EPP Options History — June 2020

In June 2020, EPP traded between $38.65 and $42.11. ATM implied volatility averaged 31.7%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 2.6% (HV 20d: 34.3%). Max pain ranged from $39.00 to $45.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.36.

Notable Days

  • 2020-06-22: Highest Volume — 1,505 contracts
  • 2020-06-26: Largest IV spike — 27.7% change
  • 2020-06-16: Highest IV Rank — 32.2%
  • 2020-06-16: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.08$38.65$42.11$38.65$39.79
Max Pain$41.18$39.00$45.00$41.00$40.00
ATM IV31.7%26.3%41.2%33.6%29.4%
Expected Move9.0%7.2%11.8%9.6%8.4%
HV 20d34.3%30.0%40.2%30.0%30.8%
HV 60d46.5%33.8%65.7%65.7%33.8%
IV Rank23.0%17.8%32.2%24.9%20.8%
IV Percentile77.9%69.4%88.1%82.5%72.6%
Term Structure-1.8%-22.1%17.2%-9.8%-7.9%
VWIV29.7%26.0%35.5%26.9%27.6%
Skew 25d6.7%-3.0%26.7%6.1%13.9%
Skew 10d10.3%-3.1%23.7%18.5%9.8%
Call IV 25d27.8%20.6%40.0%30.2%20.6%
Put IV 25d34.5%27.1%59.2%36.2%34.6%
Bid-Ask Spread %109.8888.91134.11118.55123.52
Gamma HHI0.290.180.460.250.29
Net GEX-9.0K-20.8K-173-13.0K-4.9K
Net DEX190.6K-434.6K847.0K219.6K586.2K
Net VEX-3.6K-11.0K-768-768-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.002.080.001.05
Total Volume136.36401,50540
Total OI924.0911962,7481962,748

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$38.65$41.0033.6%9.6%30.0%24.9%0.0%6.1%-9.8%-13.0K219.6K-7680.00118.55N/AN/A4065131
2020-06-02$39.41$41.0032.0%9.2%30.2%23.3%26.9%2.6%-6.9%-15.0K176.1K-8580.00104.50N/AN/A4069131
2020-06-03$40.66$41.0035.6%10.2%31.6%26.8%27.5%4.7%-1.1%-14.9K91.7K-9360.00101.31N/AN/A4073131
2020-06-04$40.46$45.0027.7%10.3%31.5%19.1%31.1%6.3%-22.1%-13.2K95.7K-9382.0896.97N/AN/A6212976131
2020-06-05$41.59$45.0033.6%7.3%32.4%24.9%29.0%3.4%1.7%-12.1K18.8K-8850.3398.52N/AN/A6276131
2020-06-08$42.11$45.0032.1%7.2%32.4%23.4%0.0%3.8%-3.5%-15.1K-15.7K-7930.00104.66N/AN/A3075132
2020-06-09$41.84$45.0029.4%7.7%32.7%20.8%26.0%3.6%-2.2%-18.5K-355-7840.0088.91N/AN/A1075132
2020-06-10$41.87$42.0026.3%7.5%31.8%17.8%31.8%-3.0%8.6%-20.8K3.6K-8550.00134.11N/AN/A16076132
2020-06-11$39.32$42.0032.5%9.3%40.0%23.7%0.0%10.9%-0.1%-8.4K155.6K-9320.00116.84N/AN/A0092132
2020-06-12$39.74$42.0034.1%9.8%40.0%25.3%0.0%5.1%-3.6%-11.9K137.1K-9260.00115.21N/AN/A10092132
2020-06-15$39.38$39.0036.8%10.5%40.2%27.9%0.0%26.7%-0.7%-8.3K134.9K-9610.00106.54N/AN/A100102131
2020-06-16$39.62$39.0041.2%11.8%37.5%32.2%33.1%4.0%-10.9%-5.0K109.7K-9410.00111.68N/AN/A110112131
2020-06-17$39.87$39.0035.5%10.2%37.3%26.7%35.5%5.1%-4.5%-7.3K100.5K-9270.99103.01N/AN/A188186102131
2020-06-18$39.73$40.0031.7%9.1%37.1%23.0%0.0%10.2%17.2%-9.0K120.8K-2.5K0.00108.35N/AN/A00290317
2020-06-19$39.47$40.0031.5%9.0%36.2%22.8%0.0%12.6%-0.3%-173175.0K-2.4K0.00109.46N/AN/A100290317
2020-06-22$40.14$40.0028.0%8.0%35.3%19.4%28.0%1.6%3.8%-2.1K-63.1K-2.4K1.01109.33N/AN/A750755272267
2020-06-23$40.33$40.0027.5%7.9%33.4%18.9%27.6%6.4%-5.0%-2.3K-434.6K-8.4K1.05105.32N/AN/A4144351,0221,022
2020-06-24$39.55$40.0027.2%7.8%34.4%18.6%0.0%7.6%6.6%-3.8K551.7K-11.0K0.00116.07N/AN/A001,3761,372
2020-06-25$39.55$40.0027.5%7.9%34.4%18.9%0.0%7.5%1.8%-3.9K460.7K-10.8K0.00115.24N/AN/A001,3761,372
2020-06-26$39.17$40.0035.1%10.1%34.2%26.3%0.0%9.0%1.3%-3.3K721.2K-10.4K0.00117.19N/AN/A001,3761,372
2020-06-29$39.51$40.0028.3%8.1%31.4%19.8%0.0%0.2%-1.6%-4.6K847.0K-9.6K0.00112.04N/AN/A001,3761,372
2020-06-30$39.79$40.0029.4%8.4%30.8%20.8%0.0%13.9%-7.9%-4.9K586.2K-9.4K0.00123.52N/AN/A001,3761,372