EPP Options History — December 2018

In December 2018, EPP traded between $39.59 and $43.95. ATM implied volatility averaged 18.5%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 0.5% (HV 20d: 19.0%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.33.

Notable Days

  • 2018-12-21: Highest Volume — 374 contracts
  • 2018-12-19: Largest IV spike — 62.9% change
  • 2018-12-19: Highest IV Rank — 43.2%
  • 2018-12-19: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.61$39.59$43.95$43.95$40.69
Max Pain$42.70$41.00$43.00$41.00$43.00
ATM IV18.5%11.2%26.9%17.4%18.0%
Expected Move5.0%3.2%7.7%5.0%5.2%
HV 20d19.0%17.9%20.3%17.9%19.4%
HV 60d16.7%15.7%18.0%15.7%17.8%
IV Rank25.1%9.4%43.2%22.6%24.0%
IV Percentile84.8%19.0%97.6%88.5%86.5%
Term Structure-1.1%-20.5%10.9%-4.2%-0.9%
VWIV14.4%13.7%15.6%13.7%14.0%
Skew 25d7.1%2.4%30.5%10.0%4.7%
Skew 10d8.3%-0.0%15.7%1.0%13.5%
Call IV 25d14.9%9.8%21.6%10.3%16.7%
Put IV 25d22.0%17.1%52.2%20.3%21.4%
Bid-Ask Spread %99.7188.78122.00122.0093.54
Gamma HHI0.180.150.480.170.18
Net GEX-3.0K-64.7K22.6K22.6K3.1K
Net DEX196.8K6.9K417.7K6.9K132.2K
Net VEX-1.6K-2.0K-1.1K-1.9K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.002.000.002.00
Total Volume56.05037406
Total OI449.4410691426430

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$43.95$41.0017.4%5.0%17.9%22.6%0.0%10.0%-4.2%22.6K6.9K-1.9K0.00122.00N/AN/A00228198
2018-12-04$43.16$41.0017.4%5.0%19.2%22.7%0.0%9.6%-3.5%14.5K84.5K-1.8K0.00104.49N/AN/A00228198
2018-12-05$43.08$41.0017.4%5.0%19.2%22.6%0.0%8.9%-3.0%14.0K92.0K-1.7K0.00104.85N/AN/A00228198
2018-12-06$42.76$43.0024.3%4.1%18.3%37.7%0.0%7.7%0.1%-549201.3K-1.6K0.0097.16N/AN/A00228198
2018-12-07$42.55$43.0017.2%4.3%18.1%22.4%0.0%6.3%-1.3%6.4K151.9K-1.6K0.00107.98N/AN/A00228198
2018-12-10$41.97$43.0021.6%5.2%18.5%31.9%0.0%5.1%-1.8%-8.6K249.4K-1.5K0.0092.95N/AN/A00228198
2018-12-11$42.17$43.0020.4%4.7%18.5%29.2%0.0%2.4%0.1%-7.5K237.2K-1.4K0.0094.65N/AN/A00228198
2018-12-12$42.73$43.0018.3%5.2%19.0%24.6%0.0%9.0%1.5%3.2K161.4K-1.5K0.00109.23N/AN/A00228198
2018-12-13$42.77$43.0014.8%4.2%18.9%17.0%0.0%5.6%1.5%4.1K157.0K-1.4K0.0092.68N/AN/A00228198
2018-12-14$42.17$43.0015.0%4.3%19.1%17.4%0.0%4.8%1.9%-7.0K241.4K-1.4K0.0088.78N/AN/A00228198
2018-12-17$41.95$43.0011.2%3.2%19.1%9.4%0.0%5.0%3.0%-10.2K255.5K-1.3K0.0094.40N/AN/A30228198
2018-12-18$40.91$43.0016.5%4.7%20.3%20.8%0.0%4.4%0.1%-30.7K270.5K-1.2K0.0090.62N/AN/A30229198
2018-12-19$40.45$43.0026.9%7.7%19.7%43.2%0.0%30.5%-20.5%-13.5K284.9K-1.3K0.00120.28N/AN/A2030229198
2018-12-20$40.25$43.0017.7%5.1%18.6%23.4%0.0%3.8%-0.4%-64.7K357.8K-1.1K0.0090.38N/AN/A3240429198
2018-12-21$39.62$43.0019.0%5.5%19.2%26.2%0.0%4.2%-1.5%3.4K417.7K-1.8K0.1593.38N/AN/A32450493198
2018-12-24$39.59$43.0019.4%5.6%18.1%27.1%0.0%5.0%10.9%2.8K180.3K-1.7K0.1692.88N/AN/A12220273137
2018-12-26$40.42$43.0018.8%5.4%20.1%25.8%13.7%3.1%-0.9%2.3K167.5K-2.0K0.0098.77N/AN/A022273157
2018-12-27$40.32$43.0021.1%6.0%18.9%30.7%15.6%8.0%-3.7%3.0K168.0K-2.0K0.00101.10N/AN/A022273157
2018-12-28$40.69$43.0017.3%5.0%19.5%22.5%14.0%3.2%-0.3%4.3K117.9K-2.0K0.00104.17N/AN/A022273157
2018-12-31$40.69$43.0018.0%5.2%19.4%24.0%0.0%4.7%-0.9%3.1K132.2K-2.0K2.0093.54N/AN/A24273157