EPP Options History — November 2017

In November 2017, EPP traded between $47.04 and $48.00. ATM implied volatility averaged 12.9%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 4.8% (HV 20d: 8.2%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2017-11-29: Highest Volume — 458 contracts
  • 2017-11-02: Largest IV drop — 84.2% change
  • 2017-11-01: Highest IV Rank — 85.4%
  • 2017-11-01: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.48$47.04$48.00$47.04$47.51
Max Pain$46.90$45.00$47.00$47.00$47.00
ATM IV12.9%8.1%62.8%62.8%8.1%
Expected Move3.7%2.3%18.0%18.0%2.3%
HV 20d8.2%7.3%9.1%7.8%8.4%
HV 60d8.3%7.7%9.2%9.1%7.7%
IV Rank10.0%2.4%85.4%85.4%2.4%
IV Percentile19.4%0.8%99.2%99.2%0.8%
Term Structure-0.1%-24.7%13.1%-24.7%1.3%
VWIV11.9%8.8%27.7%27.7%8.8%
Skew 25d4.7%2.0%34.2%2.7%5.2%
Skew 10d9.9%-3.8%81.9%9.0%12.0%
Call IV 25d12.3%7.0%76.9%76.9%9.1%
Put IV 25d17.0%10.5%79.6%79.6%14.3%
Bid-Ask Spread %91.8259.92145.54145.54133.05
Gamma HHI0.370.290.450.360.29
Net GEX66.2K22.4K81.8K22.4K56.0K
Net DEX-541.0K-718.6K-347.3K-389.2K-454.4K
Net VEX-3.7K-4.3K-1.8K-2.0K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.190.790.220.55
Total Volume354.3818945889458
Total OI494.238241565241520

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$47.04$47.0062.8%18.0%7.8%85.4%27.7%2.7%-24.7%22.4K-389.2K-2.0K0.22145.54N/AN/A731619348
2017-11-02$47.31$47.009.9%3.2%8.0%5.1%11.1%2.0%0.6%52.2K-347.3K-1.8K0.1994.93N/AN/A831619348
2017-11-03$47.06$47.0010.5%3.1%8.3%6.3%10.9%3.7%1.2%47.5K-350.5K-1.9K0.1994.40N/AN/A831620348
2017-11-06$47.19$47.0010.1%3.1%8.3%5.6%11.0%3.3%1.6%52.3K-366.5K-1.8K0.75114.66N/AN/A22216620348
2017-11-07$47.20$47.0010.5%3.2%7.9%6.4%11.2%4.2%0.8%70.3K-483.9K-4.2K0.7596.89N/AN/A222166353198
2017-11-08$47.65$47.009.6%2.8%8.5%4.9%10.5%2.0%2.5%75.4K-623.7K-4.2K0.7584.41N/AN/A222166353198
2017-11-09$47.70$47.0010.4%3.0%8.5%6.2%11.2%3.1%0.3%77.7K-654.9K-4.3K0.7594.28N/AN/A222166353198
2017-11-10$47.73$47.0010.4%3.0%7.3%6.2%11.7%2.7%-0.0%80.3K-638.1K-4.2K0.7596.55N/AN/A222166353198
2017-11-13$47.69$47.0010.6%3.0%7.3%6.5%12.0%3.6%-0.2%81.3K-635.0K-4.2K0.7480.07N/AN/A224166353198
2017-11-14$47.31$47.0011.8%3.4%7.8%8.4%11.8%2.7%0.2%75.3K-529.3K-4.1K0.7464.72N/AN/A224166355198
2017-11-15$47.07$47.0011.1%3.2%8.0%7.2%11.0%3.1%0.9%68.3K-460.2K-4.0K0.7466.23N/AN/A224166355198
2017-11-16$47.32$45.0011.0%3.1%8.2%7.1%11.2%3.7%1.2%71.9K-530.4K-4.1K0.7762.77N/AN/A226175357198
2017-11-17$47.07$47.0010.5%3.0%8.4%6.3%10.7%2.7%0.4%65.3K-465.7K-4.1K0.7659.92N/AN/A231175357208
2017-11-20$47.20$47.0010.2%2.9%8.2%5.9%10.2%3.3%1.8%63.1K-475.3K-4.0K0.7982.60N/AN/A217171346200
2017-11-21$47.71$47.009.2%2.6%9.1%4.2%10.2%4.6%1.2%67.0K-623.7K-4.0K0.7466.06N/AN/A222164346200
2017-11-22$47.93$47.0010.7%3.1%8.3%6.6%11.0%3.3%-0.8%73.1K-666.3K-4.0K0.7393.81N/AN/A222162351201
2017-11-24$48.00$47.0014.1%4.0%8.2%12.0%16.5%34.2%-3.9%67.4K-718.6K-4.2K0.72125.03N/AN/A226162351204
2017-11-27$47.78$47.0010.1%2.9%8.4%5.7%10.4%3.9%13.1%64.4K-626.4K-4.1K0.72100.47N/AN/A226162361204
2017-11-28$47.95$47.0010.0%2.9%8.3%5.4%9.5%2.5%0.8%81.8K-716.7K-3.9K0.7289.38N/AN/A226162361204
2017-11-29$47.64$47.0010.3%2.9%8.7%5.9%11.4%2.4%-0.3%77.7K-604.8K-3.9K0.5582.37N/AN/A296162361204
2017-11-30$47.51$47.008.1%2.3%8.4%2.4%8.8%5.2%1.3%56.0K-454.4K-3.7K0.55133.05N/AN/A296162316204