EPP Options History — November 2016

In November 2016, EPP traded between $40.20 and $41.56. ATM implied volatility averaged 20.8%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 7.1% (HV 20d: 13.7%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.63.

Notable Days

  • 2016-11-18: Highest Volume — 167 contracts
  • 2016-11-02: Largest IV spike — 287.5% change
  • 2016-11-02: Highest IV Rank — 68.2%
  • 2016-11-02: Largest Expected Move — 20.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.83$40.20$41.56$40.99$41.11
Max Pain$40.29$40.00$43.00$43.00$40.00
ATM IV20.8%15.5%72.5%18.7%15.8%
Expected Move5.8%3.9%20.8%5.4%4.5%
HV 20d13.7%12.7%14.9%12.9%13.5%
HV 60d15.5%14.6%15.9%14.6%15.4%
IV Rank11.7%5.9%68.2%9.5%6.2%
IV Percentile43.2%18.3%98.8%46.0%19.4%
Term Structure-0.7%-23.5%13.3%-0.4%-0.1%
VWIV21.6%12.8%64.8%22.4%12.9%
Skew 25d3.5%-11.4%16.5%16.5%1.4%
Skew 10d6.9%-41.6%69.7%69.7%2.3%
Call IV 25d21.4%12.3%102.3%18.1%15.9%
Put IV 25d24.8%16.2%105.8%34.6%17.3%
Bid-Ask Spread %121.9492.23145.07132.95106.68
Gamma HHI0.390.330.420.410.35
Net GEX9.3K3.4K15.7K7.3K14.4K
Net DEX294.0K112.6K407.2K323.8K211.9K
Net VEX-1.3K-1.9K-1.0K-1.3K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.632.173.573.572.17
Total Volume148.048137167137149
Total OI296.667269313286313

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$40.99$43.0018.7%5.4%12.9%9.5%22.4%16.5%-0.4%7.3K323.8K-1.3K3.57132.95N/AN/A30107136150
2016-11-02$40.67$43.0072.5%20.8%12.7%68.2%64.8%3.5%-23.5%3.4K112.6K-1.9K3.57145.07N/AN/A30107137150
2016-11-03$40.63$40.0018.0%3.9%12.7%8.7%17.6%2.0%1.7%6.5K336.5K-1.3K2.67128.48N/AN/A40107137150
2016-11-04$40.29$40.0022.2%5.5%12.9%13.3%18.3%4.8%0.0%7.6K351.8K-1.2K2.6792.23N/AN/A40107147150
2016-11-07$41.12$40.0021.4%5.0%14.9%12.4%18.9%4.5%-0.6%8.0K311.6K-1.4K2.67110.14N/AN/A40107147150
2016-11-08$41.56$40.0017.6%4.7%13.6%8.3%12.8%5.0%1.3%9.9K312.0K-1.4K2.67105.41N/AN/A40107147150
2016-11-09$41.15$40.0016.9%4.8%13.8%7.5%17.7%3.1%1.3%9.4K336.7K-1.3K2.67114.57N/AN/A40107147150
2016-11-10$40.90$40.0017.0%4.9%13.9%7.6%17.5%2.3%0.2%9.0K342.7K-1.2K2.67121.43N/AN/A40107147150
2016-11-11$40.72$40.0020.3%5.8%13.8%11.3%18.0%3.0%-5.8%8.2K358.7K-1.2K2.67130.17N/AN/A40107147150
2016-11-14$40.52$40.0017.0%4.9%13.8%7.6%20.0%3.2%0.8%8.7K361.6K-1.1K2.67111.24N/AN/A40107147150
2016-11-15$40.80$40.0017.4%5.0%13.5%8.1%21.9%2.4%-0.7%9.6K273.8K-1.2K2.67136.67N/AN/A40107147150
2016-11-16$40.20$40.0020.5%5.9%13.9%11.5%18.4%-11.4%13.3%7.4K327.1K-1.3K2.67133.27N/AN/A40107147150
2016-11-17$40.34$40.0017.5%5.0%13.9%8.1%19.4%3.6%-0.7%8.0K374.7K-1.1K2.92127.91N/AN/A40117147150
2016-11-18$40.24$40.0018.1%5.2%13.9%8.8%18.8%2.3%1.9%6.6K407.2K-1.0K3.17127.68N/AN/A40127147160
2016-11-21$40.43$40.0015.5%4.4%14.0%5.9%15.3%2.7%2.5%6.5K311.8K-1.0K2.17123.83N/AN/A47102124145
2016-11-22$40.85$40.0016.8%4.8%14.4%7.3%17.5%-0.3%0.1%9.3K262.5K-1.3K2.22113.79N/AN/A46102144145
2016-11-23$41.02$40.0020.0%5.7%14.2%10.8%49.0%9.7%-3.1%12.7K227.9K-1.5K2.22144.66N/AN/A46102153145
2016-11-25$41.39$40.0018.3%5.2%13.6%9.0%21.3%5.8%-0.9%12.2K215.8K-1.5K2.17132.65N/AN/A47102153145
2016-11-28$41.28$40.0016.4%4.7%13.5%6.9%16.3%4.4%0.0%15.1K203.6K-1.6K2.1799.36N/AN/A47102168145
2016-11-29$41.30$40.0018.0%5.2%13.4%8.7%15.7%4.7%-1.3%15.7K209.2K-1.6K2.17122.53N/AN/A47102168145
2016-11-30$41.11$40.0015.8%4.5%13.5%6.2%12.9%1.4%-0.1%14.4K211.9K-1.5K2.17106.68N/AN/A47102168145