EPP Options History — December 2017

In December 2017, EPP traded between $46.81 and $48.16. ATM implied volatility averaged 11.1%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 0.6% (HV 20d: 10.5%). Max pain ranged from $46.00 to $47.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2017-12-04: Highest Volume — 490 contracts
  • 2017-12-13: Largest IV spike — 157.3% change
  • 2017-12-13: Highest IV Rank — 27.9%
  • 2017-12-13: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.42$46.81$48.16$47.60$47.77
Max Pain$46.05$46.00$47.00$47.00$46.00
ATM IV11.1%8.0%23.9%10.1%8.5%
Expected Move3.2%2.3%6.9%2.9%2.4%
HV 20d10.5%7.8%13.9%8.2%13.2%
HV 60d8.7%7.7%10.0%7.7%9.9%
IV Rank7.2%2.3%27.9%5.7%3.1%
IV Percentile23.1%0.4%95.2%9.5%1.6%
Term Structure0.6%-8.5%6.4%0.2%1.2%
VWIV12.5%8.1%25.9%11.1%9.0%
Skew 25d3.9%-2.1%13.2%13.2%3.0%
Skew 10d4.1%-39.0%46.4%46.4%3.2%
Call IV 25d8.1%4.6%11.0%9.8%6.7%
Put IV 25d12.0%5.2%23.1%23.1%9.7%
Bid-Ask Spread %89.8347.14139.61109.36102.52
Gamma HHI0.280.200.400.300.21
Net GEX54.9K33.9K85.4K59.9K42.3K
Net DEX-423.0K-620.4K-256.5K-469.4K-427.9K
Net VEX-3.0K-3.7K-2.2K-3.5K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.610.960.610.95
Total Volume453.3386490480387
Total OI517.15443552520444

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$47.60$47.0010.1%2.9%8.2%5.7%11.1%13.2%0.2%59.9K-469.4K-3.5K0.61109.36N/AN/A298182316204
2017-12-04$47.27$46.0011.1%3.4%8.4%7.2%13.1%3.8%0.3%57.1K-416.5K-3.4K0.6465.41N/AN/A298192318224
2017-12-05$47.23$46.0011.2%3.4%8.3%7.5%13.1%2.7%-0.2%49.1K-354.6K-3.5K0.6465.49N/AN/A298192318234
2017-12-06$46.94$46.0011.4%3.4%8.6%7.7%12.1%3.1%3.2%44.6K-286.5K-3.3K0.6477.73N/AN/A298192318234
2017-12-07$46.90$46.0010.1%3.3%7.8%5.7%11.4%5.3%1.6%44.9K-256.5K-3.3K0.6469.07N/AN/A298192318234
2017-12-08$47.15$46.0010.4%3.5%8.1%6.2%13.2%5.7%1.5%43.0K-347.2K-3.4K0.64116.45N/AN/A298192318234
2017-12-11$47.34$46.0010.3%3.0%8.2%5.9%13.2%5.3%1.1%53.5K-384.8K-3.2K0.64111.23N/AN/A298192318234
2017-12-12$47.53$46.009.3%2.4%8.4%4.4%12.0%7.3%6.4%58.3K-410.7K-3.1K0.64113.78N/AN/A298192308234
2017-12-13$48.15$46.0023.9%6.9%9.0%27.9%25.9%10.5%-1.6%36.4K-620.4K-3.7K0.64139.61N/AN/A298192308234
2017-12-14$47.81$46.0010.3%3.0%9.2%6.0%14.0%4.6%2.7%67.5K-511.1K-3.0K0.6476.49N/AN/A298192308234
2017-12-15$47.82$46.009.4%2.7%9.1%4.5%12.2%7.2%3.9%70.6K-482.1K-3.0K0.64108.51N/AN/A298192308234
2017-12-18$48.16$46.008.9%2.5%9.1%3.7%18.3%4.3%2.8%73.1K-552.1K-2.9K0.7690.45N/AN/A249189295222
2017-12-19$46.81$46.009.1%2.6%13.9%4.0%9.2%2.5%2.8%58.2K-376.0K-3.2K0.7672.00N/AN/A249189294222
2017-12-20$46.83$46.008.0%2.3%13.2%2.3%8.1%-1.7%-2.2%85.4K-481.7K-2.5K0.7649.72N/AN/A249189293222
2017-12-21$47.12$46.0012.3%3.5%13.3%9.1%12.9%-1.1%-3.7%74.5K-504.3K-2.5K0.7647.14N/AN/A249189293222
2017-12-22$47.26$46.0010.8%3.1%13.4%6.7%9.2%-0.4%-1.4%71.0K-469.7K-3.1K0.9692.63N/AN/A197189293222
2017-12-26$47.31$46.0017.4%5.0%13.3%17.3%9.1%1.8%-8.5%33.9K-339.8K-2.3K0.9597.49N/AN/A198189221222
2017-12-27$47.55$46.0010.5%3.0%13.4%6.4%13.9%-2.1%-0.3%34.9K-359.9K-2.4K0.9598.96N/AN/A198189222222
2017-12-28$47.76$46.008.0%2.3%13.3%2.3%9.1%3.8%1.8%40.3K-408.1K-2.2K0.9592.54N/AN/A198189222222
2017-12-29$47.77$46.008.5%2.4%13.2%3.1%9.0%3.0%1.2%42.3K-427.9K-2.3K0.95102.52N/AN/A198189222222