DBEU Options History — January 2016 In January 2016, DBEU traded between $23.45 and $25.51. ATM implied volatility averaged 25.7%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.4% (HV 20d: 22.3%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.02.
Notable Days 2016-01-12 : Highest Volume — 232 contracts2016-01-07 : Largest IV spike — 32.1% change2016-01-20 : Highest IV Rank — 15.6%2016-01-20 : Largest Expected Move — 9.5%Monthly Statistics Metric Avg Min Max Open Close Price $24.37 $23.45 $25.51 $25.49 $24.52 Max Pain $24.74 $24.00 $26.00 $26.00 $24.00 ATM IV 25.7% 17.1% 33.0% 17.1% 22.7% Expected Move 6.7% 4.4% 9.5% 4.4% 6.5% HV 20d 22.3% 18.8% 26.1% 19.9% 26.1% HV 60d 19.3% 17.5% 20.9% 17.5% 20.9% IV Rank 11.9% 7.5% 15.6% 7.5% 10.4% IV Percentile 60.8% 37.5% 68.3% 37.5% 55.6% Term Structure 50.1% -6.8% 132.6% 89.8% -0.7% VWIV 20.0% 15.3% 23.8% 17.1% 21.8% Skew 25d 4.7% -1.0% 15.7% 1.3% 3.3% Skew 10d 4.2% -1.8% 14.8% 0.9% 5.2% Call IV 25d 20.6% 15.4% 28.8% 16.2% 22.6% Put IV 25d 25.3% 16.2% 36.6% 17.5% 25.8% Bid-Ask Spread % 111.28 97.50 124.65 122.13 119.19 Gamma HHI 0.77 0.63 0.97 0.96 0.66 Net GEX 19.2K 12.2K 28.4K 28.2K 22.9K Net DEX -64.6K -121.0K 25.8K -82.5K -113.5K Net VEX -511 -735 -363 -733 -409 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.02 0.00 0.04 0.03 0.00 Total Volume 219.842 203 232 203 225 Total OI 259.368 225 310 281 225
Daily Data (19 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 2016-01-04 $25.49 $26.00 17.1% 4.4% 19.9% 7.5% 17.1% 1.3% 89.8% 28.2K -82.5K -733 0.03 122.13 N/A N/A 198 5 238 43 2016-01-05 $25.51 $26.00 17.9% 4.5% 18.8% 8.0% 17.6% 0.1% 132.6% 28.4K -89.2K -735 0.03 116.22 N/A N/A 198 5 238 43 2016-01-06 $25.03 $26.00 19.1% 4.6% 19.7% 8.5% 15.3% 4.6% 90.4% 24.3K -22.1K -604 0.03 124.65 N/A N/A 198 5 238 43 2016-01-07 $24.44 $26.00 25.2% 5.4% 20.3% 11.7% 15.7% 2.9% 91.6% 18.7K -6.0K -549 0.04 113.81 N/A N/A 198 7 238 43 2016-01-08 $24.19 $26.00 25.9% 4.8% 20.0% 12.0% 16.8% 1.1% 100.0% 16.2K 609 -516 0.04 113.05 N/A N/A 198 7 238 45 2016-01-11 $24.37 $26.00 27.5% 4.4% 20.2% 12.8% 17.3% 1.5% 100.4% 14.5K 25.8K -428 0.04 108.17 N/A N/A 198 7 238 45 2016-01-12 $24.65 $26.00 28.9% 4.7% 19.2% 13.5% 16.2% 3.8% 92.6% 18.5K -8.6K -524 0.03 113.00 N/A N/A 225 7 238 45 2016-01-13 $24.19 $24.00 25.2% 7.2% 20.2% 11.7% 21.5% -1.0% 95.4% 17.0K -38.2K -599 0.03 107.49 N/A N/A 225 7 265 45 2016-01-14 $24.51 $24.00 23.6% 6.8% 20.0% 10.9% 18.9% 9.3% 91.7% 19.5K -42.9K -618 0.03 105.14 N/A N/A 225 7 265 45 2016-01-15 $23.71 $24.00 27.5% 7.9% 22.0% 12.8% 22.8% 2.6% 95.4% 14.0K 1.2K -499 0.03 97.50 N/A N/A 225 7 265 45 2016-01-19 $23.91 $24.00 26.8% 7.7% 22.4% 12.5% 23.0% 3.9% 0.5% 15.5K -104.0K -453 0.00 103.13 N/A N/A 225 0 225 0 2016-01-20 $23.45 $24.00 33.0% 9.5% 22.6% 15.6% 23.8% 10.2% -2.5% 12.2K -88.2K -416 0.00 106.68 N/A N/A 225 0 225 0 2016-01-21 $23.68 $24.00 30.4% 8.7% 23.1% 14.3% 22.7% 15.7% -6.8% 14.3K -100.9K -452 0.00 104.49 N/A N/A 225 0 225 0 2016-01-22 $24.41 $24.00 27.9% 8.0% 25.8% 13.0% 21.3% 9.6% -4.4% 20.4K -121.0K -495 0.00 107.88 N/A N/A 225 0 225 0 2016-01-25 $24.04 $24.00 29.0% 8.3% 25.0% 13.6% 22.4% 8.2% -5.7% 18.6K -113.6K -458 0.00 108.46 N/A N/A 225 0 225 0 2016-01-26 $24.45 $24.00 28.7% 8.2% 26.1% 13.4% 21.2% 10.0% -3.9% 21.6K -121.0K -453 0.00 111.91 N/A N/A 225 0 225 0 2016-01-27 $24.28 $24.00 25.8% 7.4% 26.1% 12.0% 21.5% 1.7% -3.6% 21.1K -109.5K -414 0.00 113.17 N/A N/A 225 0 225 0 2016-01-28 $24.22 $24.00 26.0% 7.5% 25.5% 12.1% 23.4% 0.7% -0.2% 18.5K -94.5K -363 0.00 118.28 N/A N/A 225 0 225 0 2016-01-29 $24.52 $24.00 22.7% 6.5% 26.1% 10.4% 21.8% 3.3% -0.7% 22.9K -113.5K -409 0.00 119.19 N/A N/A 225 0 225 0
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