DBEU Options History — May 2015 In May 2015, DBEU traded between $28.82 and $30.06. ATM implied volatility averaged 91.4%. The 30-day expected move averaged 30.1%. IV traded above realized volatility by 75.0% (HV 20d: 16.5%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.80.
Notable Days 2015-05-01 : Highest Volume — 27 contracts2015-05-06 : Largest IV spike — 685.2% change2015-05-13 : Largest Expected Move — 41.2%Monthly Statistics Metric Avg Min Max Open Close Price $29.53 $28.82 $30.06 $29.50 $29.60 Max Pain $30.00 $30.00 $30.00 $30.00 $30.00 ATM IV 91.4% 9.0% 143.6% 124.9% 95.0% Expected Move 30.1% 18.6% 41.2% 18.6% 27.2% HV 20d 16.5% 13.8% 18.0% 14.0% 16.4% HV 60d 13.2% 12.0% 13.7% 12.2% 13.7% Term Structure 49.3% -32.5% 115.9% 65.0% 110.6% VWIV 11.9% 5.3% 15.6% 14.6% 14.4% Skew 25d -26.8% -160.2% 45.0% -1.2% -121.1% Skew 10d -33.9% -160.2% 12.9% -1.2% -121.1% Call IV 25d 144.7% 88.6% 184.7% 132.2% 139.5% Put IV 25d 117.9% 12.9% 189.0% 131.0% 18.4% Bid-Ask Spread % 183.14 172.36 200.00 180.93 176.07 Gamma HHI 0.35 0.27 0.69 0.28 0.36 Net GEX 210 -203 2.3K -50 449 Net DEX -6.7K -13.6K 9.5K -11.9K -11.4K Net VEX -123 -147 -90 -147 -117 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.80 0.80 0.80 0.80 Total Volume 20.25 0 27 27 27 Total OI 26.5 19 29 29 29
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 2015-05-01 $29.50 $0.00 124.9% 0.0% 14.0% 0.0% 0.0% -1.2% 65.0% -50 -11.9K -147 0.80 180.93 N/A N/A 15 12 15 14 2015-05-04 $29.60 $30.00 65.3% 18.6% 13.8% 0.0% 0.0% 4.7% 87.8% -185 8.4K -101 0.00 200.00 N/A N/A 0 0 5 14 2015-05-05 $29.01 $30.00 9.0% 37.8% 15.4% 0.0% 14.6% 1.8% -24.6% 3 -12.4K -144 0.80 175.33 N/A N/A 15 12 15 14 2015-05-06 $28.83 $30.00 70.7% 38.1% 15.4% 0.0% 14.9% -2.2% -25.4% -15 -10.9K -142 0.80 176.37 N/A N/A 15 12 15 14 2015-05-07 $28.82 $30.00 134.4% 38.5% 14.7% 0.0% 15.6% -3.4% -26.8% -16 -10.5K -140 0.80 174.71 N/A N/A 15 12 15 14 2015-05-08 $29.55 $30.00 67.4% 19.5% 17.4% 0.0% 0.0% 4.2% 90.2% -182 8.5K -99 0.00 200.00 N/A N/A 0 0 5 14 2015-05-11 $29.48 $30.00 29.2% 38.8% 17.3% 0.0% 0.0% -130.7% -31.3% -203 8.8K -95 0.00 200.00 N/A N/A 0 0 5 14 2015-05-12 $29.26 $30.00 141.8% 40.7% 17.4% 0.0% 11.5% -137.7% -28.0% -27 -11.4K -137 0.80 177.82 N/A N/A 15 12 15 14 2015-05-13 $29.13 $30.00 143.6% 41.2% 17.4% 0.0% 14.1% -0.8% -30.3% -7 -11.7K -136 0.80 178.63 N/A N/A 15 12 15 14 2015-05-14 $29.47 $30.00 142.6% 40.9% 18.0% 0.0% 14.3% -1.1% -32.5% -16 -11.9K -135 0.80 178.97 N/A N/A 15 12 15 14 2015-05-15 $29.44 $30.00 131.3% 37.6% 16.9% 0.0% 8.2% 12.9% -22.5% 6 -12.2K -134 0.80 179.50 N/A N/A 15 12 15 14 2015-05-18 $29.54 $30.00 78.0% 22.4% 16.7% 0.0% 0.0% 4.7% 100.9% -190 9.5K -91 0.00 200.00 N/A N/A 0 0 5 14 2015-05-19 $29.81 $30.00 78.3% 22.5% 16.8% 0.0% 0.0% 8.9% 102.9% -189 9.2K -90 0.00 200.00 N/A N/A 0 0 5 14 2015-05-20 $29.91 $30.00 79.9% 22.9% 16.9% 0.0% 11.3% 44.5% 102.8% 1.9K -11.0K -129 0.80 177.13 N/A N/A 15 12 15 14 2015-05-21 $30.01 $30.00 81.4% 23.3% 16.9% 0.0% 8.7% 10.4% 105.9% 121 -13.0K -129 0.80 176.92 N/A N/A 15 12 15 14 2015-05-22 $30.01 $30.00 82.4% 23.6% 16.9% 0.0% 10.3% 45.0% 105.3% 2.3K -11.8K -128 0.80 174.18 N/A N/A 15 12 15 14 2015-05-26 $29.67 $30.00 89.7% 25.7% 17.2% 0.0% 15.2% 4.3% 106.1% 442 -11.5K -121 0.80 177.12 N/A N/A 15 12 15 14 2015-05-27 $30.06 $30.00 90.9% 26.1% 17.7% 0.0% 5.3% -160.2% 115.9% -4 -13.6K -123 0.80 186.67 N/A N/A 15 12 15 14 2015-05-28 $29.99 $30.00 92.7% 26.6% 15.9% 0.0% 8.8% -118.1% 113.9% 120 -13.1K -121 0.80 172.36 N/A N/A 15 12 15 14 2015-05-29 $29.60 $30.00 95.0% 27.2% 16.4% 0.0% 14.4% -121.1% 110.6% 449 -11.4K -117 0.80 176.07 N/A N/A 15 12 15 14
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