EPP Options History — February 2020 In February 2020, EPP traded between $41.75 and $46.78. ATM implied volatility averaged 16.3%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 1.9% (HV 20d: 18.3%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.68.
Notable Days 2020-02-27 : Highest Volume — 35 contracts2020-02-24 : Largest IV spike — 42.1% change2020-02-28 : Highest IV Rank — 84.6%2020-02-28 : Largest Expected Move — 9.6%Monthly Statistics Metric Avg Min Max Open Close Price $45.33 $41.75 $46.78 $45.07 $41.75 Max Pain $44.35 $44.00 $46.00 $46.00 $44.00 ATM IV 16.3% 10.7% 33.6% 15.0% 33.6% Expected Move 4.7% 3.1% 9.6% 4.3% 9.6% HV 20d 18.3% 16.3% 21.7% 16.3% 21.7% HV 60d 13.6% 12.5% 16.1% 12.5% 16.1% IV Rank 27.4% 8.8% 84.6% 23.0% 84.6% IV Percentile 57.6% 3.6% 99.6% 68.3% 99.6% Term Structure -0.5% -7.0% 18.2% -0.6% -7.0% VWIV 18.7% 14.6% 23.2% 15.5% 23.2% Skew 25d 4.0% 0.1% 12.9% 3.9% 12.9% Skew 10d 4.5% -0.8% 15.8% 15.8% 10.9% Call IV 25d 14.9% 8.5% 34.4% 13.5% 27.2% Put IV 25d 18.9% 11.7% 47.2% 17.4% 40.1% Bid-Ask Spread % 107.23 80.49 139.34 95.75 97.17 Gamma HHI 0.23 0.14 0.36 0.20 0.16 Net GEX 6.7K -5.7K 15.3K 5.3K -5.7K Net DEX -32.6K -86.2K 90.6K -19.0K 90.6K Net VEX -396 -634 -277 -373 -634 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.68 0.00 3.38 0.00 3.38 Total Volume 5.053 0 35 0 3 Total OI 88.842 77 105 79 105
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-02-03 $45.07 $46.00 15.0% 4.3% 16.3% 23.0% 0.0% 3.9% -0.6% 5.3K -19.0K -373 0.00 95.75 N/A N/A 0 0 40 39 2020-02-04 $45.75 $46.00 12.8% 3.7% 17.3% 15.6% 0.0% 2.2% 0.4% 8.9K -41.6K -335 0.00 96.52 N/A N/A 0 0 40 39 2020-02-05 $45.95 $46.00 13.6% 3.9% 17.4% 18.4% 0.0% 1.9% -0.7% 9.4K -47.8K -337 0.00 98.24 N/A N/A 0 0 40 39 2020-02-06 $46.16 $0.00 13.6% 3.9% 17.3% 18.4% 0.0% 2.2% -0.1% 9.6K -55.3K -323 0.00 85.62 N/A N/A 0 7 40 39 2020-02-07 $45.66 $0.00 12.7% 3.7% 17.7% 15.3% 15.5% 2.9% 0.0% 8.2K -34.8K -325 0.00 84.84 N/A N/A 0 5 40 44 2020-02-10 $45.76 $44.00 13.1% 3.7% 17.6% 16.6% 0.0% 3.3% -0.0% 6.3K -26.7K -277 0.00 80.49 N/A N/A 9 0 30 49 2020-02-11 $46.09 $44.00 12.9% 3.7% 17.5% 16.0% 0.0% 3.5% 0.0% 9.4K -55.8K -357 0.00 97.90 N/A N/A 3 0 39 49 2020-02-12 $46.78 $44.00 14.1% 4.1% 18.3% 20.2% 0.0% 1.9% -2.6% 9.9K -83.1K -401 0.00 112.85 N/A N/A 0 0 42 49 2020-02-13 $46.40 $44.00 15.3% 4.4% 18.4% 23.9% 0.0% 5.7% -3.7% 12.6K -77.2K -324 0.00 109.61 N/A N/A 0 1 42 49 2020-02-14 $46.50 $44.00 10.7% 3.1% 18.0% 8.8% 0.0% 5.2% 3.4% 12.1K -81.3K -333 0.00 121.40 N/A N/A 1 0 42 50 2020-02-18 $46.33 $44.00 13.1% 3.8% 18.0% 16.8% 0.0% 2.5% -2.2% 15.3K -77.8K -333 0.00 107.08 N/A N/A 0 0 43 50 2020-02-19 $46.56 $44.00 11.9% 3.4% 17.2% 12.9% 0.0% 2.0% 1.7% 12.4K -86.2K -317 0.00 114.26 N/A N/A 0 0 43 50 2020-02-20 $46.04 $44.00 16.2% 4.6% 17.5% 26.9% 0.0% 0.1% -6.5% 10.6K -57.9K -400 0.00 135.85 N/A N/A 0 0 43 50 2020-02-21 $45.81 $44.00 14.8% 4.2% 17.6% 22.4% 0.0% 0.7% -1.2% 12.2K -53.6K -291 0.00 126.21 N/A N/A 0 0 43 50 2020-02-24 $44.30 $44.00 21.0% 6.0% 20.8% 43.0% 14.6% 12.8% 18.2% -2.2K 16.8K -468 0.00 139.34 N/A N/A 8 0 29 48 2020-02-25 $43.76 $44.00 21.0% 6.0% 19.5% 42.9% 21.5% 5.0% -2.9% 198 1.3K -492 0.00 106.12 N/A N/A 0 24 37 48 2020-02-26 $43.64 $44.00 19.8% 5.7% 19.1% 39.0% 0.0% 5.7% -2.4% -2.7K 22.6K -582 0.00 111.52 N/A N/A 0 0 37 67 2020-02-27 $43.03 $44.00 24.8% 7.1% 19.5% 55.5% 23.2% 1.1% -3.2% -3.6K 47.3K -615 3.38 116.59 N/A N/A 8 27 37 67 2020-02-28 $41.75 $44.00 33.6% 9.6% 21.7% 84.6% 0.0% 12.9% -7.0% -5.7K 90.6K -634 0.00 97.17 N/A N/A 0 3 37 68
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