DBEU Options History — October 2015

In October 2015, DBEU traded between $24.80 and $26.98. ATM implied volatility averaged 19.3%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 1.2% (HV 20d: 20.5%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.82.

Notable Days

2015-10-06: Highest Volume — 133 contracts
2015-10-22: Largest IV spike — 571.6% change
2015-10-22: Highest IV Rank — 44.0%
2015-10-22: Largest Expected Move — 25.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.16	$24.80	$26.98	$24.80	$26.70
Max Pain	$25.95	$25.00	$35.00	$35.00	$25.00
ATM IV	19.3%	11.4%	88.6%	17.6%	11.4%
Expected Move	5.1%	3.3%	25.4%	5.0%	3.3%
HV 20d	20.5%	17.2%	22.9%	21.0%	17.2%
HV 60d	22.4%	22.0%	23.0%	22.5%	23.0%
IV Rank	8.6%	4.6%	44.0%	7.8%	4.6%
IV Percentile	26.1%	5.2%	67.1%	32.9%	5.2%
Term Structure	6.2%	-5.0%	117.9%	-0.5%	7.3%
VWIV	15.1%	8.9%	29.5%	16.7%	11.6%
Skew 25d	2.9%	-12.3%	7.1%	-0.1%	2.0%
Skew 10d	1.1%	-38.2%	6.6%	2.2%	2.0%
Call IV 25d	15.9%	10.8%	71.9%	20.1%	13.7%
Put IV 25d	18.9%	14.2%	59.6%	20.1%	15.7%
Bid-Ask Spread %	125.50	111.10	166.48	113.81	129.87
Gamma HHI	0.45	0.28	0.71	0.71	0.60
Net GEX	4.0K	-3.4K	13.6K	-3.1K	13.6K
Net DEX	52.5K	-118.0K	172.6K	172.6K	-102.9K
Net VEX	-216	-500	-62	-70	-485
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.00	1.80	1.80	0.29
Total Volume	117.136	10	133	112	133
Total OI	121.545	90	137	116	133

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
2015-10-01	$24.80	$35.00	17.6%	5.0%	21.0%	7.8%	16.7%	-0.1%	-0.5%	-3.1K	172.6K	-70	1.80	113.81	N/A	N/A	40	72	40	76
2015-10-02	$25.36	$35.00	22.8%	6.5%	22.4%	10.4%	23.6%	5.1%	-5.0%	-3.4K	169.9K	-70	1.76	112.42	N/A	N/A	41	72	40	76
2015-10-05	$25.90	$0.00	17.3%	4.8%	22.9%	7.6%	15.2%	3.6%	-1.7%	-2.5K	159.2K	-104	0.00	111.10	N/A	N/A	10	0	41	76
2015-10-06	$25.88	$25.00	16.0%	4.8%	21.7%	7.0%	15.7%	6.1%	-2.8%	-1.0K	147.4K	-62	1.18	117.94	N/A	N/A	61	72	51	76
2015-10-07	$26.05	$25.00	19.2%	4.4%	21.6%	8.6%	15.4%	7.1%	-1.2%	1.3K	123.5K	-152	1.18	117.75	N/A	N/A	61	72	61	76
2015-10-08	$26.25	$25.00	20.6%	4.0%	21.7%	9.3%	13.7%	6.0%	1.7%	668	121.2K	-169	1.18	123.43	N/A	N/A	61	72	61	76
2015-10-09	$26.12	$25.00	19.0%	4.2%	21.7%	8.5%	15.0%	4.4%	-1.5%	1.6K	127.1K	-114	1.18	128.16	N/A	N/A	61	72	61	76
2015-10-12	$26.09	$25.00	22.9%	4.4%	21.4%	10.5%	15.1%	2.8%	-1.2%	2.3K	124.2K	-136	1.18	123.51	N/A	N/A	61	72	61	76
2015-10-13	$25.77	$25.00	23.5%	4.1%	21.4%	10.8%	14.8%	5.8%	-2.0%	1.9K	130.4K	-114	1.18	122.49	N/A	N/A	61	72	61	76
2015-10-14	$25.65	$25.00	14.8%	4.2%	21.2%	6.3%	15.5%	5.3%	-0.7%	659	132.7K	-125	1.18	121.11	N/A	N/A	61	72	61	76
2015-10-15	$26.16	$25.00	13.4%	3.8%	22.1%	5.6%	13.0%	3.3%	2.1%	3.2K	123.1K	-110	1.18	128.33	N/A	N/A	61	72	61	76
2015-10-16	$26.17	$25.00	13.8%	4.0%	21.5%	5.9%	13.8%	3.6%	1.3%	4.0K	122.9K	-110	1.18	128.39	N/A	N/A	61	72	61	76
2015-10-19	$26.12	$25.00	13.9%	4.0%	21.5%	5.9%	14.4%	3.9%	0.5%	4.2K	37.4K	-93	0.50	130.39	N/A	N/A	60	30	60	30
2015-10-20	$26.01	$25.00	14.4%	4.1%	18.6%	6.1%	14.9%	3.0%	-0.2%	4.1K	41.0K	-78	0.50	132.13	N/A	N/A	60	30	60	30
2015-10-21	$25.94	$25.00	13.2%	3.8%	18.7%	5.5%	15.0%	1.7%	-0.6%	4.1K	41.6K	-75	0.50	131.69	N/A	N/A	60	30	60	30
2015-10-22	$26.57	$25.00	88.6%	25.4%	19.9%	44.0%	29.5%	-12.3%	117.9%	4.1K	-30.7K	-361	0.50	166.48	N/A	N/A	60	30	60	30
2015-10-23	$26.96	$25.00	12.9%	3.7%	20.1%	5.4%	13.2%	3.6%	0.4%	2.3K	-62.4K	-378	0.33	116.16	N/A	N/A	90	30	60	30
2015-10-26	$26.81	$25.00	13.8%	4.0%	18.7%	5.9%	13.7%	1.4%	2.5%	11.2K	-101.5K	-451	0.29	117.85	N/A	N/A	103	30	90	30
2015-10-27	$26.58	$25.00	11.9%	3.4%	19.2%	4.9%	12.2%	2.4%	4.6%	12.9K	-98.0K	-500	0.29	129.24	N/A	N/A	103	30	103	30
2015-10-28	$26.98	$25.00	11.5%	3.3%	18.3%	4.7%	8.9%	3.7%	7.7%	13.2K	-118.0K	-500	0.29	128.02	N/A	N/A	103	30	103	30
2015-10-29	$26.76	$25.00	11.7%	3.4%	18.4%	4.8%	11.5%	2.3%	6.8%	13.4K	-106.7K	-492	0.29	130.75	N/A	N/A	103	30	103	30
2015-10-30	$26.70	$25.00	11.4%	3.3%	17.2%	4.6%	11.6%	2.0%	7.3%	13.6K	-102.9K	-485	0.29	129.87	N/A	N/A	103	30	103	30