EPP Options History — December 2020

In December 2020, EPP traded between $46.59 and $48.20. ATM implied volatility averaged 18.0%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.2% (HV 20d: 15.7%). Max pain ranged from $43.00 to $49.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 3.01.

Notable Days

  • 2020-12-04: Highest Volume — 190 contracts
  • 2020-12-14: Largest IV spike — 20.7% change
  • 2020-12-01: Highest IV Rank — 12.5%
  • 2020-12-01: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.34$46.59$48.20$46.59$47.75
Max Pain$48.09$43.00$49.00$45.00$49.00
ATM IV18.0%15.0%21.4%21.4%16.4%
Expected Move5.1%4.3%6.1%6.1%4.7%
HV 20d15.7%11.5%21.9%21.9%12.1%
HV 60d17.1%16.5%18.3%18.3%16.8%
IV Rank8.8%6.2%12.5%12.5%6.9%
IV Percentile22.0%15.1%35.3%35.3%15.1%
Term Structure0.8%-3.1%6.9%-3.1%1.8%
VWIV15.9%12.3%19.3%18.1%13.8%
Skew 25d3.0%0.5%7.8%3.7%3.5%
Skew 10d7.1%-4.5%37.4%37.4%12.2%
Call IV 25d16.4%12.5%17.8%16.8%16.8%
Put IV 25d19.5%17.3%24.6%20.5%20.3%
Bid-Ask Spread %94.5579.07113.35109.1187.65
Gamma HHI0.240.160.460.380.25
Net GEX5.6K-10.8K31.0K23.1K6.1K
Net DEX52.1K-244.3K220.2K-207.8K-51.1K
Net VEX-1.7K-2.4K-336-407-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.010.0020.000.000.00
Total Volume18.5019000
Total OI252.3649332693277

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$46.59$45.0021.4%6.1%21.9%12.5%0.0%3.7%-3.1%23.1K-207.8K-4070.00109.11N/AN/A007617
2020-12-02$46.79$45.0017.5%5.0%20.2%8.6%0.0%7.8%-2.8%31.0K-224.8K-3360.00112.51N/AN/A107617
2020-12-03$46.90$43.0019.6%5.3%20.1%10.7%18.1%3.1%-0.3%28.6K-238.2K-3651.7579.07N/AN/A12217717
2020-12-04$47.29$43.0021.0%4.9%19.1%12.1%12.3%1.8%0.7%22.9K-244.3K-6671.3281.26N/AN/A821088938
2020-12-07$46.99$49.0017.0%5.0%19.5%8.2%0.0%1.7%1.4%11.8K186.8K-1.7K0.0082.00N/AN/A011116146
2020-12-08$47.20$49.0017.2%4.9%15.8%8.4%0.0%1.8%1.8%8.5K185.7K-1.8K1.0083.76N/AN/A22117157
2020-12-09$47.19$49.0017.1%4.9%15.9%8.3%0.0%1.5%2.5%12.2K180.7K-1.8K20.0084.31N/AN/A120119159
2020-12-10$47.70$49.0016.1%4.6%16.1%7.3%0.0%1.5%1.7%-8.7K140.6K-1.8K0.0085.15N/AN/A10120179
2020-12-11$47.36$49.0015.0%4.3%14.8%6.2%0.0%0.5%3.2%-3.0K220.2K-1.8K0.0091.09N/AN/A00120179
2020-12-14$47.02$49.0018.1%5.2%14.6%9.3%0.0%2.5%1.9%-10.8K219.4K-2.0K0.0091.32N/AN/A00110179
2020-12-15$47.36$49.0018.6%5.3%14.2%9.1%0.0%2.6%-0.3%-9.8K200.6K-1.9K0.0093.13N/AN/A00110179
2020-12-16$47.59$49.0016.8%4.8%14.2%7.2%0.0%5.3%-0.7%-8.2K189.8K-1.9K0.00113.22N/AN/A00110179
2020-12-17$47.98$49.0017.7%5.1%14.4%8.2%19.3%1.7%6.9%-2.7K120.4K-2.0K0.0098.98N/AN/A400110179
2020-12-18$47.47$49.0017.9%5.1%15.1%8.4%0.0%1.5%0.2%53107.3K-2.4K0.0097.89N/AN/A00147179
2020-12-21$47.08$49.0020.2%5.8%15.4%10.6%0.0%6.9%-2.0%2.8K168.4K-2.2K0.00113.35N/AN/A00143159
2020-12-22$46.75$49.0019.0%5.4%15.6%9.4%0.0%3.8%0.1%3.3K198.8K-2.1K0.00100.71N/AN/A00143159
2020-12-23$47.33$49.0017.9%5.1%14.6%8.3%13.8%0.8%1.8%2.4K147.4K-2.2K0.00104.28N/AN/A096143159
2020-12-24$47.44$49.0017.8%5.1%14.6%8.3%0.0%1.3%0.4%6.2K28-1.9K0.00101.93N/AN/A00143124
2020-12-28$47.76$49.0017.9%5.1%14.6%8.4%0.0%4.4%0.8%3.9K-38.0K-1.9K0.0091.12N/AN/A00143124
2020-12-29$47.71$49.0017.8%5.1%12.0%8.3%0.0%5.0%0.5%3.3K-27.2K-1.9K0.0085.75N/AN/A00143124
2020-12-30$48.20$49.0017.3%5.0%11.5%7.8%0.0%4.0%1.3%1.2K-89.1K-2.0K0.0092.46N/AN/A100143124
2020-12-31$47.75$49.0016.4%4.7%12.1%6.9%0.0%3.5%1.8%6.1K-51.1K-2.0K0.0087.65N/AN/A00153124