EPP Options History — August 2017

In August 2017, EPP traded between $45.77 and $46.66. ATM implied volatility averaged 11.7%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 2.0% (HV 20d: 9.7%). Max pain ranged from $43.00 to $46.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.25.

Notable Days

  • 2017-08-31: Highest Volume — 283 contracts
  • 2017-08-17: Largest IV spike — 23.0% change
  • 2017-08-29: Highest IV Rank — 8.4%
  • 2017-08-29: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.29$45.77$46.66$46.65$46.66
Max Pain$45.74$43.00$46.00$43.00$46.00
ATM IV11.7%10.0%13.3%10.6%10.1%
Expected Move3.3%2.9%3.8%3.1%2.9%
HV 20d9.7%8.5%11.3%9.5%11.3%
HV 60d11.7%11.2%12.1%11.6%12.1%
IV Rank5.8%3.2%8.4%4.2%3.3%
IV Percentile23.8%3.6%51.2%7.1%4.4%
Term Structure0.6%-0.3%1.3%-0.0%1.0%
VWIV11.7%10.0%14.7%11.1%10.0%
Skew 25d3.0%1.8%4.4%4.4%3.7%
Skew 10d6.5%1.8%10.8%7.7%10.6%
Call IV 25d10.2%8.4%12.1%8.5%8.8%
Put IV 25d13.3%11.3%15.4%12.9%12.5%
Bid-Ask Spread %30.9317.9396.2449.8021.97
Gamma HHI0.430.380.480.440.48
Net GEX64.6K55.4K85.2K55.4K71.4K
Net DEX-532.1K-627.2K-402.8K-583.9K-627.2K
Net VEX-3.0K-3.1K-2.8K-3.1K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.200.290.200.26
Total Volume259224283224283
Total OI343.87313368313366

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$46.65$43.0010.6%3.1%9.5%4.2%11.1%4.4%-0.0%55.4K-583.9K-3.1K0.2049.80N/AN/A1873726449
2017-08-02$46.62$43.0010.4%3.0%9.5%3.8%10.9%2.2%0.6%57.3K-566.6K-3.1K0.2134.08N/AN/A1873926449
2017-08-03$46.48$46.0012.3%3.5%8.6%6.8%12.0%2.6%0.6%55.7K-536.1K-3.1K0.2118.63N/AN/A1873926451
2017-08-04$46.41$46.0011.7%3.3%8.7%5.8%10.8%2.8%0.9%57.5K-520.0K-3.0K0.2024.63N/AN/A1973926451
2017-08-07$46.43$46.0012.1%3.3%8.7%6.5%10.7%2.4%1.0%64.0K-547.9K-3.0K0.2018.32N/AN/A1973927451
2017-08-08$46.36$46.0012.2%3.5%8.8%6.6%11.3%2.0%0.5%63.4K-542.1K-3.1K0.2022.30N/AN/A1973927451
2017-08-09$46.35$46.0011.7%3.4%8.8%5.9%11.1%2.3%0.9%64.8K-526.5K-3.0K0.2021.25N/AN/A1973927451
2017-08-10$45.77$46.0012.7%3.6%9.7%7.4%14.7%3.7%0.2%59.3K-432.6K-3.0K0.2923.63N/AN/A1975827451
2017-08-11$45.80$46.0012.3%3.5%8.5%6.7%14.7%3.6%0.8%59.1K-415.1K-3.0K0.2917.97N/AN/A1975827472
2017-08-14$46.02$46.0011.9%3.4%8.5%6.2%13.7%3.6%0.5%65.8K-465.1K-2.9K0.2923.65N/AN/A1975827472
2017-08-15$45.82$46.0011.6%3.3%8.6%5.7%13.8%3.3%0.4%65.4K-402.8K-2.8K0.2921.36N/AN/A1975827472
2017-08-16$46.57$46.0010.0%2.9%9.4%3.2%13.2%4.2%1.3%69.9K-581.3K-3.0K0.2931.69N/AN/A1975827472
2017-08-17$45.95$46.0012.3%3.5%10.6%6.7%10.5%3.3%0.6%73.3K-451.6K-2.9K0.2717.93N/AN/A2165827472
2017-08-18$46.20$46.0011.7%3.3%10.5%5.8%10.3%3.1%1.1%85.2K-571.6K-3.0K0.2749.14N/AN/A2175829672
2017-08-21$46.14$46.0011.9%3.4%10.5%6.1%11.2%1.9%0.9%61.2K-501.6K-2.9K0.2640.23N/AN/A2135628370
2017-08-22$46.49$46.0011.7%3.4%10.6%5.9%10.7%4.2%0.7%61.9K-578.7K-3.0K0.2640.03N/AN/A2135628370
2017-08-23$46.33$46.0011.6%3.3%10.3%5.7%10.9%2.8%0.8%59.9K-552.8K-2.9K0.2537.52N/AN/A2255728370
2017-08-24$46.26$46.0011.8%3.4%10.3%6.0%10.6%3.6%0.4%65.6K-562.6K-3.1K0.2526.57N/AN/A2255729571
2017-08-25$46.54$46.0010.3%3.0%10.5%3.7%10.9%3.5%0.7%68.6K-614.6K-3.1K0.2532.04N/AN/A2255729571
2017-08-28$46.44$46.0012.1%3.5%10.4%6.5%11.4%2.9%0.5%67.1K-584.8K-3.0K0.2520.38N/AN/A2255729571
2017-08-29$46.24$46.0013.3%3.8%10.4%8.4%12.3%2.2%-0.3%67.0K-545.5K-3.0K0.2596.24N/AN/A2255729571
2017-08-30$46.11$46.0011.9%3.4%10.4%6.2%11.9%1.8%0.8%66.7K-526.7K-3.0K0.2521.96N/AN/A2255729571
2017-08-31$46.66$46.0010.1%2.9%11.3%3.3%10.0%3.7%1.0%71.4K-627.2K-3.0K0.2621.97N/AN/A2255829571