EPP Options History — April 2020

In April 2020, EPP traded between $32.80 and $37.22. ATM implied volatility averaged 44.0%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 24.9% (HV 20d: 68.9%). Max pain ranged from $34.00 to $42.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.30.

Notable Days

  • 2020-04-08: Highest Volume — 10 contracts
  • 2020-04-03: Largest IV spike — 46.0% change
  • 2020-04-03: Highest IV Rank — 59.4%
  • 2020-04-01: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.48$32.80$37.22$32.92$36.73
Max Pain$34.38$34.00$42.00$42.00$34.00
ATM IV44.0%29.4%69.1%61.6%39.2%
Expected Move12.0%8.4%17.7%17.7%11.2%
HV 20d68.9%39.8%101.9%100.7%39.8%
HV 60d62.5%59.7%63.8%59.7%63.7%
IV Rank35.0%20.7%59.4%52.1%30.3%
IV Percentile90.6%84.1%98.0%96.8%87.3%
Term Structure-4.8%-28.9%14.0%-28.9%0.3%
VWIV64.8%64.8%64.8%64.8%64.8%
Skew 25d11.5%-0.2%21.2%4.5%10.3%
Skew 10d19.5%0.8%49.5%40.0%11.2%
Call IV 25d36.3%25.7%60.4%60.4%29.7%
Put IV 25d47.8%34.4%64.9%64.9%40.0%
Bid-Ask Spread %106.9388.04127.21114.46120.87
Gamma HHI0.170.120.220.140.22
Net GEX-1.4K-2.2K-613-952-2.2K
Net DEX109.5K49.0K147.9K147.9K60.9K
Net VEX-934-1.0K-859-859-917
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.000.600.600.00
Total Volume1.14301080
Total OI171.143158187172158

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$32.92$42.0061.6%17.7%100.7%52.1%64.8%4.5%-28.9%-952147.9K-8590.60114.46N/AN/A538290
2020-04-02$33.83$34.0047.3%12.0%101.7%38.2%0.0%1.8%-1.5%-613128.0K-9650.0092.12N/AN/A008790
2020-04-03$32.80$34.0069.1%15.2%101.9%59.4%0.0%19.1%-10.0%-788136.9K-8950.00106.59N/AN/A008790
2020-04-06$34.86$34.0052.1%11.9%100.8%42.9%0.0%6.7%-5.6%-1.1K137.1K-8880.0092.95N/AN/A008790
2020-04-07$35.03$34.0058.4%12.7%98.5%49.0%0.0%4.7%-12.3%-1.4K116.1K-9540.00122.49N/AN/A008790
2020-04-08$35.00$34.0041.7%11.9%96.9%32.7%0.0%18.6%-2.7%-1.4K134.4K-8660.0088.04N/AN/A0108790
2020-04-09$36.13$34.0041.4%11.9%87.4%32.5%0.0%2.0%-3.4%-1.9K132.9K-1.0K0.00120.50N/AN/A0087100
2020-04-13$36.00$34.0039.7%11.4%82.7%30.8%0.0%14.2%-11.5%-1.4K134.6K-1.0K0.0094.65N/AN/A0087100
2020-04-14$37.06$34.0038.0%10.9%70.0%29.2%0.0%17.7%-6.3%-1.9K113.7K-1.0K0.00115.51N/AN/A0087100
2020-04-15$35.83$34.0041.3%11.8%69.4%32.3%0.0%21.2%-6.5%-1.3K147.1K-9440.0092.50N/AN/A0087100
2020-04-16$35.78$34.0040.2%11.5%57.8%31.3%0.0%20.1%-6.8%-1.2K146.1K-9340.0095.54N/AN/A0187100
2020-04-17$36.55$34.0038.2%11.0%57.8%29.3%0.0%16.4%-5.7%-1.5K98.7K-9990.00121.12N/AN/A018793
2020-04-20$35.81$34.0044.8%12.8%57.2%35.8%0.0%14.9%-3.7%-1.4K83.4K-9650.00111.56N/AN/A007781
2020-04-21$34.47$34.0045.2%12.9%57.1%36.1%0.0%13.6%0.1%-763113.8K-8710.00103.39N/AN/A007781
2020-04-22$35.44$34.0041.8%12.0%49.8%32.9%0.0%17.2%-1.1%-91090.5K-9340.0092.10N/AN/A007781
2020-04-23$35.38$34.0043.9%12.6%47.3%34.9%0.0%-0.2%-1.1%-1.7K98.0K-8910.00117.74N/AN/A407781
2020-04-24$35.74$34.0040.7%11.7%46.6%31.8%0.0%7.0%-4.0%-1.7K77.5K-8970.00117.26N/AN/A007781
2020-04-27$36.19$34.0036.3%10.4%42.6%27.4%0.0%7.3%-4.7%-1.7K81.5K-9010.0092.57N/AN/A007781
2020-04-28$36.35$34.0029.4%8.4%40.4%20.7%0.0%16.7%14.0%-1.4K70.5K-9290.00106.36N/AN/A007781
2020-04-29$37.22$34.0033.8%9.7%40.9%25.1%0.0%7.2%1.2%-2.2K49.0K-9400.00127.21N/AN/A007781
2020-04-30$36.73$34.0039.2%11.2%39.8%30.3%0.0%10.3%0.3%-2.2K60.9K-9170.00120.87N/AN/A007781