2016-08-10$41.96$41.0013.9%4.0%9.3%1.6%14.4%3.5%1.7%24.2K-284.3K-9701.17121.67N/AN/A7588146163
2016-08-11$42.18$41.0013.9%4.0%9.0%1.6%14.5%3.6%2.1%25.2K-297.3K-9241.14125.09N/AN/A95108146163
2016-08-12$41.79$41.0012.4%3.6%9.7%0.0%12.9%-5.2%2.5%23.7K-263.5K-1.3K1.14129.78N/AN/A95108166183
2016-08-15$42.06$41.0014.3%4.1%9.7%2.1%15.1%3.7%1.6%26.7K-283.6K-1.2K1.07102.26N/AN/A101108166183
2016-08-16$41.94$41.0014.3%4.1%8.9%2.1%13.4%-2.6%0.8%28.8K-278.4K-1.2K1.07114.84N/AN/A101108172183
2016-08-17$41.87$41.0014.0%4.0%8.6%1.8%0.0%1.6%1.7%12.7K-196.2K-1.3K0.00139.02N/AN/A00168183
2016-08-18$41.90$41.0013.8%4.0%8.5%1.6%13.7%2.1%2.0%28.9K-252.2K-1.2K0.00131.31N/AN/A20168183
2016-08-19$41.60$41.0014.3%4.1%9.0%2.1%14.6%0.9%1.7%4.6K-184.3K-1.2K1.10105.16N/AN/A98108168183
2016-08-22$41.56$41.0014.7%4.2%9.0%2.6%15.4%2.1%0.7%4.4K-57.3K-1.1K1.22131.44N/AN/A7288107158
2016-08-23$41.81$41.0013.0%3.7%8.4%0.7%13.5%2.6%2.7%5.0K-111.2K-1.1K1.22108.14N/AN/A7288107158
2016-08-24$41.76$41.0010.4%3.0%8.4%0.0%0.0%2.1%3.8%5.8K-116.3K-1.1K0.00141.04N/AN/A00107158
2016-08-25$41.79$41.0014.0%4.0%8.4%3.9%15.2%-0.0%1.6%5.8K-89.9K-1.1K1.54131.01N/AN/A5788107158
2016-08-26$41.35$41.0063.7%18.3%8.9%58.5%61.8%44.2%-29.8%6.2K-42.3K-1.5K1.54146.58N/AN/A5788112158
2016-08-29$41.28$41.0012.9%3.7%8.4%2.7%13.0%2.8%5.8%7.9K-36.9K-1.1K1.82113.28N/AN/A57104112158
2016-08-30$41.09$41.0014.5%4.2%8.5%4.5%14.5%1.6%2.8%6.7K30.2K-1.1K1.76106.60N/AN/A59104103174
2016-08-31$40.75$41.0010.0%2.9%8.9%0.0%13.4%-5.9%8.5%1.4K58.0K-1.1K1.85141.44N/AN/A59109105174