EPP Options History — September 2020

In September 2020, EPP traded between $40.29 and $42.96. ATM implied volatility averaged 23.6%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 7.5% (HV 20d: 16.1%). Max pain ranged from $38.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.03.

Notable Days

2020-09-28: Highest Volume — 39 contracts
2020-09-17: Largest IV spike — 29.5% change
2020-09-04: Highest IV Rank — 23.0%
2020-09-08: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.39	$40.29	$42.96	$42.42	$40.61
Max Pain	$38.48	$38.00	$43.00	$43.00	$38.00
ATM IV	23.6%	14.9%	31.6%	19.6%	21.7%
Expected Move	6.7%	4.3%	8.8%	5.6%	6.2%
HV 20d	16.1%	10.9%	18.3%	10.9%	18.2%
HV 60d	16.6%	15.3%	20.3%	19.6%	15.3%
IV Rank	15.2%	6.6%	23.0%	11.3%	13.3%
IV Percentile	54.4%	33.7%	75.4%	48.0%	47.2%
Term Structure	3.6%	-3.5%	18.4%	6.5%	5.7%
VWIV	26.7%	20.7%	36.7%	24.0%	20.7%
Skew 25d	6.8%	-4.6%	14.3%	-4.6%	5.8%
Skew 10d	10.6%	-5.2%	19.7%	-5.2%	14.9%
Call IV 25d	18.5%	13.2%	26.6%	26.6%	15.4%
Put IV 25d	25.3%	19.8%	34.2%	22.0%	21.3%
Bid-Ask Spread %	103.02	92.16	113.55	103.20	112.28
Gamma HHI	0.25	0.21	0.37	0.25	0.32
Net GEX	9.3K	7.3K	18.1K	7.6K	18.1K
Net DEX	-108.8K	-175.5K	-54.7K	-143.9K	-76.1K
Net VEX	-552	-759	-401	-684	-459
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.03	0.00	0.20	0.00	0.00
Total Volume	2.667	0	39	1	0
Total OI	154.952	146	186	146	186

Daily Data (21 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
2020-09-01	$42.42	$43.00	19.6%	5.6%	10.9%	11.3%	0.0%	-4.6%	6.5%	7.6K	-143.9K	-684	0.00	103.20	N/A	N/A	1	0	90	56
2020-09-02	$42.96	$43.00	25.4%	7.3%	11.6%	16.8%	24.0%	-1.1%	-1.6%	7.4K	-175.5K	-643	0.00	104.06	N/A	N/A	2	0	90	56
2020-09-03	$41.99	$38.00	26.5%	7.4%	14.5%	17.9%	25.5%	6.8%	1.7%	7.5K	-151.8K	-675	0.00	104.90	N/A	N/A	7	0	92	56
2020-09-04	$41.76	$38.00	31.6%	8.7%	14.2%	23.0%	0.0%	11.2%	-3.0%	7.9K	-136.4K	-759	0.00	111.88	N/A	N/A	0	0	98	56
2020-09-08	$41.32	$38.00	31.5%	8.8%	14.4%	22.8%	0.0%	13.6%	-3.5%	7.4K	-114.4K	-718	0.00	99.68	N/A	N/A	0	0	98	56
2020-09-09	$42.00	$38.00	27.1%	7.8%	15.5%	18.5%	0.0%	14.3%	0.8%	8.7K	-150.0K	-649	0.00	103.28	N/A	N/A	0	0	98	56
2020-09-10	$41.11	$38.00	23.4%	6.7%	16.0%	14.9%	0.0%	6.2%	5.2%	8.4K	-117.7K	-639	0.00	104.83	N/A	N/A	0	0	98	56
2020-09-11	$41.40	$38.00	24.2%	6.9%	15.9%	15.7%	0.0%	9.4%	3.3%	8.4K	-117.7K	-598	0.00	105.55	N/A	N/A	0	0	98	56
2020-09-14	$41.78	$38.00	22.7%	6.5%	16.3%	14.3%	0.0%	5.9%	4.7%	9.4K	-121.7K	-584	0.00	102.40	N/A	N/A	0	0	98	56
2020-09-15	$42.03	$38.00	20.7%	5.9%	16.2%	12.3%	0.0%	9.5%	4.1%	9.8K	-130.3K	-575	0.00	92.60	N/A	N/A	0	0	98	56
2020-09-16	$42.13	$38.00	14.9%	4.3%	16.2%	6.6%	0.0%	5.1%	18.4%	12.1K	-125.0K	-443	0.00	106.15	N/A	N/A	0	0	98	56
2020-09-17	$41.87	$38.00	19.3%	5.5%	16.3%	10.9%	0.0%	4.8%	4.1%	9.7K	-126.2K	-489	0.00	94.86	N/A	N/A	0	0	98	56
2020-09-18	$41.56	$38.00	19.3%	5.5%	16.5%	10.9%	36.7%	5.5%	2.2%	8.9K	-101.6K	-484	0.20	98.87	N/A	N/A	5	1	98	56
2020-09-21	$40.62	$38.00	21.6%	6.2%	18.3%	13.2%	0.0%	5.2%	4.6%	7.3K	-68.0K	-468	0.00	92.16	N/A	N/A	0	0	94	57
2020-09-22	$40.69	$38.00	26.3%	7.5%	17.8%	17.7%	0.0%	9.2%	-2.1%	7.5K	-81.2K	-488	0.00	107.03	N/A	N/A	0	0	94	57
2020-09-23	$40.34	$38.00	26.3%	7.5%	17.9%	17.8%	0.0%	10.1%	4.8%	7.4K	-72.5K	-476	0.00	97.95	N/A	N/A	0	0	94	57
2020-09-24	$40.29	$38.00	26.5%	7.6%	17.8%	17.9%	0.0%	12.2%	0.8%	7.7K	-54.7K	-437	0.00	105.55	N/A	N/A	0	0	94	57
2020-09-25	$40.66	$38.00	24.1%	6.9%	18.3%	15.6%	0.0%	9.9%	5.6%	8.3K	-64.3K	-401	0.00	107.29	N/A	N/A	1	0	94	57
2020-09-28	$40.92	$38.00	19.6%	5.6%	18.1%	11.2%	20.7%	-0.3%	6.9%	8.0K	-68.0K	-425	0.00	95.34	N/A	N/A	39	0	90	57
2020-09-29	$40.69	$38.00	24.0%	6.9%	18.2%	15.5%	0.0%	4.5%	5.8%	18.1K	-88.7K	-492	0.00	113.55	N/A	N/A	0	0	129	57
2020-09-30	$40.61	$38.00	21.7%	6.2%	18.2%	13.3%	0.0%	5.8%	5.7%	18.1K	-76.1K	-459	0.00	112.28	N/A	N/A	0	0	129	57