EPP Options History — March 2021

In March 2021, EPP traded between $49.45 and $50.97. ATM implied volatility averaged 20.9%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 5.4% (HV 20d: 15.5%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 9.41.

Notable Days

  • 2021-03-02: Highest Volume — 155 contracts
  • 2021-03-08: Largest IV spike — 24.8% change
  • 2021-03-08: Highest IV Rank — 13.0%
  • 2021-03-08: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.42$49.45$50.97$50.89$50.19
Max Pain$50.65$50.00$55.00$55.00$50.00
ATM IV20.9%15.8%27.2%23.9%18.1%
Expected Move5.9%4.5%7.4%6.8%5.2%
HV 20d15.5%11.5%16.9%16.4%11.6%
HV 60d15.7%15.5%15.9%15.7%15.6%
IV Rank7.5%2.1%13.0%9.5%6.3%
IV Percentile30.3%2.8%61.1%47.2%12.7%
Term Structure0.3%-5.7%5.7%-4.0%0.9%
VWIV17.1%13.6%20.7%13.6%20.7%
Skew 25d4.6%-0.4%9.0%8.1%2.1%
Skew 10d9.9%-3.0%21.9%9.9%9.3%
Call IV 25d17.6%10.8%23.9%21.2%16.8%
Put IV 25d22.2%17.2%29.3%29.3%18.9%
Bid-Ask Spread %98.0758.92120.47112.7197.14
Gamma HHI0.310.240.420.280.42
Net GEX30.5K13.7K50.4K13.7K50.2K
Net DEX3.5M728.4K5.1M4.6M990.7K
Net VEX-3.0K-5.0K-2.0K-4.5K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.410.0046.001.0746.00
Total Volume10.261015500
Total OI1,665.6965392,2642,186582

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$50.89$55.0023.9%6.8%16.4%9.5%0.0%8.1%-4.0%13.7K4.6M-4.5K0.00112.71N/AN/A001,0341,152
2021-03-02$50.65$55.0021.7%6.2%16.1%7.3%0.0%1.8%-2.2%14.5K4.7M-4.0K1.07112.14N/AN/A75801,0341,152
2021-03-03$50.63$55.0019.2%5.5%15.5%4.7%0.0%3.2%-5.7%23.1K4.6M-5.0K0.00111.55N/AN/A041,0691,192
2021-03-04$50.25$50.0023.2%6.5%15.8%8.9%0.0%6.1%3.9%22.0K4.9M-4.1K0.0089.51N/AN/A001,0691,193
2021-03-05$50.56$50.0021.8%5.3%15.9%7.4%0.0%6.4%5.7%22.2K5.0M-3.7K0.0099.82N/AN/A001,0691,193
2021-03-08$50.12$50.0027.2%7.4%16.1%13.0%0.0%6.0%-1.3%21.8K4.9M-3.8K0.0090.49N/AN/A001,0691,193
2021-03-09$50.66$50.0022.3%6.1%16.4%7.9%0.0%4.2%2.6%25.0K5.0M-3.4K0.0088.56N/AN/A001,0691,193
2021-03-10$50.49$50.0023.8%6.8%16.4%9.4%0.0%6.6%-2.9%25.9K5.1M-2.9K0.0097.88N/AN/A001,0691,193
2021-03-11$50.89$50.0021.3%6.1%16.6%6.9%0.0%9.0%1.9%28.5K5.0M-3.2K0.00104.07N/AN/A001,0691,193
2021-03-12$50.57$50.0021.9%6.3%16.4%7.5%0.0%4.9%-1.0%25.0K5.0M-3.2K0.0080.31N/AN/A201,0691,193
2021-03-15$50.74$50.0021.1%6.1%16.5%6.7%0.0%1.8%1.1%28.7K5.0M-2.8K0.0078.53N/AN/A031,0701,193
2021-03-16$50.72$50.0024.3%7.0%16.3%10.0%0.0%-0.4%2.8%25.5K5.0M-3.0K0.00119.36N/AN/A001,0701,193
2021-03-17$50.97$50.0022.8%6.5%16.4%8.5%0.0%2.4%-0.9%31.0K5.0M-2.7K0.00113.97N/AN/A021,0701,193
2021-03-18$50.38$50.0020.2%5.8%16.9%5.7%0.0%4.0%2.2%27.9K5.0M-2.6K0.00103.50N/AN/A001,0701,194
2021-03-19$50.29$50.0021.3%6.1%16.8%6.9%0.0%6.0%-1.3%20.3K5.1M-2.5K0.00104.59N/AN/A001,0701,194
2021-03-22$50.36$50.0018.1%5.2%16.8%6.2%13.6%8.6%5.0%29.2K728.4K-2.9K0.00120.47N/AN/A210198341
2021-03-23$49.67$50.0015.8%4.5%16.1%2.1%0.0%8.8%-0.5%42.4K888.1K-2.2K0.0076.68N/AN/A00219341
2021-03-24$49.45$50.0018.6%5.3%16.1%7.2%0.0%2.7%0.4%39.7K925.3K-2.0K0.0098.37N/AN/A00219341
2021-03-25$49.90$50.0019.2%5.5%15.3%8.3%0.0%5.7%-0.9%42.2K898.4K-2.0K0.00105.56N/AN/A20219341
2021-03-26$50.46$50.0018.6%5.3%14.1%7.2%20.7%6.4%-0.7%48.3K827.1K-2.1K46.0095.85N/AN/A146221341
2021-03-29$50.52$50.0018.5%5.3%11.6%7.1%0.0%-0.0%-0.4%43.8K929.1K-2.2K0.0095.68N/AN/A00218364
2021-03-30$50.34$50.0018.3%5.2%11.5%6.6%0.0%0.7%1.2%50.4K972.7K-2.0K0.0058.92N/AN/A00218364
2021-03-31$50.19$50.0018.1%5.2%11.6%6.3%0.0%2.1%0.9%50.2K990.7K-2.0K0.0097.14N/AN/A00218364