DBEU Options History — September 2015

In September 2015, DBEU traded between $24.40 and $25.95. ATM implied volatility averaged 18.7%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 8.2% (HV 20d: 26.9%). Max pain ranged from $28.00 to $35.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.48.

Notable Days

2015-09-10: Highest Volume — 127 contracts
2015-09-30: Largest IV drop — 29.6% change
2015-09-29: Highest IV Rank — 11.7%
2015-09-29: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.26	$24.40	$25.95	$25.08	$24.98
Max Pain	$34.33	$28.00	$35.00	$28.00	$35.00
ATM IV	18.7%	14.5%	25.3%	22.2%	17.8%
Expected Move	5.4%	4.2%	7.3%	6.4%	5.1%
HV 20d	26.9%	21.8%	30.2%	26.7%	21.8%
HV 60d	24.2%	22.1%	25.6%	25.2%	22.7%
IV Rank	8.3%	6.2%	11.7%	10.1%	7.9%
IV Percentile	34.8%	22.1%	52.0%	39.7%	34.4%
Term Structure	-2.9%	-10.1%	0.9%	-10.1%	0.2%
VWIV	22.0%	16.8%	48.3%	48.3%	17.4%
Skew 25d	2.5%	-5.5%	6.7%	-2.5%	1.1%
Skew 10d	1.5%	-5.0%	8.2%	-0.2%	1.4%
Call IV 25d	19.0%	15.8%	26.2%	26.2%	19.5%
Put IV 25d	21.5%	17.0%	25.6%	23.8%	20.6%
Bid-Ask Spread %	114.41	106.97	137.25	137.25	115.58
Gamma HHI	0.43	0.32	0.70	0.45	0.70
Net GEX	-2.7K	-3.8K	-1.4K	-2.0K	-3.3K
Net DEX	160.3K	140.3K	172.9K	140.3K	171.6K
Net VEX	-137	-199	-59	-189	-75
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.48	1.16	1.80	1.16	1.80
Total Volume	107.286	0	127	119	112
Total OI	122.429	116	131	121	116

Daily Data (21 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
2015-09-01	$25.08	$28.00	22.2%	6.4%	26.7%	10.1%	48.3%	-2.5%	-10.1%	-2.0K	140.3K	-189	1.16	137.25	N/A	N/A	55	64	55	66
2015-09-02	$25.51	$28.00	20.4%	5.9%	27.6%	9.2%	28.4%	1.8%	-5.2%	-1.4K	148.7K	-168	1.16	116.23	N/A	N/A	55	64	55	66
2015-09-03	$25.70	$35.00	19.9%	5.1%	27.9%	8.9%	17.9%	6.7%	-4.0%	-1.6K	146.3K	-199	1.16	113.73	N/A	N/A	55	64	55	66
2015-09-04	$25.28	$35.00	20.6%	6.0%	28.2%	9.3%	18.8%	5.3%	-2.9%	-1.5K	150.5K	-142	1.16	106.97	N/A	N/A	55	64	55	66
2015-09-08	$25.81	$35.00	16.6%	5.4%	29.5%	7.3%	0.0%	1.6%	-2.7%	-2.0K	148.1K	-181	0.00	114.88	N/A	N/A	0	0	55	66
2015-09-09	$25.61	$35.00	15.5%	4.4%	29.3%	6.7%	22.5%	-2.7%	-1.9%	-2.3K	148.7K	-169	1.16	109.41	N/A	N/A	55	64	55	66
2015-09-10	$25.71	$35.00	16.2%	4.6%	29.2%	7.1%	20.3%	5.4%	-2.7%	-3.5K	158.5K	-177	1.31	112.30	N/A	N/A	55	72	55	76
2015-09-11	$25.58	$35.00	18.0%	5.2%	29.2%	8.0%	19.6%	3.3%	-5.1%	-3.4K	159.6K	-183	1.31	113.88	N/A	N/A	55	72	55	76
2015-09-14	$25.35	$35.00	19.6%	5.6%	29.1%	8.8%	21.4%	0.9%	-1.6%	-3.1K	162.1K	-161	1.31	111.00	N/A	N/A	55	72	55	76
2015-09-15	$25.69	$35.00	14.5%	4.2%	29.8%	6.2%	0.0%	2.5%	-0.4%	-3.6K	160.7K	-163	0.00	113.60	N/A	N/A	0	0	55	76
2015-09-16	$25.95	$35.00	16.2%	4.6%	30.2%	7.0%	19.6%	5.3%	-2.6%	-3.8K	159.5K	-157	1.31	114.94	N/A	N/A	55	72	55	76
2015-09-17	$25.74	$35.00	15.2%	4.4%	29.8%	6.6%	26.9%	5.5%	-4.9%	-3.7K	157.9K	-154	1.31	122.93	N/A	N/A	55	72	55	76
2015-09-18	$25.39	$35.00	18.0%	5.1%	28.8%	8.0%	21.4%	1.9%	0.9%	-3.2K	163.7K	-143	1.31	114.82	N/A	N/A	55	72	55	76
2015-09-21	$25.40	$35.00	18.9%	5.4%	26.5%	8.5%	20.4%	2.3%	-1.4%	-3.2K	164.5K	-140	1.80	115.55	N/A	N/A	40	72	40	76
2015-09-22	$24.69	$35.00	16.8%	4.8%	25.2%	7.4%	16.8%	1.6%	0.8%	-2.7K	169.6K	-88	1.80	109.62	N/A	N/A	40	72	40	76
2015-09-23	$24.77	$35.00	19.0%	5.4%	25.0%	8.5%	20.0%	1.4%	-1.6%	-2.7K	169.6K	-97	1.80	112.82	N/A	N/A	40	72	40	76
2015-09-24	$24.61	$35.00	19.3%	5.5%	23.0%	8.6%	19.5%	5.3%	-3.7%	-2.4K	170.5K	-88	1.80	111.21	N/A	N/A	40	72	40	76
2015-09-25	$24.85	$35.00	19.6%	5.6%	22.2%	8.8%	19.9%	6.1%	-3.0%	-2.7K	170.0K	-93	1.80	111.82	N/A	N/A	40	72	40	76
2015-09-28	$24.40	$35.00	22.4%	6.4%	22.9%	10.3%	19.9%	-5.5%	-5.0%	-2.2K	172.3K	-59	1.80	111.00	N/A	N/A	40	72	40	76
2015-09-29	$24.40	$35.00	25.3%	7.3%	22.9%	11.7%	19.5%	4.6%	-3.5%	-2.2K	172.9K	-60	1.80	113.07	N/A	N/A	40	72	40	76
2015-09-30	$24.98	$35.00	17.8%	5.1%	21.8%	7.9%	17.4%	1.1%	0.2%	-3.3K	171.6K	-75	1.80	115.58	N/A	N/A	40	72	40	76