DBEU Options History — July 2015

Name: DBEU Options Analytics - July 2015
Creator: Options Analysis Suite

In July 2015, DBEU traded between $26.37 and $28.52. ATM implied volatility averaged 17.2%. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 10.2% (HV 20d: 27.4%). Max pain ranged from $25.00 to $29.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.17.

Notable Days

2015-07-30: Highest Volume — 129 contracts
2015-07-15: Largest IV drop — 42.3% change
2015-07-08: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.67	$26.37	$28.52	$27.26	$27.97
Max Pain	$28.38	$25.00	$29.00	$25.00	$29.00
ATM IV	17.2%	11.0%	26.3%	21.5%	12.9%
Expected Move	4.4%	3.1%	6.5%	6.2%	3.7%
HV 20d	27.4%	19.7%	31.6%	28.5%	19.7%
HV 60d	21.5%	20.3%	22.1%	20.3%	21.6%
Term Structure	-0.2%	-2.4%	2.8%	-1.7%	2.0%
VWIV	15.2%	10.5%	23.0%	23.0%	14.9%
Skew 25d	3.3%	-0.4%	12.1%	3.9%	1.9%
Skew 10d	2.8%	0.3%	9.3%	0.3%	2.4%
Call IV 25d	14.1%	8.3%	19.1%	19.1%	14.1%
Put IV 25d	17.4%	12.8%	25.8%	23.0%	16.0%
Bid-Ask Spread %	123.59	96.28	133.66	112.97	133.66
Gamma HHI	0.39	0.30	0.48	0.47	0.41
Net GEX	-2.0K	-5.8K	2.4K	-5.6K	-732
Net DEX	58.5K	13.5K	97.9K	46.3K	97.9K
Net VEX	-343	-519	-199	-205	-503
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.80	4.40	4.40	0.98
Total Volume	97.864	54	129	54	129
Total OI	99.409	56	136	56	131

Daily Data (22 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
2015-07-01	$27.26	$25.00	21.5%	6.2%	28.5%	0.0%	23.0%	3.9%	-1.7%	-5.6K	46.3K	-205	4.40	112.97	N/A	N/A	10	44	10	46
2015-07-02	$27.24	$25.00	19.2%	5.5%	28.3%	0.0%	20.9%	3.4%	1.3%	-5.8K	46.4K	-199	1.47	112.89	N/A	N/A	30	44	10	46
2015-07-06	$26.63	$0.00	22.7%	5.5%	29.2%	0.0%	0.0%	5.5%	-0.5%	-3.6K	49.3K	-287	1.20	117.97	N/A	N/A	30	36	30	46
2015-07-07	$26.72	$0.00	20.4%	5.5%	29.1%	0.0%	0.0%	6.5%	-1.6%	-3.2K	49.3K	-274	1.20	116.13	N/A	N/A	30	36	30	46
2015-07-08	$26.37	$0.00	24.7%	6.5%	29.3%	0.0%	0.0%	7.9%	-2.4%	-3.6K	60.6K	-235	1.20	96.28	N/A	N/A	30	36	30	46
2015-07-09	$26.86	$0.00	26.3%	5.8%	29.2%	0.0%	0.0%	1.8%	-1.3%	-4.7K	47.0K	-264	1.20	116.67	N/A	N/A	30	36	30	46
2015-07-10	$27.69	$0.00	22.2%	4.9%	31.5%	0.0%	0.0%	12.1%	-2.1%	-5.4K	22.9K	-315	1.20	119.10	N/A	N/A	30	36	30	46
2015-07-13	$27.94	$0.00	24.6%	4.7%	31.6%	0.0%	0.0%	10.5%	-2.1%	-4.9K	15.1K	-310	1.20	121.04	N/A	N/A	30	36	30	46
2015-07-14	$28.07	$0.00	25.8%	4.3%	31.4%	0.0%	0.0%	7.0%	-0.5%	-4.4K	14.4K	-298	1.20	128.66	N/A	N/A	30	36	30	46
2015-07-15	$28.03	$0.00	14.9%	4.3%	31.4%	0.0%	0.0%	0.1%	0.4%	-4.1K	13.5K	-293	1.12	119.80	N/A	N/A	50	56	30	46
2015-07-16	$28.41	$0.00	14.1%	4.0%	31.4%	0.0%	14.4%	0.5%	0.7%	-3.1K	67.6K	-270	0.80	125.30	N/A	N/A	70	56	50	66
2015-07-17	$28.40	$29.00	13.9%	4.0%	31.2%	0.0%	12.8%	1.3%	-0.1%	2.1K	49.5K	-332	0.80	129.49	N/A	N/A	70	56	70	66
2015-07-20	$28.52	$29.00	11.4%	3.3%	31.2%	0.0%	10.5%	2.6%	-1.1%	2.4K	52.2K	-519	0.90	130.30	N/A	N/A	60	54	60	56
2015-07-21	$28.26	$29.00	11.0%	3.1%	30.0%	0.0%	12.3%	0.7%	-1.1%	842	85.5K	-246	0.83	133.08	N/A	N/A	65	54	65	56
2015-07-22	$28.08	$29.00	13.8%	3.9%	29.7%	0.0%	12.9%	2.1%	1.5%	938	71.4K	-460	0.83	129.35	N/A	N/A	65	54	65	56
2015-07-23	$27.95	$29.00	12.0%	3.4%	23.2%	0.0%	13.5%	0.7%	1.6%	1.2K	69.0K	-500	0.83	131.29	N/A	N/A	65	54	65	56
2015-07-24	$27.68	$29.00	12.9%	3.7%	23.5%	0.0%	14.4%	-0.4%	-0.9%	592	74.0K	-485	0.83	122.83	N/A	N/A	65	54	65	56
2015-07-27	$27.28	$29.00	13.6%	3.9%	24.0%	0.0%	17.7%	0.5%	-1.2%	-1.1K	94.0K	-384	0.83	128.30	N/A	N/A	65	54	65	56
2015-07-28	$27.65	$29.00	13.4%	3.8%	20.0%	0.0%	15.9%	2.0%	2.8%	-808	96.9K	-330	0.83	128.17	N/A	N/A	65	54	65	56
2015-07-29	$27.86	$29.00	13.4%	3.8%	20.1%	0.0%	14.9%	1.2%	1.1%	-92	82.5K	-418	0.83	132.49	N/A	N/A	65	54	65	56
2015-07-30	$27.90	$29.00	13.7%	3.9%	19.7%	0.0%	15.0%	1.7%	1.1%	124	80.7K	-423	0.98	133.21	N/A	N/A	65	64	65	56
2015-07-31	$27.97	$29.00	12.9%	3.7%	19.7%	0.0%	14.9%	1.9%	2.0%	-732	97.9K	-503	0.98	133.66	N/A	N/A	65	64	65	66