EPP Options History — November 2020

In November 2020, EPP traded between $40.47 and $47.22. ATM implied volatility averaged 22.5%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.0% (HV 20d: 20.5%). Max pain ranged from $39.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.14.

Notable Days

2020-11-11: Highest Volume — 52 contracts
2020-11-25: Largest IV drop — 49.4% change
2020-11-24: Highest IV Rank — 21.4%
2020-11-24: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.92	$40.47	$47.22	$40.47	$45.93
Max Pain	$44.05	$39.00	$45.00	$39.00	$45.00
ATM IV	22.5%	15.2%	30.0%	29.7%	26.3%
Expected Move	6.5%	4.4%	8.6%	8.5%	7.5%
HV 20d	20.5%	13.0%	22.6%	13.0%	21.8%
HV 60d	17.4%	14.6%	18.4%	14.6%	18.2%
IV Rank	14.0%	6.9%	21.4%	21.1%	17.2%
IV Percentile	42.0%	19.4%	69.8%	68.7%	56.3%
Term Structure	-2.8%	-16.5%	0.6%	-1.3%	-5.7%
VWIV	20.6%	18.9%	22.2%	22.2%	18.9%
Skew 25d	4.2%	-2.5%	10.2%	9.2%	6.4%
Skew 10d	9.7%	-0.4%	32.4%	14.7%	-0.4%
Call IV 25d	19.5%	16.5%	25.2%	22.5%	18.4%
Put IV 25d	23.7%	18.6%	34.2%	31.7%	24.8%
Bid-Ask Spread %	98.74	81.41	134.37	102.03	107.03
Gamma HHI	0.56	0.32	0.77	0.56	0.36
Net GEX	18.1K	11.5K	27.7K	11.7K	17.8K
Net DEX	-259.6K	-383.8K	-46.3K	-46.3K	-177.1K
Net VEX	-419	-540	-306	-449	-443
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.14	0.00	1.00	0.00	0.00
Total Volume	4.1	0	52	0	0
Total OI	117.2	73	132	123	93

Daily Data (20 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
2020-11-02	$40.47	$39.00	29.7%	8.5%	13.0%	21.1%	0.0%	9.2%	-1.3%	11.7K	-46.3K	-449	0.00	102.03	N/A	N/A	0	0	95	28
2020-11-03	$41.71	$39.00	29.2%	8.4%	16.9%	20.5%	0.0%	8.9%	-3.9%	17.2K	-113.8K	-532	0.00	92.17	N/A	N/A	0	0	95	28
2020-11-04	$42.12	$39.00	23.3%	6.7%	16.4%	14.9%	0.0%	-2.5%	0.6%	23.1K	-128.1K	-530	0.00	95.12	N/A	N/A	1	0	95	28
2020-11-05	$43.08	$0.00	25.1%	7.1%	18.1%	16.6%	22.2%	3.8%	-4.0%	23.1K	-197.1K	-540	1.00	89.03	N/A	N/A	1	1	95	28
2020-11-06	$43.31	$45.00	24.5%	6.9%	18.1%	16.0%	0.0%	10.2%	-2.9%	26.9K	-209.9K	-527	0.00	106.66	N/A	N/A	0	0	96	28
2020-11-09	$44.84	$45.00	21.1%	6.4%	21.6%	12.7%	0.0%	7.4%	-2.4%	19.3K	-327.7K	-419	0.00	134.37	N/A	N/A	2	0	96	27
2020-11-10	$44.98	$45.00	18.1%	5.8%	21.4%	9.8%	0.0%	2.1%	-0.7%	23.1K	-351.0K	-306	0.00	99.40	N/A	N/A	0	0	94	27
2020-11-11	$45.19	$45.00	23.5%	6.7%	21.4%	15.1%	20.7%	3.3%	-3.7%	16.2K	-332.1K	-347	0.00	103.59	N/A	N/A	52	0	92	27
2020-11-12	$44.42	$45.00	24.7%	7.1%	22.3%	16.2%	0.0%	7.5%	-3.3%	22.9K	-279.6K	-489	0.00	101.51	N/A	N/A	0	0	104	27
2020-11-13	$45.07	$45.00	20.5%	5.9%	22.6%	12.1%	0.0%	3.7%	-1.4%	11.5K	-332.5K	-393	0.00	81.41	N/A	N/A	0	0	104	27
2020-11-16	$45.65	$45.00	19.4%	5.6%	22.6%	11.1%	0.0%	2.9%	-1.0%	14.9K	-351.3K	-386	0.00	88.55	N/A	N/A	0	0	104	27
2020-11-17	$45.86	$45.00	19.4%	5.5%	22.6%	11.0%	18.9%	3.5%	-0.0%	12.9K	-362.4K	-375	0.00	86.25	N/A	N/A	1	0	104	27
2020-11-18	$45.95	$45.00	19.1%	5.5%	22.5%	10.7%	0.0%	2.9%	0.5%	14.0K	-366.9K	-372	0.00	85.15	N/A	N/A	4	0	105	27
2020-11-19	$46.09	$45.00	21.3%	6.1%	22.5%	12.9%	0.0%	4.2%	-2.8%	13.0K	-375.1K	-360	0.00	89.73	N/A	N/A	0	0	105	27
2020-11-20	$46.28	$45.00	19.8%	5.7%	22.5%	11.4%	0.0%	4.4%	-1.8%	14.3K	-383.8K	-344	0.00	88.39	N/A	N/A	0	0	105	27
2020-11-23	$46.17	$45.00	20.5%	5.9%	21.8%	12.1%	0.0%	3.0%	-2.1%	15.4K	-154.3K	-335	0.00	93.68	N/A	N/A	20	0	56	17
2020-11-24	$47.09	$45.00	30.0%	8.6%	21.8%	21.4%	0.0%	0.2%	-16.5%	13.8K	-221.9K	-469	0.00	121.05	N/A	N/A	0	0	76	17
2020-11-25	$47.22	$45.00	15.2%	4.4%	19.8%	6.9%	0.0%	-0.4%	-0.9%	27.7K	-249.0K	-367	0.00	112.18	N/A	N/A	0	0	76	17
2020-11-27	$46.94	$45.00	19.0%	5.4%	20.2%	10.6%	0.0%	4.2%	-2.8%	23.9K	-231.5K	-390	0.00	97.54	N/A	N/A	0	0	76	17
2020-11-30	$45.93	$45.00	26.3%	7.5%	21.8%	17.2%	0.0%	6.4%	-5.7%	17.8K	-177.1K	-443	0.00	107.03	N/A	N/A	0	0	76	17