EPP Options History — July 2020

In July 2020, EPP traded between $40.11 and $41.62. ATM implied volatility averaged 29.0%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 8.7% (HV 20d: 20.2%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.45.

Notable Days

  • 2020-07-15: Highest Volume — 4,561 contracts
  • 2020-07-07: Largest IV spike — 62.8% change
  • 2020-07-07: Highest IV Rank — 38.6%
  • 2020-07-01: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.86$40.11$41.62$40.11$40.26
Max Pain$43.91$40.00$45.00$40.00$45.00
ATM IV29.0%19.6%47.7%34.3%27.2%
Expected Move7.8%5.6%9.8%9.8%7.8%
HV 20d20.2%16.5%29.5%28.7%16.8%
HV 60d29.2%26.4%31.9%31.6%26.7%
IV Rank20.4%11.2%38.6%25.5%18.6%
IV Percentile68.9%54.4%92.1%81.0%63.1%
Term Structure0.2%-5.0%11.9%-3.5%-4.2%
VWIV22.2%20.1%25.9%25.9%20.7%
Skew 25d6.0%-0.8%10.8%-0.8%0.1%
Skew 10d11.6%-2.9%27.6%5.3%8.2%
Call IV 25d23.1%15.9%30.8%30.8%22.6%
Put IV 25d29.1%17.8%34.4%29.9%22.7%
Bid-Ask Spread %103.7676.27146.44126.3395.51
Gamma HHI0.250.180.340.260.18
Net GEX3.6K-4.0K10.1K-4.0K7.7K
Net DEX1.6M-2.7M4.2M194.9K4.0M
Net VEX-5.2K-9.1K-1.8K-9.1K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.001.030.000.00
Total Volume449.54504,56100
Total OI2,565.1362,3002,7602,7482,353

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$40.11$40.0034.3%9.8%28.7%25.5%0.0%-0.8%-3.5%-4.0K194.9K-9.1K0.00126.33N/AN/A001,3761,372
2020-07-02$40.89$40.0033.1%9.5%29.5%24.4%0.0%0.4%-5.0%-908-1.5M-8.7K0.00126.38N/AN/A1001,3761,372
2020-07-06$41.44$43.0029.3%7.8%28.2%20.7%25.9%4.4%-0.2%3.2K-2.7M-6.6K1.0376.27N/AN/A4244351,3861,372
2020-07-07$40.85$43.0047.7%8.2%28.2%38.6%0.0%4.0%0.3%728-1.1M-7.5K0.00146.44N/AN/A001,3861,372
2020-07-08$40.95$43.0030.4%9.5%28.2%21.8%0.0%9.0%-2.2%-3.0K-1.8M-6.4K0.00140.19N/AN/A001,3861,372
2020-07-09$40.44$43.0035.8%8.4%28.5%27.0%0.0%8.9%-0.1%262-1.5M-6.6K0.00108.08N/AN/A201,3861,372
2020-07-10$40.55$43.0031.5%8.0%17.0%22.8%0.0%9.5%0.0%-1.4K-1.3M-6.3K0.0095.16N/AN/A001,3881,372
2020-07-13$40.35$43.0037.2%8.9%16.8%28.4%0.0%9.6%-1.4%-1.3K-1.6M-4.7K0.0095.87N/AN/A011,3881,372
2020-07-14$40.73$43.0035.2%8.3%16.6%26.5%20.1%10.2%1.7%-49-1.7M-4.2K1.0084.90N/AN/A2,2002,2001,3881,372
2020-07-15$41.26$45.0031.5%9.0%17.0%22.8%22.1%8.1%-0.9%3.7K2.6M-7.6K1.0091.59N/AN/A2,2762,2851,3881,372
2020-07-16$40.66$45.0027.2%7.8%17.9%18.7%0.0%8.0%11.9%-1.3K3.3M-5.4K0.0098.64N/AN/A001,3881,372
2020-07-17$40.83$45.0027.6%7.9%17.9%19.0%0.0%8.7%-1.2%-6192.9M-6.0K0.00103.11N/AN/A001,3881,372
2020-07-20$40.95$45.0025.2%7.2%17.6%16.7%0.0%7.5%-0.2%3.2K3.5M-5.5K0.0094.04N/AN/A1601,1611,139
2020-07-21$41.62$45.0022.3%6.4%17.6%13.8%20.7%5.5%3.9%5.8K3.5M-5.6K0.00101.73N/AN/A1401,1771,139
2020-07-22$41.34$45.0023.7%6.8%17.8%15.2%0.0%2.4%2.2%9.5K3.9M-3.9K0.00104.89N/AN/A011,1911,139
2020-07-23$40.91$45.0026.2%7.5%16.6%17.6%0.0%1.9%-0.1%9.7K4.1M-2.7K1.00105.36N/AN/A661,1911,140
2020-07-24$40.71$45.0023.6%6.8%16.8%15.1%0.0%10.8%-0.7%8.3K3.8M-3.9K0.0088.62N/AN/A001,1971,146
2020-07-27$41.10$45.0021.8%6.3%16.5%13.4%0.0%10.4%1.5%9.5K3.8M-3.7K0.0087.96N/AN/A001,1971,146
2020-07-28$40.83$45.0024.1%6.9%16.6%15.6%0.0%2.1%-1.8%9.5K4.2M-2.0K0.00104.72N/AN/A401,1971,146
2020-07-29$41.30$45.0022.9%6.6%16.9%14.4%0.0%8.6%1.6%10.1K3.8M-3.7K0.00111.16N/AN/A001,1971,146
2020-07-30$40.91$45.0019.6%5.6%17.2%11.2%0.0%2.3%2.2%9.6K4.2M-1.8K0.0095.76N/AN/A0101,1971,146
2020-07-31$40.26$45.0027.2%7.8%16.8%18.6%0.0%0.1%-4.2%7.7K4.0M-2.7K0.0095.51N/AN/A001,1971,156