EPP Options History — September 2017

In September 2017, EPP traded between $46.08 and $47.29. ATM implied volatility averaged 11.4%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 1.5% (HV 20d: 9.8%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.28.

Notable Days

2017-09-05: Highest Volume — 286 contracts
2017-09-25: Largest IV spike — 18.2% change
2017-09-26: Highest IV Rank — 8.1%
2017-09-05: Largest Expected Move — 3.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.71	$46.08	$47.29	$46.91	$46.25
Max Pain	$44.10	$44.00	$46.00	$46.00	$44.00
ATM IV	11.4%	9.4%	13.1%	9.4%	11.6%
Expected Move	3.4%	2.7%	3.8%	2.7%	3.3%
HV 20d	9.8%	8.0%	12.0%	11.4%	8.0%
HV 60d	10.7%	9.5%	12.3%	12.1%	9.5%
IV Rank	5.3%	2.3%	8.1%	2.3%	5.7%
IV Percentile	23.9%	2.0%	54.4%	2.0%	27.0%
Term Structure	2.3%	-1.0%	21.2%	1.6%	0.5%
VWIV	13.1%	9.7%	27.9%	9.7%	11.7%
Skew 25d	3.4%	2.2%	7.9%	4.6%	2.8%
Skew 10d	7.9%	4.0%	9.9%	4.0%	9.8%
Call IV 25d	10.5%	7.6%	11.6%	7.6%	9.9%
Put IV 25d	13.8%	12.2%	18.0%	12.2%	12.6%
Bid-Ask Spread %	42.01	18.08	127.43	26.18	103.32
Gamma HHI	0.43	0.35	0.55	0.51	0.37
Net GEX	83.8K	72.4K	103.5K	74.2K	95.7K
Net DEX	-679.5K	-844.3K	-512.3K	-702.4K	-567.1K
Net VEX	-2.8K	-2.9K	-2.5K	-2.9K	-2.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.28	0.23	0.38	0.25	0.27
Total Volume	233.55	208	286	282	218
Total OI	377.3	365	399	365	380

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
2017-09-01	$46.91	$46.00	9.4%	2.7%	11.4%	2.3%	9.7%	4.6%	1.6%	74.2K	-702.4K	-2.9K	0.25	26.18	N/A	N/A	225	57	295	70
2017-09-05	$46.50	$44.00	9.6%	3.8%	11.9%	2.6%	13.3%	3.4%	0.7%	72.4K	-624.9K	-2.9K	0.27	38.10	N/A	N/A	225	61	295	70
2017-09-06	$46.69	$44.00	10.4%	3.3%	11.9%	3.8%	12.1%	4.0%	3.4%	72.6K	-616.4K	-2.9K	0.30	61.36	N/A	N/A	206	61	295	74
2017-09-07	$46.80	$44.00	10.7%	3.3%	12.0%	4.3%	12.2%	2.3%	2.2%	76.3K	-670.4K	-2.9K	0.30	25.12	N/A	N/A	206	61	296	74
2017-09-08	$46.77	$44.00	10.4%	3.3%	10.9%	3.9%	13.5%	2.8%	1.9%	78.8K	-699.2K	-2.9K	0.38	67.42	N/A	N/A	162	61	296	74
2017-09-11	$47.16	$44.00	12.2%	3.3%	11.2%	6.5%	13.3%	3.2%	1.8%	80.3K	-763.9K	-2.9K	0.34	42.50	N/A	N/A	179	61	306	74
2017-09-12	$47.29	$44.00	11.8%	3.4%	11.2%	6.0%	12.6%	3.5%	1.7%	88.8K	-844.3K	-2.9K	0.34	24.92	N/A	N/A	179	61	324	74
2017-09-13	$46.98	$44.00	11.3%	3.2%	11.3%	5.2%	12.4%	3.1%	2.4%	93.8K	-773.7K	-2.9K	0.34	23.50	N/A	N/A	179	61	324	74
2017-09-14	$46.93	$44.00	11.0%	3.2%	9.9%	4.8%	12.6%	2.9%	2.4%	103.5K	-749.4K	-2.9K	0.34	23.77	N/A	N/A	179	61	324	74
2017-09-15	$46.91	$44.00	11.4%	3.3%	8.5%	5.4%	12.9%	3.9%	2.4%	77.5K	-715.7K	-2.9K	0.34	38.73	N/A	N/A	179	61	325	74
2017-09-18	$47.00	$44.00	11.5%	3.3%	8.3%	5.5%	12.8%	2.8%	0.8%	79.4K	-745.5K	-2.8K	0.24	29.95	N/A	N/A	168	40	314	52
2017-09-19	$47.12	$44.00	11.4%	3.3%	8.3%	5.3%	11.5%	3.5%	0.6%	82.3K	-784.9K	-2.8K	0.23	18.08	N/A	N/A	173	40	314	52
2017-09-20	$47.04	$44.00	13.0%	3.7%	8.0%	7.8%	27.9%	2.7%	21.2%	80.3K	-775.2K	-2.9K	0.23	127.43	N/A	N/A	173	40	320	52
2017-09-21	$46.51	$44.00	11.1%	3.2%	8.9%	4.9%	12.5%	2.2%	0.9%	84.0K	-656.4K	-2.8K	0.23	30.67	N/A	N/A	173	40	320	52
2017-09-22	$46.69	$44.00	10.8%	3.1%	9.0%	4.5%	12.2%	3.0%	1.2%	87.2K	-683.8K	-2.7K	0.23	30.95	N/A	N/A	173	40	321	52
2017-09-25	$46.39	$44.00	12.8%	3.7%	9.1%	7.6%	12.8%	2.8%	0.4%	85.9K	-607.7K	-2.6K	0.23	24.50	N/A	N/A	173	40	321	52
2017-09-26	$46.18	$44.00	13.1%	3.8%	9.2%	8.1%	13.5%	7.9%	-1.0%	85.9K	-564.1K	-2.7K	0.27	55.83	N/A	N/A	173	46	321	52
2017-09-27	$46.10	$44.00	12.1%	3.5%	9.1%	6.5%	11.9%	2.8%	0.6%	88.0K	-533.1K	-2.5K	0.27	25.01	N/A	N/A	172	46	321	58
2017-09-28	$46.08	$44.00	11.9%	3.4%	9.0%	6.1%	11.2%	2.9%	0.7%	89.5K	-512.3K	-2.5K	0.27	22.93	N/A	N/A	172	46	322	58
2017-09-29	$46.25	$44.00	11.6%	3.3%	8.0%	5.7%	11.7%	2.8%	0.5%	95.7K	-567.1K	-2.5K	0.27	103.32	N/A	N/A	172	46	322	58