EPP Options History — January 2019

In January 2019, EPP traded between $40.01 and $43.92. ATM implied volatility averaged 15.9%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 3.1% (HV 20d: 19.0%). Max pain ranged from $39.00 to $43.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2019-01-25: Highest Volume — 185 contracts
  • 2019-01-30: Largest IV spike — 55.7% change
  • 2019-01-30: Highest IV Rank — 38.0%
  • 2019-01-30: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.56$40.01$43.92$40.29$43.84
Max Pain$39.47$39.00$43.00$43.00$43.00
ATM IV15.9%13.2%24.5%19.4%14.0%
Expected Move4.5%3.8%7.0%5.6%4.2%
HV 20d19.0%16.7%21.4%17.5%16.9%
HV 60d18.6%17.9%19.2%17.9%18.1%
IV Rank19.5%13.6%38.0%27.0%15.3%
IV Percentile66.6%40.1%97.2%91.7%50.8%
Term Structure1.0%-4.5%15.2%-0.8%0.8%
VWIV16.0%11.7%22.0%20.2%13.9%
Skew 25d4.5%0.8%30.2%6.6%2.8%
Skew 10d7.1%1.0%16.0%3.9%9.3%
Call IV 25d14.0%9.8%18.4%15.6%13.6%
Put IV 25d18.5%14.3%48.6%22.2%16.4%
Bid-Ask Spread %100.0686.05127.53104.2286.05
Gamma HHI0.240.160.410.180.41
Net GEX26.8K-15357.7K1.1K57.7K
Net DEX-103.2K-400.5K196.8K168.7K-377.7K
Net VEX-2.4K-3.1K-1.9K-1.9K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.005.505.500.00
Total Volume40.47601852647
Total OI455.762327496436496

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$40.29$43.0019.4%5.6%17.5%27.0%0.0%6.6%-0.8%1.1K168.7K-1.9K5.50104.22N/AN/A422275161
2019-01-03$40.01$0.0019.6%5.2%16.7%27.5%0.0%4.0%-0.7%-153196.8K-1.9K5.5090.25N/AN/A422276163
2019-01-04$41.33$0.0017.0%4.7%21.1%21.7%0.0%3.6%-0.2%3.7K87.7K-2.1K1.2296.41N/AN/A1822276163
2019-01-07$41.57$0.0020.4%4.8%21.2%29.2%0.0%2.9%0.8%4.9K50.3K-2.1K0.0096.71N/AN/A06288161
2019-01-08$41.90$0.0015.5%4.5%21.4%18.5%20.2%2.1%0.2%8.1K14.4K-2.2K0.0093.67N/AN/A026288167
2019-01-09$42.45$39.0015.3%4.4%21.3%18.1%12.2%2.3%0.5%24.0K-71.0K-2.2K0.00110.44N/AN/A026288177
2019-01-10$42.74$39.0014.3%4.1%21.4%15.9%22.0%1.8%0.7%27.4K-82.3K-2.2K0.0094.91N/AN/A026288177
2019-01-11$42.66$39.0014.7%4.2%20.9%16.8%11.7%2.7%-0.1%24.2K-69.1K-2.2K0.0090.53N/AN/A046288177
2019-01-14$42.45$39.0015.3%4.4%21.0%18.2%0.0%3.7%0.7%17.5K-63.2K-2.1K0.0093.39N/AN/A00288177
2019-01-15$42.77$39.0013.7%3.9%20.5%14.7%0.0%2.6%0.1%23.6K-92.8K-2.1K0.0091.57N/AN/A30288177
2019-01-16$43.02$39.0013.4%3.9%20.4%14.2%0.0%3.0%1.4%28.8K-116.6K-2.2K0.0094.48N/AN/A30291177
2019-01-17$43.15$39.0014.3%4.1%17.9%16.0%0.0%4.6%-0.0%33.9K-140.5K-2.1K0.00105.23N/AN/A140291177
2019-01-18$43.40$39.0013.2%3.8%17.2%13.6%0.0%4.5%1.0%26.0K-157.5K-2.1K0.00104.02N/AN/A140291177
2019-01-22$42.50$39.0014.6%4.2%19.0%16.6%0.0%0.8%15.2%22.6K-73.4K-2.0K0.00106.95N/AN/A20173154
2019-01-23$42.78$39.0015.5%4.4%17.8%18.5%0.0%1.5%6.5%20.9K-86.9K-2.1K0.32112.90N/AN/A12540175154
2019-01-24$42.90$39.0014.8%4.2%17.7%17.1%0.0%1.5%0.3%42.4K-167.9K-2.9K0.3297.62N/AN/A12540298194
2019-01-25$43.53$39.0013.8%4.0%17.0%15.0%0.0%4.4%0.1%52.7K-283.7K-3.0K0.2893.91N/AN/A14540298194
2019-01-28$43.26$39.0015.8%4.5%17.3%19.1%0.0%3.1%-0.5%48.8K-247.9K-2.9K0.00105.83N/AN/A00302194
2019-01-29$43.33$39.0015.7%4.5%17.2%19.1%0.0%4.5%-0.8%48.5K-254.0K-2.9K0.00104.68N/AN/A00302194
2019-01-30$43.92$39.0024.5%7.0%17.5%38.0%0.0%30.2%-4.5%45.8K-400.5K-3.1K0.00127.53N/AN/A300302194
2019-01-31$43.84$43.0014.0%4.2%16.9%15.3%13.9%2.8%0.8%57.7K-377.7K-2.9K0.0086.05N/AN/A470302194