EPP Options History — January 2018

In January 2018, EPP traded between $48.23 and $50.28. ATM implied volatility averaged 10.9%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 0.1% (HV 20d: 11.0%). Max pain ranged from $46.00 to $49.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.93.

Notable Days

  • 2018-01-19: Highest Volume — 843 contracts
  • 2018-01-31: Largest IV spike — 214.4% change
  • 2018-01-31: Highest IV Rank — 48.2%
  • 2018-01-31: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.23$48.23$50.28$48.23$49.57
Max Pain$48.67$46.00$49.00$46.00$49.00
ATM IV10.9%7.3%36.7%8.5%36.7%
Expected Move3.2%2.1%10.5%2.4%10.5%
HV 20d11.0%6.9%13.6%13.6%9.3%
HV 60d10.2%10.0%10.5%10.1%10.5%
IV Rank7.0%1.2%48.2%3.1%48.2%
IV Percentile19.1%0.4%97.2%1.6%97.2%
Term Structure-0.8%-26.3%2.5%1.1%-26.3%
VWIV11.4%9.1%35.7%9.1%35.7%
Skew 25d2.7%-0.6%12.3%4.0%12.3%
Skew 10d5.8%-3.4%9.9%9.9%7.1%
Call IV 25d9.1%6.1%15.6%6.1%15.6%
Put IV 25d11.7%9.3%27.9%10.1%27.9%
Bid-Ask Spread %76.3332.70134.3767.60126.50
Gamma HHI0.310.250.340.250.31
Net GEX20.3K-25.5K64.2K52.7K-25.5K
Net DEX-415.8K-684.5K18.9K-506.9K18.9K
Net VEX-5.2K-8.4K-1.8K-2.2K-8.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.930.955.060.953.78
Total Volume666.429315843387841
Total OI749.476444968444943

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$48.23$46.008.5%2.4%13.6%3.1%9.1%4.0%1.1%52.7K-506.9K-2.2K0.9567.60N/AN/A198189222222
2018-01-03$48.60$46.0016.4%4.7%13.5%15.8%13.2%1.6%-6.9%43.6K-548.4K-2.2K0.97134.37N/AN/A195189222222
2018-01-04$48.75$0.008.4%2.6%13.5%3.0%0.0%1.7%1.4%60.3K-632.2K-2.0K0.9745.93N/AN/A195189229222
2018-01-05$49.02$0.008.2%2.6%13.3%2.5%0.0%1.2%1.4%64.2K-684.5K-1.8K0.9749.94N/AN/A194189229222
2018-01-08$48.89$0.008.3%2.8%13.3%2.8%9.8%1.3%1.1%64.1K-651.1K-2.0K0.9658.81N/AN/A197189230222
2018-01-09$48.96$49.007.3%2.6%13.3%1.2%9.1%1.8%1.7%59.7K-665.2K-2.0K1.5461.37N/AN/A124191233227
2018-01-10$48.67$49.009.4%2.7%13.5%4.6%9.5%1.9%1.1%62.0K-607.1K-2.1K1.5465.46N/AN/A124191235229
2018-01-11$48.90$49.009.1%2.6%13.6%4.1%9.2%2.1%1.3%62.7K-648.2K-2.0K5.0666.93N/AN/A124627235229
2018-01-12$49.19$49.008.9%2.6%13.0%3.8%9.1%2.0%1.6%-5.9K-206.8K-6.5K3.4371.77N/AN/A183627235664
2018-01-16$48.93$49.009.6%2.8%12.9%4.9%9.6%1.4%1.2%5.5K-295.0K-7.4K3.4375.46N/AN/A183627294664
2018-01-17$49.34$49.0010.3%2.9%13.1%5.9%10.1%3.7%0.3%9.7K-415.5K-7.1K3.4366.31N/AN/A183627294664
2018-01-18$49.14$49.009.8%2.8%13.1%5.3%9.9%2.7%1.2%-3.8K-311.2K-7.5K3.3470.85N/AN/A189631294664
2018-01-19$49.36$49.0010.1%2.9%7.1%5.7%10.1%3.2%0.8%-2.2K-400.0K-7.3K3.4877.21N/AN/A188655300668
2018-01-22$49.52$49.009.4%2.7%7.0%4.5%10.6%3.8%-0.1%-3.6K-212.9K-7.4K4.0632.70N/AN/A159645255649
2018-01-23$49.66$49.009.2%2.6%6.9%4.2%10.5%3.6%0.7%-3.7K-310.9K-6.9K4.0682.58N/AN/A159645255649
2018-01-24$49.94$49.007.4%2.1%7.0%1.4%10.2%0.4%2.5%-180-405.8K-6.7K4.06105.27N/AN/A159645255649
2018-01-25$49.69$49.0010.0%2.9%7.5%5.4%10.7%2.5%0.2%-4.4K-288.7K-7.2K4.0184.08N/AN/A166665255649
2018-01-26$50.28$49.0010.3%3.0%8.2%6.0%9.8%2.3%-1.7%-2.9K-468.8K-6.5K4.0187.63N/AN/A166665264669
2018-01-29$49.82$49.0010.4%3.0%9.2%6.1%10.0%-0.6%0.9%-5.5K-252.0K-7.3K3.7888.42N/AN/A176665264669
2018-01-30$49.47$49.0011.7%3.3%9.7%8.2%11.2%3.6%-0.2%-91-239.6K-7.2K3.7883.66N/AN/A176665274669
2018-01-31$49.57$49.0036.7%10.5%9.3%48.2%35.7%12.3%-26.3%-25.5K18.9K-8.4K3.78126.50N/AN/A176665274669