DBEU Options History — March 2016

In March 2016, DBEU traded between $24.38 and $25.10. ATM implied volatility averaged 18.4%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 0.6% (HV 20d: 19.0%). Max pain ranged from $25.00 to $25.86. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2016-03-01: Highest Volume — 98 contracts
2016-03-16: Largest IV drop — 25.6% change
2016-03-10: Highest IV Rank — 9.8%
2016-03-10: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.79	$24.38	$25.10	$24.70	$24.71
Max Pain	$25.72	$25.00	$25.86	$25.00	$25.86
ATM IV	18.4%	14.0%	21.6%	14.0%	18.2%
Expected Move	5.3%	4.0%	6.2%	4.0%	5.2%
HV 20d	19.0%	12.4%	26.7%	26.7%	12.9%
HV 60d	23.1%	22.4%	24.7%	24.7%	22.4%
IV Rank	8.2%	6.0%	9.8%	6.0%	8.1%
IV Percentile	39.6%	19.0%	52.0%	19.0%	40.9%
Term Structure	38.4%	-3.2%	90.6%	8.3%	-1.2%
VWIV	17.7%	9.1%	30.8%	12.3%	15.6%
Skew 25d	3.6%	-2.7%	10.8%	9.9%	3.9%
Skew 10d	3.5%	-1.2%	13.6%	3.5%	4.9%
Call IV 25d	17.0%	13.1%	22.0%	16.4%	16.5%
Put IV 25d	20.5%	17.6%	26.3%	26.3%	20.4%
Bid-Ask Spread %	118.77	107.82	124.75	120.86	124.62
Gamma HHI	0.89	0.69	1.00	0.98	0.73
Net GEX	26.8K	4.9K	67.7K	30.3K	7.2K
Net DEX	-129.3K	-231.8K	-43.4K	-157.8K	-49.5K
Net VEX	-258	-414	-155	-402	-168
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	56.545	30	98	98	36
Total OI	132	50	198	168	66

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	Spread %	Call Wall	Put Wall	Call Vol	Call OI
2016-03-01	$24.70	$25.00	14.0%	4.0%	26.7%	6.0%	12.3%	9.9%	8.3%	30.3K	-157.8K	-402	120.86	N/A	N/A	98	168
2016-03-02	$24.71	$25.00	16.9%	4.8%	24.7%	7.4%	9.1%	10.8%	11.1%	27.9K	-184.1K	-414	123.61	N/A	N/A	98	168
2016-03-03	$24.76	$0.00	18.5%	5.7%	24.6%	8.2%	0.0%	5.1%	76.9%	35.8K	-181.6K	-405	115.56	N/A	N/A	98	168
2016-03-04	$24.82	$0.00	17.6%	5.4%	24.4%	7.8%	0.0%	7.9%	80.5%	37.0K	-188.1K	-401	115.48	N/A	N/A	98	168
2016-03-07	$24.80	$0.00	21.3%	5.2%	24.0%	9.7%	0.0%	4.8%	4.3%	34.1K	-181.1K	-364	108.60	N/A	N/A	98	168
2016-03-08	$24.58	$0.00	20.7%	6.0%	22.0%	9.4%	0.0%	5.1%	79.2%	36.1K	-147.6K	-334	114.38	N/A	N/A	98	168
2016-03-09	$24.65	$0.00	20.2%	5.8%	20.5%	9.1%	0.0%	4.6%	82.5%	31.6K	-212.6K	-338	115.17	N/A	N/A	30	168
2016-03-10	$24.38	$0.00	21.6%	6.2%	21.2%	9.8%	0.0%	0.9%	78.3%	33.4K	-113.3K	-274	111.26	N/A	N/A	30	168
2016-03-11	$25.01	$0.00	19.1%	5.5%	21.4%	8.5%	0.0%	9.8%	79.0%	45.1K	-219.5K	-317	114.93	N/A	N/A	30	168
2016-03-14	$25.10	$0.00	18.6%	5.3%	20.6%	8.3%	0.0%	2.8%	10.0%	46.0K	-231.8K	-155	117.91	N/A	N/A	30	168
2016-03-15	$24.90	$0.00	20.6%	5.9%	19.0%	9.3%	0.0%	1.9%	80.1%	49.8K	-196.6K	-243	119.37	N/A	N/A	30	168
2016-03-16	$24.92	$0.00	15.3%	4.4%	17.4%	6.6%	30.8%	-2.7%	90.6%	60.0K	-195.8K	-218	107.82	N/A	N/A	60	168
2016-03-17	$24.86	$25.86	17.5%	5.0%	17.3%	7.8%	17.2%	0.8%	82.9%	67.7K	-191.3K	-245	120.67	N/A	N/A	60	198
2016-03-18	$24.93	$25.86	18.6%	5.3%	17.1%	8.3%	16.1%	2.8%	82.4%	4.9K	-47.4K	-172	123.13	N/A	N/A	60	198
2016-03-21	$24.93	$25.86	16.4%	4.7%	16.2%	7.2%	16.5%	1.7%	-3.2%	4.9K	-43.4K	-159	124.68	N/A	N/A	54	50
2016-03-22	$24.90	$25.86	17.2%	4.9%	15.1%	7.6%	17.2%	0.4%	1.1%	5.6K	-49.2K	-180	121.78	N/A	N/A	56	56
2016-03-23	$24.82	$25.86	17.0%	4.9%	15.0%	7.5%	17.3%	0.9%	0.8%	5.6K	-49.8K	-178	122.44	N/A	N/A	36	56
2016-03-24	$24.60	$25.86	19.0%	5.5%	15.0%	8.5%	18.1%	1.9%	-1.3%	6.0K	-49.3K	-184	120.99	N/A	N/A	36	66
2016-03-28	$24.62	$25.86	20.2%	5.8%	14.8%	9.1%	21.1%	0.2%	0.6%	6.1K	-51.3K	-178	123.91	N/A	N/A	36	66
2016-03-29	$24.72	$25.86	17.7%	5.1%	14.8%	7.8%	19.6%	3.3%	1.7%	6.6K	-50.1K	-176	124.75	N/A	N/A	36	66
2016-03-30	$24.96	$25.86	18.9%	5.4%	12.4%	8.4%	19.1%	1.3%	0.0%	7.5K	-53.9K	-179	121.03	N/A	N/A	36	66
2016-03-31	$24.71	$25.86	18.2%	5.2%	12.9%	8.1%	15.6%	3.9%	-1.2%	7.2K	-49.5K	-168	124.62	N/A	N/A	36	66