EPP Options History — December 2016

In December 2016, EPP traded between $39.37 and $41.95. ATM implied volatility averaged 17.6%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 5.6% (HV 20d: 12.0%). Max pain ranged from $40.00 to $47.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.92.

Notable Days

  • 2016-12-22: Highest Volume — 176 contracts
  • 2016-12-06: Largest IV spike — 142.2% change
  • 2016-12-14: Highest IV Rank — 25.8%
  • 2016-12-06: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.69$39.37$41.95$41.23$39.52
Max Pain$46.33$40.00$47.00$40.00$47.00
ATM IV17.6%7.9%33.7%19.2%15.9%
Expected Move5.0%2.3%11.1%5.5%4.6%
HV 20d12.0%10.0%13.8%13.2%13.5%
HV 60d13.3%12.5%15.4%15.4%13.1%
IV Rank8.8%0.0%25.8%10.0%8.5%
IV Percentile33.4%0.0%96.0%52.4%23.8%
Term Structure-3.2%-34.6%9.9%-14.7%0.8%
VWIV19.0%9.8%38.2%23.0%20.3%
Skew 25d2.2%-55.8%35.9%35.9%-8.5%
Skew 10d-4.4%-37.6%29.7%-11.8%4.9%
Call IV 25d27.6%7.4%67.7%51.9%63.4%
Put IV 25d29.8%12.0%87.8%87.8%54.9%
Bid-Ask Spread %130.6099.59142.77141.47138.87
Gamma HHI0.360.300.440.360.33
Net GEX13.9K6.7K20.1K13.8K13.3K
Net DEX236.9K112.8K357.1K204.1K270.5K
Net VEX-1.4K-2.0K-1.1K-1.5K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.921.322.472.171.32
Total Volume158.476139176149176
Total OI332.524312368313368

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$41.23$40.0019.2%5.5%13.2%10.0%23.0%35.9%-14.7%13.8K204.1K-1.5K2.17141.47N/AN/A47102168145
2016-12-02$41.18$40.0016.6%4.8%13.2%7.2%15.4%2.8%-1.6%13.3K214.7K-1.5K2.17115.17N/AN/A47102167145
2016-12-05$41.32$47.0012.6%3.4%12.8%2.7%14.9%8.1%2.7%15.1K197.4K-1.5K2.17129.20N/AN/A47102167145
2016-12-06$41.33$47.0030.4%11.1%10.6%22.2%32.7%-10.4%-34.6%19.6K147.4K-1.6K2.17140.11N/AN/A47102167145
2016-12-07$41.87$47.0014.0%3.4%11.0%4.4%12.9%8.4%2.0%17.2K155.7K-1.6K2.17132.26N/AN/A47102167145
2016-12-08$41.85$47.0015.4%4.8%10.3%5.9%26.5%24.4%-1.4%20.1K112.8K-1.7K2.17135.00N/AN/A47102167145
2016-12-09$41.73$47.0015.7%4.4%10.1%6.2%19.3%9.0%2.1%15.0K167.6K-1.6K2.17135.29N/AN/A47102167145
2016-12-12$41.62$47.0017.3%4.5%10.0%7.9%15.5%12.0%-3.9%15.1K113.3K-1.7K2.43129.93N/AN/A47114167145
2016-12-13$41.95$47.0022.1%3.3%10.0%13.2%12.1%9.2%1.9%16.5K202.1K-1.6K2.43126.24N/AN/A47114167158
2016-12-14$41.23$47.0033.7%9.7%11.8%25.8%38.2%2.3%-27.5%9.7K121.7K-2.0K2.43142.77N/AN/A47114167158
2016-12-15$40.87$47.0028.6%8.2%11.0%20.3%26.7%15.7%-5.6%16.3K278.4K-1.4K2.47142.18N/AN/A47116167158
2016-12-16$40.52$47.0014.0%4.0%11.4%4.3%19.2%7.2%-0.3%10.3K323.0K-1.2K1.69104.47N/AN/A5491167160
2016-12-19$40.33$47.0015.8%4.5%11.5%6.3%18.2%2.2%0.5%10.0K357.1K-1.1K1.84131.09N/AN/A4990169161
2016-12-20$40.60$47.0011.8%3.4%11.6%1.9%16.9%5.2%2.3%9.6K336.7K-1.1K2.0499.59N/AN/A49100169161
2016-12-21$39.65$47.0020.6%5.9%13.8%11.6%18.4%-0.7%0.9%6.7K342.8K-1.2K2.00132.51N/AN/A50100171171
2016-12-22$39.59$47.0012.9%3.7%13.6%3.1%9.8%-1.2%-1.1%9.8K314.5K-1.3K1.32130.26N/AN/A76100171171
2016-12-23$39.37$47.007.9%2.3%13.0%0.0%12.0%-55.8%9.9%16.5K247.7K-1.3K1.32138.63N/AN/A76100197171
2016-12-27$39.47$47.0016.2%4.6%13.2%8.8%16.7%-32.6%0.0%14.6K291.0K-1.2K1.32133.84N/AN/A76100197171
2016-12-28$39.50$47.0015.0%4.3%13.2%7.6%13.5%9.1%-1.0%14.5K292.4K-1.2K1.32134.96N/AN/A76100197171
2016-12-29$39.77$47.0014.7%4.2%13.5%7.2%16.6%3.8%0.6%15.4K284.9K-1.2K1.32128.82N/AN/A76100197171
2016-12-30$39.52$47.0015.9%4.6%13.5%8.5%20.3%-8.5%0.8%13.3K270.5K-1.3K1.32138.87N/AN/A76100197171