DBEU Options History — August 2015

In August 2015, DBEU traded between $24.57 and $28.36. ATM implied volatility averaged 24.4%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 7.5% (HV 20d: 16.9%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2015-08-12: Highest Volume — 139 contracts
  • 2015-08-25: Largest IV spike — 1668.8% change
  • 2015-08-25: Highest IV Rank — 100.0%
  • 2015-08-25: Largest Expected Move — 56.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.98$24.57$28.36$28.08$25.92
Max Pain$28.38$28.00$29.00$29.00$28.00
ATM IV24.4%4.8%198.5%13.6%19.3%
Expected Move6.9%1.4%56.9%3.9%5.5%
HV 20d16.9%11.6%24.9%17.6%24.8%
HV 60d22.0%20.8%24.5%21.6%24.4%
IV Rank25.9%1.3%100.0%100.0%8.7%
IV Percentile42.7%1.6%100.0%100.0%35.4%
Term Structure10.4%-56.6%137.5%-0.2%-1.1%
VWIV18.1%11.2%33.9%15.4%23.8%
Skew 25d0.2%-20.7%8.5%1.7%6.2%
Skew 10d-1.3%-20.7%5.5%1.8%5.5%
Call IV 25d37.7%11.3%173.4%14.9%20.0%
Put IV 25d38.0%13.0%157.2%16.6%26.1%
Bid-Ask Spread %130.18103.02169.84135.78120.18
Gamma HHI0.410.300.510.390.42
Net GEX-656-2.5K90113-1.9K
Net DEX95.2K27.6K147.6K84.5K147.6K
Net VEX-439-594-186-548-186
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.851.160.981.16
Total Volume111.04801390119
Total OI131.476121141131121

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$28.08$29.0013.6%3.9%17.6%0.0%0.0%1.7%-0.2%1384.5K-5480.00135.78N/AN/A006566
2015-08-04$28.13$29.0013.9%4.0%17.6%0.0%15.4%1.6%0.3%-19786.9K-5370.98132.82N/AN/A65646566
2015-08-05$28.30$29.0014.6%4.2%16.6%0.0%14.5%2.3%-1.9%82981.4K-5230.98133.10N/AN/A65646566
2015-08-06$28.30$29.0014.0%3.5%15.7%0.0%12.1%1.1%1.7%90181.8K-5100.98130.34N/AN/A65646566
2015-08-07$28.19$29.0014.1%3.7%11.8%0.0%11.2%1.6%1.3%30986.7K-5110.98132.00N/AN/A65646566
2015-08-10$28.36$29.0015.6%3.3%11.6%0.0%11.3%1.8%1.5%87969.4K-5750.98117.84N/AN/A65646566
2015-08-11$28.00$29.0016.2%3.9%12.5%0.0%0.0%0.8%0.2%-64393.5K-5030.00134.04N/AN/A006566
2015-08-12$27.57$29.0020.6%5.9%13.6%0.0%20.4%2.2%-7.9%-2.5K119.9K-3700.85103.02N/AN/A75646566
2015-08-13$27.50$28.0016.0%4.6%12.5%0.0%16.1%2.0%2.6%-809109.9K-3930.85123.24N/AN/A75647566
2015-08-14$27.57$28.0013.0%3.7%12.6%0.0%14.1%2.9%1.2%-556100.5K-4750.85128.48N/AN/A75647566
2015-08-17$27.56$28.0013.7%3.9%12.4%0.0%14.7%2.6%1.9%-975112.4K-3740.85126.27N/AN/A75647566
2015-08-18$27.43$28.0016.2%4.6%12.2%0.0%14.9%2.3%0.8%-1.4K111.8K-3720.85129.28N/AN/A75647566
2015-08-19$27.00$28.0017.4%5.0%13.1%0.0%0.0%2.7%-1.1%-1.9K117.4K-3930.00125.06N/AN/A007566
2015-08-20$26.30$28.0017.5%5.0%15.7%0.0%17.5%2.2%2.8%-1.9K136.7K-2520.85116.57N/AN/A75647566
2015-08-21$25.47$28.0020.4%5.9%18.7%0.0%21.4%1.5%-2.5%-1.5K138.8K-2470.85109.00N/AN/A75647566
2015-08-24$24.57$28.0011.2%3.2%21.6%0.0%0.0%-20.7%137.1%-22227.6K-5601.16167.75N/AN/A55645566
2015-08-25$24.83$28.00198.5%56.9%21.2%100.0%25.2%-13.8%-56.6%37037.3K-5771.16162.55N/AN/A55645566
2015-08-26$25.50$28.0022.8%6.5%23.7%10.4%33.9%8.5%1.5%-1.3K71.3K-5081.16118.99N/AN/A55645566
2015-08-27$25.96$28.004.8%1.4%24.9%1.3%0.0%-11.6%137.5%61738.7K-5941.16169.84N/AN/A55645566
2015-08-28$26.01$28.0019.8%5.7%24.9%8.9%22.8%7.2%-1.2%-1.9K145.6K-2091.16117.55N/AN/A55645566
2015-08-31$25.92$28.0019.3%5.5%24.8%8.7%23.8%6.2%-1.1%-1.9K147.6K-1861.16120.18N/AN/A55645566