EPP Options History — February 2017 In February 2017, EPP traded between $42.28 and $44.01. ATM implied volatility averaged 21.8%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 14.7% (HV 20d: 7.2%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.38.
Notable Days 2017-02-17 : Highest Volume — 177 contracts2017-02-22 : Largest IV spike — 440.7% change2017-02-28 : Highest IV Rank — 65.2%2017-02-28 : Largest Expected Move — 19.8%Monthly Statistics Metric Avg Min Max Open Close Price $43.18 $42.28 $44.01 $42.39 $43.43 Max Pain $42.92 $42.00 $43.00 $42.00 $43.00 ATM IV 21.8% 10.7% 69.0% 47.4% 69.0% Expected Move 6.3% 3.1% 19.8% 13.6% 19.8% HV 20d 7.2% 5.9% 8.5% 8.5% 8.0% HV 60d 11.5% 10.9% 12.7% 12.7% 11.2% IV Rank 14.9% 3.0% 65.2% 42.2% 65.2% IV Percentile 27.4% 1.6% 98.4% 96.8% 98.4% Term Structure -7.6% -48.4% 1.3% -20.3% -48.4% VWIV 23.2% 9.7% 64.8% 32.2% 64.8% Skew 25d 3.4% 0.6% 16.6% 16.6% 4.8% Skew 10d 4.1% -18.5% 22.8% -7.3% 19.9% Call IV 25d 24.3% 9.0% 92.4% 29.4% 92.4% Put IV 25d 27.7% 12.1% 97.1% 45.9% 97.1% Bid-Ask Spread % 125.23 76.15 155.23 155.01 155.23 Gamma HHI 0.60 0.38 0.72 0.54 0.38 Net GEX 30.1K 14.7K 37.4K 21.9K 14.7K Net DEX -122.7K -244.2K -21.3K -45.0K -135.9K Net VEX -1.5K -1.7K -1.3K -1.7K -1.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.38 1.08 1.59 1.37 1.59 Total Volume 159.789 150 177 159 150 Total OI 255.421 250 271 250 271
Daily Data (19 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 2017-02-01 $42.39 $42.00 47.4% 13.6% 8.5% 42.2% 32.2% 16.6% -20.3% 21.9K -45.0K -1.7K 1.37 155.01 N/A N/A 67 92 146 104 2017-02-02 $42.57 $0.00 12.0% 3.6% 7.9% 4.4% 0.0% 2.8% -1.5% 31.4K -42.0K -1.6K 1.37 118.29 N/A N/A 67 92 146 104 2017-02-03 $42.63 $0.00 10.7% 3.2% 6.6% 3.0% 0.0% 3.1% -3.3% 29.8K -71.2K -1.6K 1.37 145.75 N/A N/A 67 92 146 104 2017-02-06 $42.34 $0.00 13.2% 3.8% 6.9% 5.6% 0.0% 2.4% 0.1% 29.8K -24.8K -1.6K 1.37 117.03 N/A N/A 67 92 146 104 2017-02-07 $42.28 $0.00 13.5% 3.8% 6.5% 6.0% 0.0% 3.1% -0.2% 30.3K -21.3K -1.6K 1.37 105.54 N/A N/A 67 92 146 104 2017-02-08 $42.56 $0.00 12.1% 3.5% 6.4% 4.5% 0.0% 2.1% 0.1% 32.2K -46.0K -1.6K 1.37 76.15 N/A N/A 67 92 146 104 2017-02-09 $42.71 $0.00 10.8% 3.1% 5.9% 3.1% 10.6% 2.4% 1.3% 32.9K -65.7K -1.5K 1.35 125.35 N/A N/A 68 92 146 104 2017-02-10 $43.10 $43.00 12.2% 3.5% 6.6% 4.5% 12.1% 0.9% 0.6% 31.1K -113.8K -1.5K 1.19 100.44 N/A N/A 77 92 147 104 2017-02-13 $43.25 $43.00 11.9% 3.4% 6.6% 4.2% 11.4% 2.3% 1.0% 31.4K -126.5K -1.5K 1.19 116.84 N/A N/A 77 92 147 104 2017-02-14 $43.25 $43.00 11.5% 3.3% 6.6% 3.9% 11.5% 1.3% 1.3% 32.5K -123.9K -1.5K 1.19 78.42 N/A N/A 77 92 147 104 2017-02-15 $43.74 $43.00 10.9% 3.1% 7.1% 3.2% 10.5% 2.5% -1.5% 35.4K -176.3K -1.4K 1.19 145.97 N/A N/A 77 92 147 104 2017-02-16 $43.61 $43.00 10.9% 3.1% 7.3% 3.2% 11.9% 0.8% 0.7% 29.2K -172.5K -1.4K 1.19 121.13 N/A N/A 77 92 147 104 2017-02-17 $43.65 $43.00 11.0% 3.1% 7.3% 3.2% 11.6% 1.5% 0.3% 31.6K -171.7K -1.4K 1.08 122.20 N/A N/A 85 92 148 104 2017-02-21 $43.78 $43.00 10.7% 3.1% 7.3% 3.0% 10.5% 2.0% 1.3% 34.7K -215.8K -1.4K 1.59 117.51 N/A N/A 58 92 157 104 2017-02-22 $43.92 $43.00 57.9% 16.6% 7.0% 53.4% 53.9% 2.0% -48.2% 34.3K -193.9K -1.5K 1.59 154.26 N/A N/A 58 92 157 104 2017-02-23 $44.01 $43.00 11.3% 3.2% 7.0% 3.6% 9.7% 0.6% -1.5% 34.4K -244.2K -1.3K 1.59 127.47 N/A N/A 58 92 157 104 2017-02-24 $43.54 $43.00 58.7% 16.8% 8.2% 54.2% 54.2% 3.5% -15.5% 17.2K -146.4K -1.7K 1.59 154.71 N/A N/A 58 92 167 104 2017-02-27 $43.60 $43.00 19.1% 5.5% 8.2% 11.9% 19.8% 10.7% -10.3% 37.4K -194.4K -1.4K 1.59 142.08 N/A N/A 58 92 167 104 2017-02-28 $43.43 $43.00 69.0% 19.8% 8.0% 65.2% 64.8% 4.8% -48.4% 14.7K -135.9K -1.7K 1.59 155.23 N/A N/A 58 92 167 104
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