DBEU Options History — November 2015

In November 2015, DBEU traded between $26.10 and $27.19. ATM implied volatility averaged 27.0%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 11.5% (HV 20d: 15.4%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.52.

Notable Days

2015-11-04: Highest Volume — 143 contracts
2015-11-11: Largest IV spike — 818.0% change
2015-11-11: Highest IV Rank — 76.3%
2015-11-11: Largest Expected Move — 43.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.82	$26.10	$27.19	$26.90	$27.19
Max Pain	$26.20	$25.00	$27.00	$25.00	$26.00
ATM IV	27.0%	12.0%	151.9%	12.0%	21.0%
Expected Move	7.8%	3.4%	43.6%	3.4%	6.0%
HV 20d	15.4%	13.2%	17.5%	15.8%	13.2%
HV 60d	21.1%	17.8%	23.1%	23.1%	17.8%
IV Rank	12.6%	4.9%	76.3%	4.9%	9.5%
IV Percentile	34.1%	8.6%	94.5%	8.6%	53.4%
Term Structure	66.4%	-33.3%	136.3%	6.0%	-2.5%
VWIV	23.7%	1.7%	157.0%	11.2%	1.7%
Skew 25d	5.2%	-0.2%	22.9%	3.3%	4.3%
Skew 10d	7.7%	-1.2%	22.9%	4.3%	10.2%
Call IV 25d	28.2%	7.7%	159.3%	13.6%	17.2%
Put IV 25d	33.3%	14.6%	182.2%	16.9%	21.5%
Bid-Ask Spread %	126.44	111.76	176.71	133.64	129.25
Gamma HHI	0.54	0.24	0.87	0.66	0.27
Net GEX	10.5K	-178	18.7K	14.2K	-178
Net DEX	-52.5K	-119.5K	88.5K	-115.7K	83.4K
Net VEX	-373	-491	-97	-469	-99
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.29	1.10	0.29	1.10
Total Volume	89.85	0	143	133	0
Total OI	132.15	99	149	133	99

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
2015-11-02	$26.90	$25.00	12.0%	3.4%	15.8%	4.9%	11.2%	3.3%	6.0%	14.2K	-115.7K	-469	0.29	133.64	N/A	N/A	103	30	103	30
2015-11-03	$27.00	$25.00	12.4%	3.5%	15.8%	5.1%	9.6%	4.2%	6.2%	14.2K	-119.5K	-465	0.29	131.86	N/A	N/A	103	30	103	30
2015-11-04	$26.95	$25.00	13.8%	3.9%	15.8%	5.8%	13.8%	-0.2%	2.4%	17.1K	-116.8K	-449	0.39	123.75	N/A	N/A	103	40	103	30
2015-11-05	$26.94	$27.00	12.9%	4.4%	15.6%	5.4%	16.2%	1.3%	100.7%	17.8K	-106.8K	-491	0.39	115.55	N/A	N/A	103	40	103	40
2015-11-06	$27.10	$27.00	12.4%	4.0%	15.5%	5.1%	0.0%	3.1%	100.8%	14.9K	-99.8K	-487	0.00	113.21	N/A	N/A	0	0	103	40
2015-11-09	$26.75	$27.00	15.9%	4.3%	16.4%	6.9%	0.0%	0.8%	104.0%	14.8K	-79.5K	-468	0.00	112.17	N/A	N/A	0	0	103	40
2015-11-10	$26.69	$27.00	16.6%	4.7%	15.7%	7.3%	18.8%	-0.1%	104.6%	14.5K	-89.3K	-462	0.44	113.50	N/A	N/A	91	40	103	40
2015-11-11	$26.80	$27.00	151.9%	43.6%	15.5%	76.3%	157.0%	22.9%	-33.3%	11.2K	-100.9K	-473	0.44	175.88	N/A	N/A	91	40	104	40
2015-11-12	$26.25	$27.00	13.4%	3.9%	16.1%	5.7%	13.1%	1.8%	114.7%	13.8K	-65.0K	-434	0.44	122.88	N/A	N/A	91	40	104	40
2015-11-13	$26.10	$27.00	15.0%	4.3%	16.2%	6.5%	14.0%	0.9%	113.2%	12.4K	-56.5K	-414	0.49	119.49	N/A	N/A	91	45	104	40
2015-11-16	$26.55	$26.00	13.6%	3.9%	17.3%	5.7%	0.0%	1.5%	114.8%	13.2K	-65.5K	-425	0.00	114.34	N/A	N/A	0	0	104	45
2015-11-17	$26.69	$26.00	12.7%	3.6%	17.3%	5.3%	14.5%	1.6%	118.4%	16.4K	-86.7K	-425	0.49	121.38	N/A	N/A	91	45	104	45
2015-11-18	$26.97	$26.00	13.5%	3.9%	17.5%	5.7%	14.2%	5.3%	118.2%	15.9K	-105.1K	-417	0.49	120.22	N/A	N/A	91	45	104	45
2015-11-19	$26.93	$26.00	18.9%	5.4%	15.4%	8.5%	14.9%	0.6%	111.4%	18.7K	-100.4K	-406	0.49	121.96	N/A	N/A	91	45	104	45
2015-11-20	$26.92	$26.00	18.1%	5.2%	14.5%	8.1%	14.6%	7.4%	113.0%	1.7K	-66.7K	-384	0.49	111.76	N/A	N/A	91	45	104	45
2015-11-23	$26.79	$26.00	20.6%	5.9%	14.5%	9.3%	0.0%	3.3%	-1.9%	39	82.8K	-135	0.00	124.97	N/A	N/A	0	0	54	45
2015-11-24	$26.74	$26.00	21.6%	6.2%	14.2%	9.8%	0.0%	14.0%	-0.5%	-31	88.5K	-99	0.00	119.09	N/A	N/A	0	0	54	45
2015-11-25	$26.92	$26.00	20.9%	6.0%	13.3%	9.5%	18.6%	4.7%	0.8%	-149	87.4K	-97	1.10	127.19	N/A	N/A	41	45	54	45
2015-11-27	$27.15	$26.00	102.5%	29.4%	13.3%	51.1%	1.7%	22.1%	136.3%	226	-18.0K	-360	1.10	176.71	N/A	N/A	41	45	54	45
2015-11-30	$27.19	$26.00	21.0%	6.0%	13.2%	9.5%	0.0%	4.3%	-2.5%	-178	83.4K	-99	0.00	129.25	N/A	N/A	0	0	54	45