EPP Options History — March 2017

In March 2017, EPP traded between $43.21 and $45.00. ATM implied volatility averaged 12.3%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.4% (HV 20d: 11.9%). Max pain ranged from $43.00 to $43.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.74.

Notable Days

2017-03-29: Highest Volume — 151 contracts
2017-03-22: Largest IV spike — 47.9% change
2017-03-22: Highest IV Rank — 12.0%
2017-03-22: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.03	$43.21	$45.00	$44.03	$44.76
Max Pain	$43.00	$43.00	$43.00	$43.00	$43.00
ATM IV	12.3%	9.0%	19.1%	11.6%	11.2%
Expected Move	3.5%	2.6%	5.5%	3.3%	3.2%
HV 20d	11.9%	9.1%	13.6%	9.1%	11.8%
HV 60d	11.3%	10.2%	11.9%	11.5%	10.2%
IV Rank	4.6%	1.1%	12.0%	3.9%	3.5%
IV Percentile	12.5%	0.4%	69.8%	5.6%	6.7%
Term Structure	2.0%	-2.3%	17.5%	2.0%	1.0%
VWIV	12.6%	9.7%	29.5%	29.5%	10.9%
Skew 25d	2.3%	-13.3%	7.7%	7.7%	2.6%
Skew 10d	4.3%	-37.1%	30.6%	30.6%	1.3%
Call IV 25d	11.0%	7.2%	27.2%	10.4%	9.1%
Put IV 25d	13.2%	11.3%	18.7%	18.1%	11.7%
Bid-Ask Spread %	98.34	50.95	146.92	146.92	50.95
Gamma HHI	0.55	0.44	0.63	0.53	0.45
Net GEX	41.4K	27.0K	48.2K	40.5K	37.4K
Net DEX	-260.0K	-382.1K	-154.1K	-241.3K	-338.3K
Net VEX	-1.1K	-1.4K	-749	-1.3K	-816
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.74	1.59	1.98	1.59	1.75
Total Volume	147.435	140	151	150	151
Total OI	271.435	269	280	271	271

Daily Data (23 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
2017-03-01	$44.03	$43.00	11.6%	3.3%	9.1%	3.9%	29.5%	7.7%	2.0%	40.5K	-241.3K	-1.3K	1.59	146.92	N/A	N/A	58	92	167	104
2017-03-02	$43.40	$43.00	12.3%	3.5%	10.8%	4.7%	12.2%	0.9%	-0.5%	40.6K	-189.0K	-1.4K	1.59	69.32	N/A	N/A	58	92	167	104
2017-03-03	$43.49	$43.00	13.6%	3.9%	10.7%	6.0%	9.7%	6.1%	2.1%	48.2K	-166.0K	-1.3K	1.59	119.03	N/A	N/A	58	92	167	104
2017-03-06	$43.40	$43.00	14.4%	3.3%	10.8%	7.0%	11.4%	0.8%	2.9%	46.6K	-177.6K	-1.3K	1.59	93.61	N/A	N/A	58	92	167	104
2017-03-07	$43.46	$43.00	13.7%	3.8%	10.4%	6.2%	13.4%	2.9%	1.1%	39.4K	-179.6K	-1.4K	1.59	78.38	N/A	N/A	58	92	167	104
2017-03-08	$43.27	$43.00	13.2%	3.5%	10.6%	5.6%	12.2%	2.6%	2.5%	43.3K	-207.4K	-1.3K	1.59	116.35	N/A	N/A	58	92	167	104
2017-03-09	$43.21	$43.00	12.8%	3.6%	10.4%	5.1%	12.3%	3.0%	0.7%	44.5K	-154.1K	-1.3K	1.59	106.39	N/A	N/A	58	92	167	104
2017-03-10	$43.62	$43.00	9.9%	3.3%	10.8%	2.1%	11.5%	2.3%	2.4%	44.1K	-203.9K	-1.3K	1.59	110.84	N/A	N/A	58	92	167	104
2017-03-13	$43.69	$43.00	12.5%	3.1%	10.4%	4.9%	11.3%	1.8%	3.0%	45.2K	-221.5K	-1.2K	1.59	104.78	N/A	N/A	58	92	167	104
2017-03-14	$43.43	$43.00	13.3%	3.8%	10.6%	5.7%	11.4%	3.9%	1.7%	44.4K	-177.4K	-1.2K	1.59	87.73	N/A	N/A	58	92	167	104
2017-03-15	$44.46	$43.00	11.2%	3.2%	13.4%	3.5%	13.0%	-13.3%	17.5%	45.1K	-286.5K	-1.1K	1.59	135.67	N/A	N/A	58	92	167	104
2017-03-16	$44.41	$43.00	11.8%	3.4%	12.9%	4.1%	13.5%	3.4%	2.0%	37.1K	-316.1K	-1.1K	1.88	99.06	N/A	N/A	49	92	167	104
2017-03-17	$44.49	$43.00	11.4%	3.3%	12.9%	3.7%	12.0%	1.6%	1.0%	36.1K	-341.8K	-960	1.88	95.23	N/A	N/A	49	92	166	104
2017-03-20	$44.63	$43.00	11.4%	3.3%	12.9%	3.7%	11.4%	3.7%	2.2%	36.7K	-334.3K	-937	1.92	93.92	N/A	N/A	48	92	165	104
2017-03-21	$44.11	$43.00	12.9%	3.7%	13.6%	5.3%	12.1%	0.9%	-0.1%	37.4K	-299.7K	-1.0K	1.98	76.88	N/A	N/A	48	95	165	104
2017-03-22	$43.96	$43.00	19.1%	5.5%	13.6%	12.0%	15.0%	4.6%	0.9%	31.4K	-212.6K	-1.2K	1.94	105.30	N/A	N/A	49	95	165	107
2017-03-23	$43.90	$43.00	11.7%	3.4%	13.6%	4.0%	10.5%	1.9%	0.9%	45.1K	-256.0K	-1.0K	1.94	106.28	N/A	N/A	49	95	166	107
2017-03-24	$44.15	$43.00	12.5%	3.6%	13.2%	4.9%	10.4%	2.4%	-0.7%	42.9K	-283.4K	-976	1.94	86.14	N/A	N/A	49	95	166	107
2017-03-27	$44.17	$43.00	12.1%	3.5%	13.2%	4.4%	10.9%	3.0%	1.9%	47.1K	-289.8K	-935	1.90	104.48	N/A	N/A	50	95	166	107
2017-03-28	$44.61	$43.00	9.0%	2.6%	13.5%	1.1%	9.7%	1.6%	3.4%	45.8K	-363.2K	-872	1.92	81.44	N/A	N/A	50	96	173	107
2017-03-29	$44.97	$43.00	10.4%	3.0%	12.9%	2.6%	11.0%	3.1%	-2.3%	46.0K	-357.5K	-777	1.75	78.16	N/A	N/A	55	96	162	108
2017-03-30	$45.00	$43.00	10.1%	2.9%	11.5%	2.3%	15.0%	5.0%	1.0%	27.0K	-382.1K	-749	1.75	114.99	N/A	N/A	55	96	163	108
2017-03-31	$44.76	$43.00	11.2%	3.2%	11.8%	3.5%	10.9%	2.6%	1.0%	37.4K	-338.3K	-816	1.75	50.95	N/A	N/A	55	96	163	108