DBEU Options History — December 2015

In December 2015, DBEU traded between $25.14 and $27.26. ATM implied volatility averaged 18.9%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.6% (HV 20d: 19.5%). Max pain ranged from $26.00 to $30.86. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.92.

Notable Days

2015-12-29: Highest Volume — 203 contracts
2015-12-23: Largest IV spike — 99.0% change
2015-12-08: Highest IV Rank — 15.1%
2015-12-24: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.95	$25.14	$27.26	$27.26	$25.88
Max Pain	$30.03	$26.00	$30.86	$26.00	$30.86
ATM IV	18.9%	13.0%	32.0%	17.2%	15.4%
Expected Move	4.8%	3.6%	8.1%	4.9%	4.4%
HV 20d	19.5%	13.0%	22.0%	13.0%	21.9%
HV 60d	18.4%	17.1%	19.3%	17.5%	17.3%
IV Rank	8.4%	5.4%	15.1%	7.6%	6.7%
IV Percentile	39.6%	11.3%	64.9%	37.1%	31.2%
Term Structure	41.6%	-5.4%	81.1%	-5.4%	-3.3%
VWIV	31.4%	14.8%	60.9%	18.8%	20.1%
Skew 25d	2.8%	-1.3%	6.3%	6.3%	0.8%
Skew 10d	1.2%	-2.8%	8.7%	8.7%	1.5%
Call IV 25d	16.3%	11.3%	21.8%	17.6%	18.0%
Put IV 25d	19.1%	14.9%	24.0%	24.0%	18.8%
Bid-Ask Spread %	119.36	113.15	126.49	126.49	123.09
Gamma HHI	0.37	0.11	0.95	0.38	0.95
Net GEX	3.5K	-1.5K	38.6K	3.9K	38.4K
Net DEX	99.5K	-150.7K	234.0K	51.8K	-131.3K
Net VEX	-148	-838	-7	-211	-822
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.03	1.29	1.10	0.03
Total Volume	92.727	0	203	0	203
Total OI	136.455	93	281	99	281

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
2015-12-01	$27.26	$26.00	17.2%	4.9%	13.0%	7.6%	0.0%	6.3%	-5.4%	3.9K	51.8K	-211	0.00	126.49	N/A	N/A	0	0	54	45
2015-12-02	$27.02	$26.00	19.6%	5.6%	13.4%	8.8%	18.8%	-1.3%	-5.3%	726	88.1K	-77	1.10	116.72	N/A	N/A	41	45	54	45
2015-12-03	$26.22	$30.00	23.4%	4.3%	17.1%	10.7%	21.7%	1.6%	74.6%	308	101.6K	-47	1.10	115.06	N/A	N/A	41	45	54	45
2015-12-04	$26.65	$30.00	19.7%	3.6%	18.3%	8.9%	14.8%	2.1%	73.8%	748	99.0K	-45	1.10	115.43	N/A	N/A	41	45	54	45
2015-12-07	$26.58	$30.00	27.8%	4.1%	18.1%	13.0%	0.0%	1.9%	70.4%	441	97.7K	-52	0.00	117.85	N/A	N/A	0	0	54	45
2015-12-08	$26.07	$30.00	32.0%	5.1%	18.8%	15.1%	24.6%	3.4%	72.0%	210	102.1K	-41	1.10	113.15	N/A	N/A	41	45	54	45
2015-12-09	$25.68	$30.00	14.9%	4.3%	19.4%	6.4%	25.7%	4.0%	78.0%	451	99.9K	-34	1.10	117.91	N/A	N/A	41	45	54	45
2015-12-10	$25.74	$30.00	14.8%	4.2%	19.4%	6.3%	25.3%	3.7%	79.0%	389	99.8K	-34	1.10	118.88	N/A	N/A	41	45	54	45
2015-12-11	$25.14	$30.00	18.4%	5.3%	19.8%	8.2%	29.6%	6.0%	81.1%	-343	109.8K	-11	1.10	116.63	N/A	N/A	41	45	54	45
2015-12-14	$25.16	$30.00	19.3%	5.5%	19.7%	8.7%	31.1%	3.7%	78.3%	-410	110.6K	-7	1.10	114.37	N/A	N/A	41	45	54	45
2015-12-15	$25.54	$30.00	14.8%	4.2%	19.5%	6.3%	23.9%	3.4%	79.6%	435	105.5K	-13	1.10	117.82	N/A	N/A	41	45	54	45
2015-12-16	$25.89	$30.00	14.5%	4.2%	20.1%	6.2%	50.2%	2.5%	78.8%	363	88.3K	-78	1.29	120.32	N/A	N/A	41	53	54	45
2015-12-17	$25.80	$30.86	14.4%	4.1%	19.6%	6.1%	51.2%	3.2%	79.6%	-272	172.3K	-177	1.29	120.88	N/A	N/A	41	53	107	95
2015-12-18	$25.35	$30.86	18.6%	5.3%	20.3%	8.3%	34.9%	2.5%	79.5%	-1.3K	234.0K	-40	1.29	119.38	N/A	N/A	41	53	107	95
2015-12-21	$25.37	$30.86	19.3%	5.5%	20.4%	8.7%	28.5%	2.6%	-3.3%	-963	207.5K	-19	1.13	119.74	N/A	N/A	40	45	80	83
2015-12-22	$25.53	$30.86	13.6%	3.9%	20.6%	5.7%	52.6%	3.9%	2.7%	-1.3K	182.8K	-132	1.13	119.77	N/A	N/A	40	45	80	83
2015-12-23	$26.00	$30.86	27.0%	7.7%	21.9%	12.6%	57.6%	1.5%	5.0%	-1.5K	181.4K	-147	1.13	120.13	N/A	N/A	40	45	80	83
2015-12-24	$25.98	$30.86	28.4%	8.1%	21.7%	13.3%	60.9%	2.1%	4.0%	-1.2K	163.3K	-202	0.90	119.62	N/A	N/A	50	45	80	83
2015-12-28	$25.88	$30.86	13.0%	3.7%	21.3%	5.4%	20.3%	0.0%	-2.5%	-361	97.2K	-77	0.25	122.45	N/A	N/A	20	5	50	43
2015-12-29	$26.20	$30.86	14.2%	4.1%	21.9%	6.0%	17.7%	5.6%	1.8%	-636	78.9K	-153	0.03	124.74	N/A	N/A	198	5	60	43
2015-12-30	$25.99	$30.86	14.9%	4.3%	22.0%	6.4%	18.8%	1.3%	-2.9%	38.6K	-150.7K	-838	0.03	125.55	N/A	N/A	198	5	238	43
2015-12-31	$25.88	$30.86	15.4%	4.4%	21.9%	6.7%	20.1%	0.8%	-3.3%	38.4K	-131.3K	-822	0.03	123.09	N/A	N/A	198	5	238	43