EPP Options History — October 2017

In October 2017, EPP traded between $46.18 and $47.56. ATM implied volatility averaged 11.1%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 3.8% (HV 20d: 7.3%). Max pain ranged from $44.00 to $47.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.29.

Notable Days

  • 2017-10-04: Highest Volume — 228 contracts
  • 2017-10-11: Largest IV spike — 95.6% change
  • 2017-10-11: Highest IV Rank — 9.5%
  • 2017-10-11: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.83$46.18$47.56$46.47$46.68
Max Pain$45.95$44.00$47.00$44.00$47.00
ATM IV11.1%6.6%12.8%12.5%10.7%
Expected Move3.3%2.9%3.7%3.6%3.1%
HV 20d7.3%6.3%8.1%7.9%7.5%
HV 60d9.0%8.7%9.5%9.5%9.0%
IV Rank6.3%0.0%9.5%7.1%6.2%
IV Percentile23.3%0.0%53.2%47.6%12.3%
Term Structure1.0%-0.1%3.0%0.9%0.3%
VWIV11.1%8.4%16.1%11.2%10.1%
Skew 25d3.3%0.5%5.4%4.5%4.1%
Skew 10d7.4%1.2%35.8%5.8%8.8%
Call IV 25d10.0%7.4%15.6%9.8%9.4%
Put IV 25d13.2%11.9%16.1%14.3%13.5%
Bid-Ask Spread %75.8822.57122.9024.49117.36
Gamma HHI0.420.340.510.390.44
Net GEX82.6K41.6K128.5K96.6K43.0K
Net DEX-611.5K-999.4K-236.9K-638.0K-236.9K
Net VEX-2.2K-2.5K-1.8K-2.5K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.210.630.270.22
Total Volume1777922821889
Total OI343.318240394380241

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$46.47$44.0012.5%3.6%7.9%7.1%11.2%4.5%0.9%96.6K-638.0K-2.5K0.2724.49N/AN/A1724632258
2017-10-03$46.36$44.0012.4%3.6%7.3%6.9%11.6%2.5%0.5%95.9K-586.9K-2.4K0.2742.91N/AN/A1724632258
2017-10-04$46.24$44.0012.0%3.5%7.2%6.4%11.7%3.7%1.1%96.9K-568.2K-2.4K0.2525.06N/AN/A1824632258
2017-10-05$46.28$45.0010.9%3.5%7.2%4.5%11.9%2.9%0.8%107.1K-591.7K-2.4K0.2523.50N/AN/A1824633258
2017-10-06$46.24$45.0011.9%3.4%7.2%6.1%11.4%2.8%1.6%106.2K-560.0K-2.4K0.2525.24N/AN/A1824633256
2017-10-09$46.18$45.0012.0%3.5%6.3%6.3%11.8%3.0%0.8%109.3K-570.7K-2.2K0.2558.58N/AN/A1824633256
2017-10-10$46.53$45.006.6%3.1%6.9%0.0%12.1%2.9%1.4%112.4K-663.2K-2.3K0.2522.57N/AN/A1824633256
2017-10-11$46.56$45.0012.8%3.7%6.6%9.5%16.1%0.5%3.0%128.5K-714.0K-2.3K0.2586.72N/AN/A1824633256
2017-10-12$46.73$45.0010.3%2.9%6.7%5.6%11.0%2.9%2.1%112.1K-743.6K-2.2K0.2693.38N/AN/A1774633256
2017-10-13$47.31$45.0011.1%3.2%8.1%6.9%10.4%2.5%1.1%110.6K-897.7K-2.3K0.25107.08N/AN/A1774433656
2017-10-16$47.41$47.0011.5%3.3%8.1%7.4%10.9%4.0%1.0%97.1K-951.2K-2.2K0.2598.21N/AN/A1774433658
2017-10-17$47.54$47.0010.0%2.9%8.1%5.2%10.7%4.0%2.0%94.6K-981.4K-2.1K0.2893.73N/AN/A1564433658
2017-10-18$47.56$47.0010.1%2.9%8.1%5.3%10.9%4.0%1.4%93.1K-999.4K-2.1K0.2995.19N/AN/A1524433558
2017-10-19$47.46$47.0011.3%3.2%6.8%7.1%10.3%3.5%1.3%90.2K-963.8K-2.1K0.2993.78N/AN/A1524433558
2017-10-20$47.38$47.0011.3%3.2%6.8%7.1%10.1%3.1%1.1%49.9K-968.8K-2.0K0.3276.15N/AN/A1524933558
2017-10-23$47.11$47.0011.6%3.3%6.7%7.6%11.4%2.3%0.8%46.7K-352.3K-2.1K0.6373.75N/AN/A644020344
2017-10-24$47.10$47.0011.6%3.3%6.4%7.7%10.8%3.1%-0.0%48.0K-348.9K-2.0K0.6397.86N/AN/A644020344
2017-10-25$46.64$47.0011.0%3.2%7.4%6.8%12.8%1.2%0.7%45.7K-269.7K-1.9K0.2397.15N/AN/A641520344
2017-10-26$46.76$47.0010.7%3.1%7.5%6.3%9.2%4.9%0.6%44.1K-276.8K-2.0K0.2396.88N/AN/A641520349
2017-10-27$46.94$47.0010.5%3.0%7.5%6.0%8.4%5.4%0.5%48.0K-313.8K-2.0K0.2196.92N/AN/A731520347
2017-10-30$46.74$47.0011.4%3.3%7.5%7.3%9.7%4.6%-0.1%41.6K-255.5K-1.8K0.22122.90N/AN/A731619347
2017-10-31$46.68$47.0010.7%3.1%7.5%6.2%10.1%4.1%0.3%43.0K-236.9K-1.8K0.22117.36N/AN/A731619348