DBEU Options History — May 2016 In May 2016, DBEU traded between $24.57 and $25.77. ATM implied volatility averaged 19.7%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 6.4% (HV 20d: 13.4%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2016-05-23 : Highest Volume — 99 contracts2016-05-06 : Largest IV spike — 27.5% change2016-05-04 : Highest IV Rank — 9.8%2016-05-04 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $25.02 $24.57 $25.77 $25.26 $25.62 Max Pain $25.00 $25.00 $25.00 $25.00 $25.00 ATM IV 19.7% 16.0% 22.3% 19.7% 17.7% Expected Move 5.8% 4.6% 6.4% 5.6% 5.1% HV 20d 13.4% 11.5% 16.1% 16.1% 13.1% HV 60d 15.6% 13.9% 18.5% 18.3% 14.0% IV Rank 8.5% 6.5% 9.8% 8.4% 7.4% IV Percentile 52.9% 27.4% 65.5% 53.6% 40.5% Term Structure 2.5% -3.7% 4.6% 3.8% 3.8% VWIV 19.5% 16.6% 24.1% 18.1% 18.3% Skew 25d 1.1% -45.9% 10.2% 3.2% 0.5% Skew 10d 2.9% 0.8% 11.1% 1.9% 2.1% Call IV 25d 24.7% 12.5% 157.7% 18.7% 18.9% Put IV 25d 25.7% 18.1% 111.7% 21.9% 19.4% Bid-Ask Spread % 123.34 113.32 133.25 127.50 131.62 Gamma HHI 0.46 0.34 0.72 0.34 0.68 Net GEX 7.4K 2.2K 19.4K 3.5K 19.4K Net DEX -58.0K -183.6K -18.6K -30.6K -172.5K Net VEX -117 -261 -67 -96 -212 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 46.857 26 99 26 99 Total OI 43.095 20 99 26 99
Daily Data (21 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 2016-05-02 $25.26 $25.00 19.7% 5.6% 16.1% 8.4% 18.1% 3.2% 3.8% 3.5K -30.6K -96 0.00 127.50 N/A N/A 26 0 26 0 2016-05-03 $24.86 $25.00 22.1% 6.3% 15.9% 9.6% 22.1% -45.9% 0.4% 3.0K -26.6K -95 0.00 130.30 N/A N/A 26 0 26 0 2016-05-04 $24.57 $25.00 22.3% 6.4% 15.8% 9.8% 24.1% 0.4% -1.3% 2.9K -22.6K -89 0.00 124.64 N/A N/A 26 0 26 0 2016-05-05 $24.60 $0.00 16.3% 6.3% 14.9% 6.7% 0.0% 10.2% 1.5% 3.1K -22.3K -88 0.00 113.32 N/A N/A 26 0 26 0 2016-05-06 $24.73 $0.00 20.8% 6.0% 14.4% 9.0% 0.0% 3.5% 3.6% 3.2K -22.9K -85 0.00 114.51 N/A N/A 26 0 26 0 2016-05-09 $24.75 $0.00 20.1% 6.2% 14.4% 8.6% 0.0% 4.7% 3.2% 3.4K -23.7K -85 0.00 115.95 N/A N/A 26 0 26 0 2016-05-10 $25.01 $0.00 22.0% 6.3% 14.5% 9.6% 0.0% 6.3% 1.6% 3.6K -26.9K -85 0.00 118.64 N/A N/A 26 0 26 0 2016-05-11 $24.81 $0.00 20.9% 6.0% 12.5% 9.0% 0.0% 4.3% 2.7% 3.6K -24.4K -84 0.00 119.58 N/A N/A 26 0 26 0 2016-05-12 $24.77 $0.00 20.3% 5.8% 12.4% 8.7% 0.0% 3.2% 3.5% 3.7K -23.5K -81 0.00 120.98 N/A N/A 26 0 26 0 2016-05-13 $24.67 $0.00 21.8% 6.3% 12.4% 9.5% 0.0% 3.2% 3.5% 3.6K -22.6K -81 0.00 116.67 N/A N/A 26 0 26 0 2016-05-16 $24.92 $0.00 20.3% 5.8% 12.9% 8.7% 0.0% 5.2% 2.5% 4.0K -25.5K -78 0.00 120.11 N/A N/A 26 0 26 0 2016-05-17 $24.80 $0.00 21.0% 6.0% 11.7% 9.1% 0.0% 1.6% 3.2% 4.0K -23.5K -75 0.00 123.33 N/A N/A 26 0 26 0 2016-05-18 $24.88 $0.00 19.1% 5.5% 11.6% 8.1% 0.0% 4.1% 4.6% 4.7K -24.3K -73 0.00 120.84 N/A N/A 26 0 26 0 2016-05-19 $24.79 $0.00 21.2% 6.1% 11.5% 9.2% 0.0% 3.4% 1.9% 4.4K -22.4K -70 0.00 121.66 N/A N/A 26 0 26 0 2016-05-20 $24.97 $0.00 20.8% 6.0% 11.9% 9.0% 0.0% 2.9% 3.1% 10.1K -19.2K -70 0.00 125.43 N/A N/A 26 0 26 0 2016-05-23 $24.92 $0.00 20.1% 5.8% 11.7% 8.6% 21.2% 2.5% 3.3% 2.2K -18.6K -67 0.00 127.79 N/A N/A 99 0 20 0 2016-05-24 $25.40 $25.00 19.8% 5.7% 13.7% 8.5% 19.4% 3.7% -3.7% 19.0K -145.4K -261 0.00 124.83 N/A N/A 99 0 99 0 2016-05-25 $25.62 $25.00 16.4% 4.7% 13.9% 6.7% 18.3% 2.6% 4.0% 18.3K -161.1K -249 0.00 127.53 N/A N/A 99 0 99 0 2016-05-26 $25.68 $25.00 16.1% 4.6% 13.2% 6.6% 17.4% 1.6% 3.8% 18.3K -174.9K -227 0.00 131.70 N/A N/A 99 0 99 0 2016-05-27 $25.77 $25.00 16.0% 4.6% 12.9% 6.5% 16.6% 1.4% 2.8% 18.3K -183.6K -210 0.00 133.25 N/A N/A 99 0 99 0 2016-05-31 $25.62 $25.00 17.7% 5.1% 13.1% 7.4% 18.3% 0.5% 3.8% 19.4K -172.5K -212 0.00 131.62 N/A N/A 99 0 99 0
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