EPP Options History — January 2017

In January 2017, EPP traded between $40.21 and $42.36. ATM implied volatility averaged 13.3%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 0.3% (HV 20d: 13.7%). Max pain ranged from $39.00 to $47.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.38.

Notable Days

2017-01-20: Highest Volume — 239 contracts
2017-01-30: Largest IV drop — 31.5% change
2017-01-03: Highest IV Rank — 8.7%
2017-01-03: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.76	$40.21	$42.36	$40.21	$42.21
Max Pain	$40.25	$39.00	$47.00	$47.00	$42.00
ATM IV	13.3%	9.5%	16.1%	16.1%	9.5%
Expected Move	3.8%	2.7%	4.6%	4.6%	2.7%
HV 20d	13.7%	10.0%	16.7%	15.2%	10.0%
HV 60d	13.3%	12.6%	14.1%	13.6%	12.6%
IV Rank	5.8%	1.7%	8.7%	8.7%	1.7%
IV Percentile	9.3%	0.4%	29.4%	25.8%	0.4%
Term Structure	1.0%	-3.1%	31.6%	-0.9%	-1.3%
VWIV	19.7%	9.4%	68.0%	68.0%	9.4%
Skew 25d	7.8%	-13.1%	50.9%	50.9%	2.7%
Skew 10d	3.3%	-25.4%	15.8%	10.0%	-25.4%
Call IV 25d	14.0%	8.8%	46.8%	21.1%	9.3%
Put IV 25d	21.7%	11.9%	72.1%	72.1%	11.9%
Bid-Ask Spread %	127.72	97.16	150.76	136.28	145.00
Gamma HHI	0.45	0.33	0.64	0.40	0.56
Net GEX	15.4K	-25.3K	32.8K	19.8K	32.8K
Net DEX	32.1K	-143.8K	231.9K	231.9K	-4.3K
Net VEX	-1.5K	-1.7K	-1.3K	-1.3K	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.38	1.32	2.10	1.32	1.37
Total Volume	173.1	159	239	176	159
Total OI	333.9	250	376	368	250

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-01-03	$40.21	$47.00	16.1%	4.6%	15.2%	8.7%	68.0%	50.9%	-0.9%	19.8K	231.9K	-1.3K	1.32	136.28	N/A	N/A	76	100	197	171
2017-01-04	$40.66	$47.00	14.0%	4.0%	15.7%	6.5%	49.9%	-13.1%	0.7%	18.4K	199.5K	-1.3K	1.32	137.47	N/A	N/A	76	100	197	171
2017-01-05	$41.24	$39.00	14.6%	4.1%	16.6%	7.1%	12.0%	3.6%	0.6%	18.0K	152.8K	-1.4K	1.41	102.28	N/A	N/A	71	100	197	171
2017-01-06	$41.05	$39.00	14.0%	4.1%	15.9%	6.5%	11.8%	1.8%	0.4%	16.2K	164.9K	-1.4K	1.33	109.75	N/A	N/A	75	100	197	171
2017-01-09	$41.39	$39.00	15.7%	4.3%	16.2%	8.3%	11.2%	3.3%	-0.2%	14.8K	120.0K	-1.5K	1.33	123.57	N/A	N/A	75	100	197	171
2017-01-10	$41.71	$39.00	13.3%	4.2%	16.5%	5.8%	16.6%	3.1%	-1.9%	14.7K	78.4K	-1.4K	1.32	132.31	N/A	N/A	76	100	197	171
2017-01-11	$42.03	$39.00	13.0%	3.7%	16.7%	5.4%	0.0%	4.1%	0.7%	11.5K	37.5K	-1.4K	1.32	116.54	N/A	N/A	76	100	202	171
2017-01-12	$41.99	$39.00	13.8%	4.0%	16.4%	6.3%	12.7%	3.0%	0.2%	12.7K	14.8K	-1.5K	1.32	122.56	N/A	N/A	76	100	202	171
2017-01-13	$42.01	$39.00	13.0%	3.7%	15.1%	5.4%	12.4%	3.4%	-1.6%	3.3K	35.9K	-1.5K	1.32	140.09	N/A	N/A	76	100	202	171
2017-01-17	$41.96	$39.00	13.8%	3.9%	14.7%	6.2%	12.2%	2.7%	-2.2%	-1.6K	45.3K	-1.4K	1.32	97.16	N/A	N/A	76	100	202	171
2017-01-18	$41.79	$39.00	12.3%	3.5%	14.4%	4.6%	12.3%	4.3%	3.9%	19.6K	-7.6K	-1.4K	1.34	137.57	N/A	N/A	76	102	202	171
2017-01-19	$41.91	$39.00	13.5%	3.9%	14.2%	5.9%	13.5%	2.4%	0.2%	-20.9K	42.2K	-1.4K	1.32	106.04	N/A	N/A	77	102	202	173
2017-01-20	$41.90	$39.00	13.3%	3.8%	14.1%	5.8%	13.1%	0.9%	-0.8%	-25.3K	62.0K	-1.3K	2.10	126.80	N/A	N/A	77	162	203	173
2017-01-23	$41.94	$39.00	12.8%	3.7%	10.5%	5.2%	12.5%	4.6%	31.6%	26.4K	-84.6K	-1.6K	1.37	105.62	N/A	N/A	67	92	172	104
2017-01-24	$42.26	$39.00	11.8%	3.4%	10.5%	4.2%	14.3%	30.1%	-2.1%	30.8K	-140.7K	-1.7K	1.37	145.32	N/A	N/A	67	92	172	104
2017-01-25	$42.36	$39.00	13.2%	3.8%	10.0%	5.6%	12.5%	3.2%	-0.2%	29.0K	-120.9K	-1.7K	1.37	126.54	N/A	N/A	67	92	172	104
2017-01-26	$42.26	$39.00	12.3%	3.5%	10.2%	4.7%	41.0%	6.2%	-2.5%	28.5K	-143.8K	-1.7K	1.37	148.66	N/A	N/A	67	92	172	104
2017-01-27	$42.32	$42.00	15.8%	4.5%	10.2%	8.4%	17.4%	33.2%	-3.1%	27.5K	-42.6K	-1.7K	1.37	150.76	N/A	N/A	67	92	146	104
2017-01-30	$42.09	$42.00	10.8%	3.1%	10.5%	3.1%	21.8%	4.7%	-2.4%	31.6K	2.2K	-1.6K	1.37	144.11	N/A	N/A	67	92	146	104
2017-01-31	$42.21	$42.00	9.5%	2.7%	10.0%	1.7%	9.4%	2.7%	-1.3%	32.8K	-4.3K	-1.6K	1.37	145.00	N/A	N/A	67	92	146	104