DBEU Options History — February 2016

In February 2016, DBEU traded between $22.26 and $24.65. ATM implied volatility averaged 26.5%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 0.1% (HV 20d: 26.6%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.00.

Notable Days

2016-02-01: Highest Volume — 225 contracts
2016-02-08: Largest IV spike — 34.2% change
2016-02-09: Highest IV Rank — 18.5%
2016-02-11: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.58	$22.26	$24.65	$24.65	$24.09
Max Pain	$24.50	$24.00	$25.00	$24.00	$25.00
ATM IV	26.5%	21.0%	38.6%	21.6%	25.7%
Expected Move	7.4%	6.0%	9.2%	6.2%	7.4%
HV 20d	26.6%	25.1%	28.5%	26.2%	25.2%
HV 60d	22.8%	20.9%	24.1%	20.9%	24.1%
IV Rank	12.3%	9.5%	18.5%	9.8%	11.9%
IV Percentile	61.0%	49.4%	70.1%	53.2%	61.1%
Term Structure	67.1%	-2.8%	138.4%	-0.4%	-1.8%
VWIV	20.4%	11.7%	25.2%	21.5%	21.1%
Skew 25d	7.2%	1.9%	15.0%	4.6%	2.7%
Skew 10d	8.6%	4.4%	16.0%	6.8%	9.5%
Call IV 25d	22.1%	12.7%	29.9%	22.1%	21.5%
Put IV 25d	29.3%	22.5%	35.1%	26.7%	24.2%
Bid-Ask Spread %	106.92	86.30	120.20	120.20	107.47
Gamma HHI	0.51	0.21	0.97	0.65	0.97
Net GEX	6.5K	291	24.5K	24.5K	22.8K
Net DEX	-46.3K	-112.9K	-17.6K	-112.9K	-109.1K
Net VEX	-177	-380	-112	-380	-357
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	178.3	20	225	225	98
Total OI	177.9	20	225	225	168

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	Spread %	Call Wall	Put Wall	Call Vol	Call OI
2016-02-01	$24.65	$24.00	21.6%	6.2%	26.2%	9.8%	21.5%	4.6%	-0.4%	24.5K	-112.9K	-380	120.20	N/A	N/A	225	225
2016-02-02	$23.98	$24.00	26.5%	7.6%	27.4%	12.3%	24.7%	1.9%	-2.1%	14.7K	-72.1K	-275	114.92	N/A	N/A	225	225
2016-02-03	$23.93	$24.00	22.7%	6.5%	27.3%	10.4%	25.2%	9.0%	2.1%	8.4K	-47.4K	-197	117.36	N/A	N/A	225	225
2016-02-04	$23.78	$0.00	25.0%	6.9%	26.7%	11.6%	0.0%	7.5%	108.5%	9.4K	-51.3K	-208	99.69	N/A	N/A	225	225
2016-02-05	$23.53	$0.00	24.3%	7.2%	25.7%	11.2%	0.0%	3.9%	112.3%	7.8K	-47.4K	-193	105.00	N/A	N/A	225	225
2016-02-08	$22.93	$0.00	32.6%	8.3%	26.9%	15.4%	0.0%	6.1%	109.7%	2.7K	-32.6K	-137	99.47	N/A	N/A	225	225
2016-02-09	$22.52	$0.00	38.6%	8.6%	27.2%	18.5%	0.0%	4.2%	116.6%	2.5K	-30.2K	-138	95.58	N/A	N/A	225	225
2016-02-10	$22.59	$0.00	27.9%	8.0%	26.7%	13.0%	0.0%	4.0%	124.1%	1.8K	-30.1K	-126	102.16	N/A	N/A	225	225
2016-02-11	$22.26	$0.00	32.2%	9.2%	26.5%	15.3%	0.0%	8.4%	122.2%	538	-25.9K	-115	103.97	N/A	N/A	225	225
2016-02-12	$22.74	$0.00	28.7%	8.2%	27.3%	13.4%	0.0%	5.5%	125.0%	611	-27.5K	-116	105.67	N/A	N/A	225	225
2016-02-16	$23.41	$0.00	29.1%	8.3%	27.4%	13.6%	0.0%	14.1%	137.8%	4.4K	-36.2K	-134	103.28	N/A	N/A	225	225
2016-02-17	$23.96	$0.00	25.9%	7.4%	28.5%	12.0%	0.0%	15.0%	138.4%	4.4K	-36.1K	-127	116.84	N/A	N/A	225	225
2016-02-18	$23.82	$0.00	23.8%	6.8%	27.7%	11.0%	0.0%	7.0%	125.1%	2.8K	-33.2K	-121	114.17	N/A	N/A	225	225
2016-02-19	$23.72	$0.00	25.1%	7.2%	27.5%	11.6%	0.0%	9.2%	125.2%	294	-28.5K	-116	118.79	N/A	N/A	225	225
2016-02-22	$24.13	$0.00	25.8%	7.4%	25.9%	12.0%	0.0%	4.6%	1.3%	1.2K	-17.6K	-112	86.30	N/A	N/A	20	20
2016-02-23	$23.78	$0.00	23.2%	6.6%	25.9%	10.6%	0.0%	10.4%	1.1%	291	-28.8K	-115	89.10	N/A	N/A	20	20
2016-02-24	$23.67	$0.00	21.0%	6.0%	25.1%	9.5%	20.9%	6.7%	-0.4%	295	-28.2K	-115	116.09	N/A	N/A	90	20
2016-02-25	$23.98	$25.00	25.3%	7.3%	25.5%	11.7%	11.7%	14.1%	-2.8%	8.8K	-61.6K	-228	108.36	N/A	N/A	90	90
2016-02-26	$24.13	$25.00	24.3%	7.0%	25.6%	11.2%	18.0%	4.2%	-0.4%	11.0K	-68.7K	-238	114.03	N/A	N/A	98	90
2016-02-29	$24.09	$25.00	25.7%	7.4%	25.2%	11.9%	21.1%	2.7%	-1.8%	22.8K	-109.1K	-357	107.47	N/A	N/A	98	168