EPP Options History — March 2018

In March 2018, EPP traded between $45.99 and $48.70. ATM implied volatility averaged 14.4%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 0.8% (HV 20d: 15.2%). Max pain ranged from $47.00 to $47.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.30.

Notable Days

  • 2018-03-01: Highest Volume — 995 contracts
  • 2018-03-13: Largest IV spike — 64.4% change
  • 2018-03-28: Highest IV Rank — 23.4%
  • 2018-03-28: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.42$45.99$48.70$47.47$46.48
Max Pain$47.00$47.00$47.00$47.00$47.00
ATM IV14.4%6.9%19.8%17.3%16.4%
Expected Move4.2%3.2%5.7%5.0%4.7%
HV 20d15.2%12.1%20.6%20.6%16.6%
HV 60d15.3%14.3%16.1%15.2%16.1%
IV Rank13.8%0.6%23.4%19.0%17.5%
IV Percentile75.0%0.4%96.0%93.7%91.3%
Term Structure-0.4%-4.1%5.3%-1.7%-0.3%
VWIV15.4%11.9%25.0%17.3%14.3%
Skew 25d4.8%1.4%12.0%2.9%4.0%
Skew 10d10.6%4.2%34.9%8.9%11.6%
Call IV 25d13.4%10.4%20.3%16.7%13.1%
Put IV 25d18.2%14.8%28.3%19.6%17.2%
Bid-Ask Spread %72.5332.75141.71118.7367.23
Gamma HHI0.320.280.390.300.39
Net GEX-11.7K-47.9K21.4K-6.8K-32.4K
Net DEX305.7K-354.2K957.0K242.9K760.0K
Net VEX-8.7K-10.3K-7.6K-9.7K-7.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.301.592.861.592.64
Total Volume893.095825995995851
Total OI1,241.1431,2201,2601,2481,224

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$47.47$47.0017.3%5.0%20.6%19.0%17.3%2.9%-1.7%-6.8K242.9K-9.7K1.59118.73N/AN/A384611475773
2018-03-02$47.58$47.0015.5%4.4%20.6%15.9%25.0%12.0%0.4%-6.4K326.3K-10.3K1.79141.71N/AN/A341611475773
2018-03-05$47.46$47.0016.0%4.4%19.8%16.7%16.0%4.9%0.2%-17.3K459.8K-9.7K1.7996.71N/AN/A341611474773
2018-03-06$47.78$47.0014.0%4.3%16.8%13.1%14.0%4.6%-1.0%-4.0K144.4K-9.5K1.7969.55N/AN/A341611474773
2018-03-07$47.52$47.0010.8%4.1%16.7%7.6%14.4%4.6%-1.3%-4.0K245.8K-9.3K1.7955.32N/AN/A341611474773
2018-03-08$47.68$47.0013.6%3.8%15.0%12.5%14.3%6.0%-0.1%-12.1K233.5K-9.2K1.7956.76N/AN/A341611474773
2018-03-09$48.53$47.006.9%3.5%13.1%0.6%13.0%3.7%-0.2%12.9K-241.2K-8.7K1.9653.79N/AN/A311611474773
2018-03-12$48.70$47.009.3%3.4%13.1%4.9%14.2%3.4%0.4%21.4K-354.2K-8.7K2.0045.29N/AN/A311622475773
2018-03-13$48.16$47.0015.3%3.9%13.7%15.6%13.4%3.5%-0.7%10.8K-36.6K-8.7K2.0048.53N/AN/A311622475785
2018-03-14$48.24$47.0013.7%3.9%13.4%12.8%14.0%3.6%-0.9%11.1K-143.8K-8.7K2.0532.75N/AN/A303622475785
2018-03-15$47.95$47.0013.3%3.8%12.6%11.9%13.0%4.1%0.5%10.2K36.4K-8.9K2.6748.21N/AN/A233622475785
2018-03-16$47.85$47.0012.8%3.7%12.1%11.1%12.9%3.9%-1.5%-9.2K134.7K-8.6K2.6740.26N/AN/A233622475785
2018-03-19$47.52$47.0013.8%3.9%12.3%12.8%13.8%3.8%0.0%-23.3K340.1K-8.5K2.8644.25N/AN/A214611446774
2018-03-20$47.49$47.0014.6%4.2%12.2%14.3%12.2%3.8%4.2%-18.5K321.6K-8.3K2.7553.41N/AN/A222611446774
2018-03-21$47.74$47.0011.2%3.2%12.4%8.2%11.9%4.4%5.3%-1.9K187.7K-8.4K2.7085.91N/AN/A226611456774
2018-03-22$46.66$47.0014.5%4.2%14.7%14.1%14.6%5.3%1.0%-28.0K702.9K-8.2K2.7173.89N/AN/A226612461774
2018-03-23$45.99$47.0017.6%5.0%14.9%19.6%16.9%7.4%-2.5%-39.2K957.0K-8.0K2.7763.79N/AN/A223617461775
2018-03-26$46.87$47.0016.9%4.8%16.1%18.4%18.0%4.7%-3.4%-35.5K802.0K-8.0K2.64102.83N/AN/A234617452780
2018-03-27$46.17$47.0018.2%5.2%16.4%20.7%19.7%1.4%-3.1%-25.6K443.8K-8.0K2.64115.39N/AN/A234617464760
2018-03-28$46.03$47.0019.8%5.7%16.1%23.4%20.8%8.0%-4.1%-47.9K855.9K-8.3K2.64108.79N/AN/A234617464760
2018-03-29$46.48$47.0016.4%4.7%16.6%17.5%14.3%4.0%-0.3%-32.4K760.0K-7.6K2.6467.23N/AN/A234617464760