EPP Options History — July 2017

In July 2017, EPP traded between $43.93 and $46.57. ATM implied volatility averaged 14.0%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.0% (HV 20d: 13.0%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.25.

Notable Days

2017-07-03: Highest Volume — 290 contracts
2017-07-26: Largest IV spike — 150.7% change
2017-07-26: Highest IV Rank — 33.4%
2017-07-05: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.37	$43.93	$46.57	$44.23	$46.47
Max Pain	$42.90	$42.00	$43.00	$42.00	$43.00
ATM IV	14.0%	10.5%	31.7%	19.8%	11.7%
Expected Move	4.0%	3.0%	9.1%	5.7%	3.3%
HV 20d	13.0%	10.0%	15.5%	15.0%	10.1%
HV 60d	11.9%	11.6%	12.0%	11.7%	11.6%
IV Rank	8.2%	3.9%	33.4%	12.7%	5.8%
IV Percentile	31.0%	6.3%	94.8%	86.5%	21.0%
Term Structure	-0.1%	-5.6%	2.4%	-4.7%	0.5%
VWIV	15.1%	8.8%	47.6%	21.7%	10.4%
Skew 25d	2.1%	-10.2%	5.2%	1.1%	2.9%
Skew 10d	3.5%	-32.2%	9.8%	2.8%	4.3%
Call IV 25d	13.3%	8.9%	47.3%	15.9%	10.0%
Put IV 25d	15.4%	12.1%	47.2%	17.0%	12.9%
Bid-Ask Spread %	74.81	23.56	152.17	148.12	31.90
Gamma HHI	0.34	0.22	0.43	0.30	0.43
Net GEX	45.3K	15.0K	58.2K	15.0K	54.7K
Net DEX	-448.2K	-660.5K	-197.6K	-197.6K	-534.0K
Net VEX	-2.4K	-3.1K	-846	-846	-3.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.20	0.43	0.27	0.20
Total Volume	258.95	193	290	290	224
Total OI	295.15	171	333	171	313

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
2017-07-03	$44.23	$42.00	19.8%	5.7%	15.0%	12.7%	21.7%	1.1%	-4.7%	15.0K	-197.6K	-846	0.27	148.12	N/A	N/A	228	62	114	57
2017-07-05	$44.38	$42.00	31.7%	9.1%	15.0%	25.4%	47.6%	-0.2%	-5.6%	23.7K	-379.5K	-2.4K	0.27	152.17	N/A	N/A	228	62	224	67
2017-07-06	$43.93	$43.00	12.6%	3.7%	15.5%	4.9%	13.3%	2.5%	2.4%	34.9K	-301.1K	-2.0K	0.27	97.73	N/A	N/A	228	62	224	67
2017-07-07	$44.05	$43.00	13.0%	3.4%	15.4%	6.1%	9.1%	3.5%	1.7%	34.0K	-274.4K	-1.8K	0.27	98.51	N/A	N/A	228	62	224	67
2017-07-10	$44.25	$43.00	12.7%	3.7%	15.5%	5.8%	10.8%	3.1%	0.1%	41.5K	-307.8K	-1.8K	0.27	104.32	N/A	N/A	228	62	224	67
2017-07-11	$44.37	$43.00	11.8%	3.5%	15.5%	4.8%	8.8%	5.2%	0.6%	43.9K	-338.6K	-1.9K	0.24	53.30	N/A	N/A	228	55	224	67
2017-07-12	$44.58	$43.00	11.2%	3.2%	14.3%	3.9%	11.3%	2.2%	0.6%	48.0K	-358.3K	-1.9K	0.24	60.74	N/A	N/A	228	55	224	67
2017-07-13	$45.01	$43.00	11.3%	3.2%	14.7%	5.2%	11.1%	2.7%	1.1%	51.8K	-415.8K	-2.0K	0.24	55.32	N/A	N/A	228	55	224	67
2017-07-14	$45.61	$43.00	11.1%	3.2%	15.3%	5.0%	11.3%	2.7%	0.0%	53.3K	-498.3K	-2.0K	0.24	72.08	N/A	N/A	230	55	224	67
2017-07-17	$45.41	$43.00	11.8%	3.4%	15.4%	6.0%	11.3%	2.5%	1.2%	51.3K	-482.2K	-2.1K	0.27	35.10	N/A	N/A	204	55	226	67
2017-07-18	$45.54	$43.00	11.1%	3.2%	15.2%	4.8%	11.8%	4.8%	0.9%	58.2K	-564.3K	-2.5K	0.27	35.52	N/A	N/A	204	55	266	67
2017-07-19	$46.11	$43.00	12.8%	3.7%	10.7%	7.5%	12.5%	2.3%	0.9%	49.9K	-660.5K	-2.6K	0.27	90.61	N/A	N/A	204	55	266	67
2017-07-20	$46.14	$43.00	12.2%	3.5%	10.0%	6.6%	12.9%	3.6%	0.7%	48.4K	-659.3K	-2.6K	0.27	82.09	N/A	N/A	204	55	266	67
2017-07-21	$45.83	$43.00	10.5%	3.0%	10.5%	4.0%	11.5%	2.0%	1.4%	51.1K	-619.9K	-2.5K	0.43	23.56	N/A	N/A	195	83	266	67
2017-07-24	$45.94	$43.00	11.4%	3.3%	10.5%	5.4%	12.4%	3.2%	-0.9%	47.3K	-401.6K	-2.9K	0.22	42.09	N/A	N/A	158	35	233	47
2017-07-25	$46.22	$43.00	11.8%	3.4%	10.6%	5.9%	12.9%	2.2%	-0.1%	47.3K	-459.5K	-2.9K	0.23	51.20	N/A	N/A	158	37	233	47
2017-07-26	$46.57	$43.00	29.5%	8.4%	10.6%	33.4%	40.0%	-10.2%	-4.6%	40.7K	-485.4K	-2.9K	0.20	120.05	N/A	N/A	186	37	233	49
2017-07-27	$46.42	$43.00	11.3%	3.2%	10.1%	5.2%	9.9%	2.4%	0.7%	54.7K	-521.4K	-3.1K	0.20	52.91	N/A	N/A	186	37	263	49
2017-07-28	$46.29	$43.00	11.3%	3.3%	10.3%	5.3%	11.0%	2.8%	0.6%	55.6K	-505.5K	-3.1K	0.20	88.85	N/A	N/A	186	37	263	49
2017-07-31	$46.47	$43.00	11.7%	3.3%	10.1%	5.8%	10.4%	2.9%	0.5%	54.7K	-534.0K	-3.1K	0.20	31.90	N/A	N/A	187	37	264	49