EPP Options History — May 2018

In May 2018, EPP traded between $47.14 and $48.43. ATM implied volatility averaged 13.7%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 4.2% (HV 20d: 9.5%). Max pain ranged from $46.00 to $48.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2018-05-09: Highest Volume — 317 contracts
  • 2018-05-02: Largest IV spike — 320.3% change
  • 2018-05-02: Highest IV Rank — 82.9%
  • 2018-05-02: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.75$47.14$48.43$47.22$47.62
Max Pain$47.82$46.00$48.00$46.00$48.00
ATM IV13.7%8.3%53.2%12.7%11.6%
Expected Move3.9%2.4%15.3%3.6%3.3%
HV 20d9.5%6.8%12.0%9.7%11.9%
HV 60d13.7%13.1%16.2%16.2%13.5%
IV Rank12.6%3.2%82.9%10.8%9.0%
IV Percentile51.4%3.6%99.6%63.9%49.2%
Term Structure-2.1%-26.0%3.1%-0.3%-1.2%
VWIV12.9%7.8%41.7%12.9%11.7%
Skew 25d2.0%-2.0%3.3%2.3%2.1%
Skew 10d4.6%-7.2%11.2%2.8%1.7%
Call IV 25d13.9%9.7%65.4%11.4%11.9%
Put IV 25d15.9%10.5%63.4%13.7%14.0%
Bid-Ask Spread %60.0717.99142.5233.7455.81
Gamma HHI0.420.320.530.490.47
Net GEX-46.0K-90.8K-6.0K-70.8K-70.6K
Net DEX263.2K-290.0K621.9K541.0K377.0K
Net VEX-5.2K-6.6K-4.0K-5.7K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.550.810.600.79
Total Volume291.636244317304247
Total OI812.364787831787811

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$47.22$46.0012.7%3.6%9.7%10.8%12.9%2.3%-0.3%-70.8K541.0K-5.7K0.6033.74N/AN/A190114248539
2018-05-02$47.49$46.0053.2%15.3%9.8%82.9%41.7%-2.0%-26.0%-25.9K427.4K-6.6K0.60142.52N/AN/A191114260539
2018-05-03$47.65$48.0011.1%3.3%9.8%8.1%11.2%2.0%1.0%-44.7K351.9K-5.8K0.6143.01N/AN/A191117261539
2018-05-04$47.63$48.0010.7%3.3%8.8%7.4%11.2%2.2%-0.5%-49.1K313.7K-5.7K0.6140.74N/AN/A191117262551
2018-05-07$47.29$48.0011.7%3.5%8.4%9.0%11.7%3.2%-1.0%-60.7K485.9K-5.6K0.6136.14N/AN/A191117262551
2018-05-08$47.33$48.0014.2%3.7%6.8%13.6%12.1%2.5%-0.9%-61.6K508.4K-5.6K0.6197.83N/AN/A191117262551
2018-05-09$47.49$48.0014.6%4.2%6.9%14.2%12.3%3.1%-8.1%-53.9K161.6K-5.1K0.5898.08N/AN/A200117262551
2018-05-10$48.07$48.0010.9%3.1%8.1%7.7%11.0%3.1%1.0%-31.9K270.5K-5.5K0.58103.97N/AN/A200117271551
2018-05-11$48.29$48.0011.6%3.3%8.1%8.9%11.3%1.4%-0.1%-19.7K99.5K-5.4K0.5860.28N/AN/A200117271551
2018-05-14$48.43$48.008.3%2.4%8.1%3.2%7.8%0.4%3.1%-6.0K-64.9K-5.0K0.6168.36N/AN/A191117271551
2018-05-15$47.75$48.0011.5%3.3%9.8%8.8%11.3%1.6%0.3%-32.7K265.7K-5.2K0.6159.82N/AN/A191117271551
2018-05-16$48.08$48.0011.2%3.2%9.8%8.2%11.3%3.3%-0.2%-14.1K127.2K-5.0K0.6159.75N/AN/A194119271551
2018-05-17$47.93$48.0011.6%3.3%9.6%8.9%11.5%2.3%-0.9%-15.9K135.8K-5.0K0.6139.05N/AN/A195119273553
2018-05-18$47.69$48.0011.4%3.3%8.8%8.5%11.4%3.1%-1.1%-61.0K283.7K-5.1K0.6134.36N/AN/A195119278553
2018-05-21$48.34$48.0011.8%3.4%9.9%9.3%11.8%1.8%-0.3%-42.9K97.2K-4.9K0.5542.01N/AN/A194106256540
2018-05-22$48.21$48.0011.7%3.4%10.0%9.2%11.7%2.2%-3.8%-16.4K-290.0K-4.0K0.5598.13N/AN/A194106268540
2018-05-23$47.80$48.0011.6%3.3%10.6%9.0%11.3%1.8%-1.4%-55.1K226.1K-4.9K0.8178.76N/AN/A135109268540
2018-05-24$47.79$48.0011.6%3.3%10.5%8.9%11.7%2.2%-0.9%-60.8K256.0K-4.8K0.8117.99N/AN/A135109268543
2018-05-25$47.66$48.0011.7%3.3%10.5%9.1%11.6%1.6%-1.5%-64.0K295.9K-4.9K0.8163.63N/AN/A135109268543
2018-05-29$47.14$48.0013.8%3.9%11.3%12.8%13.2%1.8%-2.0%-90.8K621.9K-4.7K0.8126.03N/AN/A135109268543
2018-05-30$47.70$48.0012.5%3.6%12.0%10.5%12.4%1.8%-2.3%-62.7K299.6K-4.5K0.8121.43N/AN/A135109268543
2018-05-31$47.62$48.0011.6%3.3%11.9%9.0%11.7%2.1%-1.2%-70.6K377.0K-4.5K0.7955.81N/AN/A138109268543