EPP Options History — October 2016

In October 2016, EPP traded between $40.85 and $42.41. ATM implied volatility averaged 18.8%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 3.8% (HV 20d: 15.0%). Max pain ranged from $39.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2016-10-05: Highest Volume — 201 contracts
  • 2016-10-12: Largest IV spike — 247.0% change
  • 2016-10-12: Highest IV Rank — 41.2%
  • 2016-10-12: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.79$40.85$42.41$42.36$41.03
Max Pain$42.33$39.00$43.00$39.00$43.00
ATM IV18.8%11.7%47.8%12.3%18.5%
Expected Move5.5%3.5%13.7%3.5%5.3%
HV 20d15.0%12.5%20.3%20.3%13.1%
HV 60d14.3%13.7%14.8%14.0%14.7%
IV Rank9.6%1.8%41.2%2.5%9.2%
IV Percentile29.1%1.2%97.6%1.6%44.8%
Term Structure-0.4%-16.9%11.5%6.3%-0.7%
VWIV19.7%12.8%55.7%14.6%14.3%
Skew 25d3.5%-3.0%23.7%0.4%3.5%
Skew 10d7.5%-23.6%53.9%6.0%1.6%
Call IV 25d21.0%12.1%69.9%13.9%15.7%
Put IV 25d24.6%13.7%71.7%14.4%19.1%
Bid-Ask Spread %127.50102.24144.23133.48128.75
Gamma HHI0.500.350.650.430.38
Net GEX15.0K6.1K25.6K11.7K6.1K
Net DEX72.0K-111.4K326.7K13.2K321.6K
Net VEX-1.4K-1.8K-755-755-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.911.551.011.55
Total Volume192.905150201191176
Total OI344.19205389319284

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$42.36$39.0012.3%3.5%20.3%2.5%14.6%0.4%6.3%11.7K13.2K-7551.01133.48N/AN/A9596111208
2016-10-04$42.04$39.0014.7%4.2%19.5%5.0%15.3%3.5%0.1%14.9K-25.3K-1.1K1.01115.34N/AN/A9596139208
2016-10-05$42.31$39.0013.0%3.7%19.6%3.2%12.8%1.0%3.7%16.9K-30.1K-1.0K0.91139.14N/AN/A10596139208
2016-10-06$42.31$43.0011.7%5.3%19.5%1.8%16.5%2.5%1.0%21.7K-93.4K-1.5K0.91123.35N/AN/A10596179208
2016-10-07$42.14$43.0015.1%4.4%17.7%5.5%16.3%0.9%2.9%19.2K-77.6K-1.5K0.97119.78N/AN/A9996179208
2016-10-10$42.41$43.0016.5%4.5%17.7%7.0%14.4%3.9%2.1%22.7K-111.4K-1.5K0.95105.37N/AN/A10196181208
2016-10-11$41.51$43.0013.8%4.6%14.8%4.1%14.7%1.7%1.9%20.6K54.2K-1.4K0.95106.39N/AN/A10196174208
2016-10-12$41.73$43.0047.8%13.7%14.7%41.2%55.7%2.8%-16.5%8.5K-42.8K-1.8K0.95144.23N/AN/A10196174208
2016-10-13$41.53$43.0023.9%6.8%13.6%15.1%26.4%-3.0%-5.9%14.6K42.4K-1.5K0.95133.09N/AN/A10196174208
2016-10-14$41.69$43.0017.9%5.1%13.6%8.6%15.8%-1.6%-3.0%22.1K30.7K-1.4K0.95128.00N/AN/A10196174208
2016-10-17$41.48$43.0017.0%4.9%13.7%7.5%14.4%3.0%1.2%19.6K95.8K-1.2K0.95120.42N/AN/A10196174208
2016-10-18$41.93$43.0045.7%13.1%14.1%39.0%48.9%1.8%-16.9%10.8K-86.6K-1.7K0.95144.10N/AN/A10196174208
2016-10-19$42.21$43.0017.0%4.9%12.8%7.6%16.5%3.2%0.7%25.6K-41.0K-1.4K0.95132.87N/AN/A10196174208
2016-10-20$41.86$43.0016.8%4.8%13.1%7.4%14.9%1.9%0.7%21.7K35.1K-1.3K0.94129.79N/AN/A10296174208
2016-10-21$41.69$42.0013.7%3.9%13.0%4.0%14.1%3.5%2.2%14.9K137.9K-1.1K1.04102.24N/AN/A9296175208
2016-10-24$41.80$42.0016.7%4.8%12.9%7.3%18.9%23.7%11.5%15.9K140.3K-1.1K1.17131.44N/AN/A698110897
2016-10-25$42.05$43.0015.1%4.3%12.7%5.5%13.9%-1.1%0.4%7.0K236.6K-1.7K1.20137.12N/AN/A88106131149
2016-10-26$41.67$43.0014.3%4.1%12.5%4.6%15.6%1.8%1.9%6.6K273.8K-1.6K1.20132.14N/AN/A88106131149
2016-10-27$41.07$43.0016.8%4.8%13.2%7.3%13.7%3.6%-1.4%7.3K312.8K-1.4K1.15133.57N/AN/A92106131149
2016-10-28$40.85$43.0016.4%4.7%12.9%6.9%26.9%16.6%-0.0%6.4K326.7K-1.3K1.15136.85N/AN/A92106135149
2016-10-31$41.03$43.0018.5%5.3%13.1%9.2%14.3%3.5%-0.7%6.1K321.6K-1.4K1.55128.75N/AN/A69107135149