EPP Options History — August 2018

In August 2018, EPP traded between $45.48 and $46.91. ATM implied volatility averaged 12.8%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 0.1% (HV 20d: 12.9%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.49.

Notable Days

  • 2018-08-16: Highest Volume — 285 contracts
  • 2018-08-10: Largest IV spike — 28.1% change
  • 2018-08-01: Highest IV Rank — 18.7%
  • 2018-08-01: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.18$45.48$46.91$46.37$45.97
Max Pain$46.74$45.00$47.00$45.00$47.00
ATM IV12.8%9.9%17.1%17.1%13.3%
Expected Move3.6%3.0%4.9%4.9%3.8%
HV 20d12.9%10.5%14.1%14.0%14.0%
HV 60d14.2%13.8%14.7%14.2%14.7%
IV Rank11.0%5.8%18.7%18.7%12.0%
IV Percentile61.9%13.1%93.3%93.3%73.0%
Term Structure0.1%-1.4%1.3%-1.4%-0.1%
VWIV12.1%10.6%17.0%17.0%11.9%
Skew 25d2.7%0.8%6.0%1.2%2.3%
Skew 10d6.6%0.1%13.5%0.5%6.0%
Call IV 25d11.7%9.3%14.5%14.5%12.1%
Put IV 25d14.4%12.6%17.1%15.7%14.3%
Bid-Ask Spread %56.9416.76102.7398.7120.67
Gamma HHI0.290.210.490.250.26
Net GEX6.6K-35.3K32.4K7.1K15.5K
Net DEX-45.6K-155.4K105.5K-107.4K-2.3K
Net VEX-1.3K-1.8K-1.1K-1.8K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.491.351.681.351.61
Total Volume224.478176285254183
Total OI297.826254373322261

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-08-01$46.37$45.0017.1%4.9%14.0%18.7%17.0%1.2%-1.4%7.1K-107.4K-1.8K1.3598.71N/AN/A108146176146
2018-08-02$46.00$45.0012.4%3.6%14.1%10.3%13.2%0.8%-0.3%-6.2K-11.9K-1.4K1.3532.02N/AN/A108146176146
2018-08-03$46.02$45.0011.8%3.4%13.5%9.3%13.3%2.2%0.0%-8.2K-6.9K-1.3K1.3518.98N/AN/A108146176146
2018-08-06$46.13$47.0013.6%3.9%13.1%12.5%11.9%2.9%-0.7%-3.8K-31.2K-1.3K1.3589.00N/AN/A108146176146
2018-08-07$46.54$47.0010.8%3.1%13.5%7.6%10.9%3.7%1.3%13.5K-109.9K-1.4K1.3590.07N/AN/A108146176146
2018-08-08$46.73$47.009.9%3.1%11.4%5.8%10.6%3.0%1.0%15.2K-125.5K-1.2K1.3543.87N/AN/A108146176146
2018-08-09$46.70$47.009.9%3.0%10.5%5.9%10.6%2.4%0.8%14.6K-126.6K-1.2K1.3521.37N/AN/A108146176146
2018-08-10$45.91$47.0012.7%3.7%12.2%10.8%11.9%3.5%0.2%-13.9K-6.1K-1.2K1.4748.82N/AN/A99146176146
2018-08-13$45.59$47.0014.6%3.6%12.4%14.3%12.2%2.7%-0.1%-29.5K58.4K-1.1K1.6816.76N/AN/A99166177146
2018-08-14$45.80$47.0014.1%3.4%12.5%13.4%10.7%3.8%0.4%-23.0K27.3K-1.2K1.6829.20N/AN/A99166177166
2018-08-15$45.48$47.0013.8%4.0%12.7%12.9%12.2%2.6%0.0%-35.3K105.5K-1.2K1.6849.42N/AN/A99166177166
2018-08-16$45.94$47.0012.1%3.5%13.1%9.8%13.1%2.2%0.6%1.1K-38.1K-1.2K1.4056.03N/AN/A119166177166
2018-08-17$46.43$47.0013.3%3.8%13.1%12.0%12.4%2.7%-0.7%19.1K-155.4K-1.3K1.4072.60N/AN/A119166207166
2018-08-20$46.46$47.0013.4%3.8%12.8%12.1%12.0%2.0%-0.4%22.3K-80.7K-1.3K1.5573.91N/AN/A69107147107
2018-08-21$46.38$47.0013.2%3.8%12.3%11.8%11.0%2.1%-0.1%21.9K-71.0K-1.3K1.5568.16N/AN/A69107147107
2018-08-22$46.31$47.0012.6%3.6%12.0%10.6%11.8%2.3%0.0%20.5K-61.1K-1.2K1.5557.76N/AN/A69107147107
2018-08-23$45.62$47.0012.3%3.5%12.6%10.2%11.8%2.8%0.2%10.3K1.8K-1.2K1.5557.44N/AN/A69107147107
2018-08-24$45.89$47.0012.3%3.5%12.8%10.1%12.2%3.4%0.4%12.2K-1.6K-1.2K1.55101.66N/AN/A69107147107
2018-08-27$46.41$47.0013.6%3.9%13.5%12.5%12.4%6.0%-0.3%22.0K-49.5K-1.2K1.55102.73N/AN/A69107147107
2018-08-28$46.39$47.0013.0%3.7%13.2%11.5%11.4%4.4%0.7%24.4K-72.9K-1.2K1.5573.51N/AN/A69107147107
2018-08-29$46.91$47.0011.1%3.2%13.1%8.1%11.1%2.7%0.4%32.4K-137.1K-1.2K1.5351.62N/AN/A70107148107
2018-08-30$46.23$47.0012.5%3.6%13.9%10.6%12.5%1.3%0.1%19.4K-47.5K-1.1K1.6135.40N/AN/A70113148107
2018-08-31$45.97$47.0013.3%3.8%14.0%12.0%11.9%2.3%-0.1%15.5K-2.3K-1.1K1.6120.67N/AN/A70113148113