EPP Options History — June 2017

In June 2017, EPP traded between $43.78 and $45.50. ATM implied volatility averaged 15.5%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.9% (HV 20d: 11.6%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.44.

Notable Days

2017-06-08: Highest Volume — 237 contracts
2017-06-30: Largest IV spike — 355.7% change
2017-06-30: Highest IV Rank — 43.2%
2017-06-30: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.62	$43.78	$45.50	$44.38	$44.55
Max Pain	$42.18	$42.00	$44.00	$44.00	$42.00
ATM IV	15.5%	9.7%	48.4%	11.7%	48.4%
Expected Move	4.3%	2.8%	13.9%	3.3%	13.9%
HV 20d	11.6%	8.8%	15.3%	8.9%	14.9%
HV 60d	10.5%	9.0%	11.6%	10.2%	11.6%
IV Rank	8.1%	1.8%	43.2%	4.0%	43.2%
IV Percentile	31.7%	2.4%	97.2%	13.5%	97.2%
Term Structure	-0.9%	-18.7%	7.3%	-1.9%	-17.9%
VWIV	17.8%	10.5%	54.3%	13.9%	54.3%
Skew 25d	3.5%	-1.9%	10.4%	0.5%	-1.9%
Skew 10d	6.9%	1.7%	14.3%	8.9%	12.2%
Call IV 25d	14.9%	6.6%	69.9%	13.8%	69.9%
Put IV 25d	18.3%	11.6%	68.0%	14.4%	68.0%
Bid-Ask Spread %	72.09	28.16	148.71	66.33	143.63
Gamma HHI	0.53	0.31	0.87	0.81	0.38
Net GEX	48.9K	9.3K	138.1K	63.6K	9.3K
Net DEX	-217.8K	-441.3K	-93.0K	-190.3K	-189.3K
Net VEX	-892	-1.2K	-714	-725	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.30	0.68	0.42	0.48
Total Volume	191.5	136	237	182	175
Total OI	190.182	141	250	203	171

Daily Data (22 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
2017-06-01	$44.38	$44.00	11.7%	3.3%	8.9%	4.0%	13.9%	0.5%	-1.9%	63.6K	-190.3K	-725	0.42	66.33	N/A	N/A	128	54	149	54
2017-06-02	$44.84	$44.00	13.1%	3.8%	9.5%	5.5%	13.1%	4.6%	-0.9%	77.0K	-284.1K	-837	0.42	28.16	N/A	N/A	128	54	149	54
2017-06-05	$44.70	$42.00	16.0%	4.0%	9.6%	8.6%	17.7%	4.3%	0.9%	68.5K	-264.0K	-779	0.30	79.50	N/A	N/A	182	54	149	54
2017-06-06	$44.55	$42.00	16.7%	4.0%	9.5%	9.3%	18.4%	4.5%	-0.1%	75.7K	-259.6K	-1.2K	0.30	92.29	N/A	N/A	182	54	195	54
2017-06-07	$44.56	$42.00	14.9%	3.7%	9.4%	7.5%	16.9%	4.4%	1.3%	84.2K	-261.9K	-1.2K	0.30	47.47	N/A	N/A	182	54	195	54
2017-06-08	$44.74	$42.00	14.6%	3.7%	9.1%	7.2%	17.0%	5.8%	-0.3%	96.5K	-301.8K	-1.1K	0.30	91.75	N/A	N/A	182	55	195	54
2017-06-09	$44.68	$42.00	13.3%	4.3%	9.1%	5.7%	17.0%	3.7%	-0.4%	105.3K	-273.6K	-1.1K	0.30	81.99	N/A	N/A	182	55	195	55
2017-06-12	$44.52	$42.00	12.8%	3.6%	9.2%	5.2%	16.4%	4.0%	1.5%	107.2K	-218.1K	-995	0.30	53.75	N/A	N/A	182	55	195	55
2017-06-13	$45.27	$42.00	16.0%	3.7%	10.7%	8.6%	19.5%	3.8%	0.9%	138.1K	-441.3K	-1.0K	0.30	50.21	N/A	N/A	182	55	195	55
2017-06-14	$45.41	$42.00	41.9%	12.0%	10.8%	36.2%	41.9%	1.4%	-18.7%	23.0K	-413.9K	-1.2K	0.30	148.71	N/A	N/A	182	55	195	55
2017-06-15	$45.11	$42.00	11.8%	3.4%	8.8%	4.1%	17.9%	7.1%	1.9%	29.2K	-175.6K	-841	0.30	90.42	N/A	N/A	182	55	99	55
2017-06-16	$45.18	$42.00	11.3%	3.2%	8.8%	3.6%	18.5%	3.0%	1.0%	42.2K	-190.9K	-787	0.62	74.57	N/A	N/A	89	55	100	55
2017-06-19	$45.50	$42.00	10.7%	3.1%	8.9%	3.0%	11.0%	10.4%	7.3%	17.9K	-159.8K	-851	0.68	63.78	N/A	N/A	81	55	89	55
2017-06-20	$44.12	$42.00	11.4%	3.3%	14.3%	3.7%	12.7%	2.1%	0.8%	12.2K	-133.4K	-770	0.61	42.08	N/A	N/A	90	55	88	55
2017-06-21	$43.78	$42.00	11.5%	3.3%	14.5%	3.8%	12.8%	2.3%	0.4%	10.1K	-93.0K	-714	0.61	51.68	N/A	N/A	90	55	86	55
2017-06-22	$43.94	$42.00	11.6%	3.3%	14.5%	3.9%	12.2%	2.2%	0.2%	11.5K	-114.5K	-721	0.56	66.53	N/A	N/A	99	55	86	55
2017-06-23	$44.06	$42.00	11.3%	3.2%	14.6%	3.6%	12.4%	2.1%	0.2%	16.3K	-129.1K	-732	0.58	51.05	N/A	N/A	99	57	95	55
2017-06-26	$44.21	$42.00	10.7%	3.1%	14.5%	3.0%	12.0%	2.2%	0.7%	18.4K	-147.7K	-718	0.56	61.19	N/A	N/A	102	57	95	57
2017-06-27	$44.11	$42.00	11.1%	3.2%	14.5%	3.3%	13.0%	1.9%	1.1%	18.8K	-145.4K	-738	0.55	104.53	N/A	N/A	103	57	98	57
2017-06-28	$44.68	$42.00	9.7%	2.8%	15.3%	1.8%	10.5%	4.0%	1.1%	23.0K	-197.0K	-742	0.50	45.58	N/A	N/A	113	57	99	57
2017-06-29	$44.73	$42.00	10.6%	3.0%	15.2%	2.9%	11.9%	3.3%	0.5%	27.2K	-207.4K	-787	0.48	50.74	N/A	N/A	118	57	109	57
2017-06-30	$44.55	$42.00	48.4%	13.9%	14.9%	43.2%	54.3%	-1.9%	-17.9%	9.3K	-189.3K	-1.1K	0.48	143.63	N/A	N/A	118	57	114	57