EPP Options History — September 2016

In September 2016, EPP traded between $39.78 and $42.37. ATM implied volatility averaged 17.3%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.7% (HV 20d: 16.6%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.75.

Notable Days

  • 2016-09-14: Highest Volume — 191 contracts
  • 2016-09-21: Largest IV spike — 69.2% change
  • 2016-09-21: Highest IV Rank — 22.4%
  • 2016-09-21: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.39$39.78$42.37$41.03$42.35
Max Pain$39.43$39.00$41.00$41.00$39.00
ATM IV17.3%11.2%30.5%14.9%12.2%
Expected Move5.0%3.5%8.8%4.3%3.5%
HV 20d16.6%8.7%20.3%9.2%20.3%
HV 60d17.6%14.5%20.4%19.1%14.6%
IV Rank7.9%1.3%22.4%5.4%2.3%
IV Percentile29.2%0.8%96.0%9.5%1.2%
Term Structure3.3%-2.2%20.8%2.5%3.5%
VWIV18.4%13.9%38.4%15.1%13.9%
Skew 25d4.6%-10.2%38.0%-3.8%1.2%
Skew 10d-3.5%-43.9%23.4%12.9%-43.8%
Call IV 25d17.4%10.9%27.1%19.4%12.7%
Put IV 25d22.0%13.9%56.4%15.6%13.9%
Bid-Ask Spread %120.0396.16144.99124.00139.80
Gamma HHI0.220.170.450.190.45
Net GEX7.5K-1.2K14.3K5.5K14.1K
Net DEX63.3K-102.8K203.8K73.2K17.2K
Net VEX-986-1.2K-690-1.1K-690
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.751.452.051.851.45
Total Volume175.429160191168162
Total OI305.571284331284318

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$41.03$41.0014.9%4.3%9.2%5.4%15.1%-3.8%2.5%5.5K73.2K-1.1K1.85124.00N/AN/A59109105179
2016-09-02$41.21$41.0015.3%4.4%8.7%5.7%16.1%15.1%1.0%6.5K41.4K-1.1K1.85129.33N/AN/A59109105179
2016-09-06$41.98$40.0011.2%4.5%10.8%1.3%17.1%3.4%2.0%12.6K-63.6K-9981.6896.16N/AN/A65109105179
2016-09-07$41.98$40.0013.0%4.4%10.8%3.2%16.5%1.2%6.3%14.3K-102.8K-9851.68127.16N/AN/A65109115179
2016-09-08$41.79$40.0014.7%4.5%10.9%5.0%16.6%3.0%2.3%12.7K-84.4K-9821.68114.26N/AN/A65109115179
2016-09-09$40.87$40.0016.0%5.1%13.2%6.5%16.8%4.5%0.5%8.2K37.1K-1.1K1.68100.40N/AN/A65109115179
2016-09-12$41.13$40.0022.2%5.0%13.1%13.3%19.0%5.8%1.5%9.1K49.5K-1.0K1.62112.88N/AN/A68110115179
2016-09-13$39.78$39.0024.1%6.0%17.2%15.4%19.4%4.8%-0.4%2.6K166.1K-1.0K1.61105.44N/AN/A69111125179
2016-09-14$40.11$39.0021.6%6.2%17.6%12.7%18.2%5.2%-2.2%6.7K158.2K-1.1K1.77100.37N/AN/A69122128191
2016-09-15$40.84$39.0017.1%4.9%19.1%7.7%18.8%5.8%3.2%10.0K151.2K-1.1K1.62109.68N/AN/A69112128202
2016-09-16$40.75$39.0019.5%5.6%19.0%10.4%20.2%2.6%-1.1%-1.2K203.8K-1.0K1.64125.19N/AN/A69113128203
2016-09-19$40.86$39.0019.8%5.7%19.0%10.7%17.0%5.0%20.8%1.0K137.2K-1.0K1.86127.68N/AN/A56104100194
2016-09-20$41.07$39.0018.1%5.2%19.1%8.7%17.7%3.5%0.4%1.8K129.6K-9792.05101.77N/AN/A56115101196
2016-09-21$41.82$39.0030.5%8.8%20.1%22.4%38.4%38.0%20.3%6.0K78.3K-1.2K2.05144.99N/AN/A56115101207
2016-09-22$42.01$39.0014.3%4.1%20.2%4.6%18.1%-10.2%3.9%5.4K64.5K-8952.05129.18N/AN/A56115101207
2016-09-23$41.75$39.0016.3%4.7%20.3%6.9%18.8%-6.7%-1.3%4.6K80.6K-9111.74129.57N/AN/A66115101207
2016-09-26$41.58$39.0017.4%5.0%20.0%8.0%18.0%3.7%-0.5%6.0K96.2K-9711.74127.49N/AN/A66115111207
2016-09-27$41.97$39.0014.8%4.2%20.2%5.2%17.2%5.5%1.1%10.9K55.1K-8011.74131.97N/AN/A66115111207
2016-09-28$42.37$39.0015.0%4.3%20.3%5.4%15.2%6.6%2.2%11.4K19.6K-8001.74112.08N/AN/A66115111207
2016-09-29$42.03$39.0015.4%4.4%20.3%5.9%17.6%2.9%3.5%9.9K22.0K-8441.74131.27N/AN/A66115111207
2016-09-30$42.35$39.0012.2%3.5%20.3%2.3%13.9%1.2%3.5%14.1K17.2K-6901.45139.80N/AN/A6696111207