DBEU Options History — June 2016

In June 2016, DBEU traded between $23.00 and $25.60. ATM implied volatility averaged 26.0%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 7.6% (HV 20d: 18.4%). Max pain ranged from $24.86 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2016-06-01: Highest Volume — 99 contracts
2016-06-10: Largest IV spike — 50.3% change
2016-06-14: Highest IV Rank — 15.3%
2016-06-14: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.61	$23.00	$25.60	$25.51	$24.57
Max Pain	$24.87	$24.86	$25.00	$25.00	$24.86
ATM IV	26.0%	16.9%	34.5%	18.0%	19.4%
Expected Move	7.5%	5.1%	9.9%	5.2%	5.6%
HV 20d	18.4%	10.7%	34.3%	11.7%	34.3%
HV 60d	16.1%	12.8%	22.4%	14.0%	22.4%
IV Rank	11.2%	6.7%	15.3%	7.6%	7.5%
IV Percentile	76.5%	34.9%	97.6%	44.0%	51.6%
Term Structure	38.1%	-5.9%	77.4%	2.5%	0.4%
VWIV	24.4%	15.4%	38.8%	19.4%	20.2%
Skew 25d	7.5%	-10.2%	15.5%	2.1%	7.5%
Skew 10d	7.9%	3.4%	18.4%	3.8%	10.7%
Call IV 25d	23.3%	16.8%	38.3%	18.9%	21.8%
Put IV 25d	30.8%	21.0%	42.5%	21.0%	29.3%
Bid-Ask Spread %	109.97	98.87	129.73	129.73	120.43
Gamma HHI	0.65	0.50	0.81	0.70	0.54
Net GEX	11.6K	1.1K	24.5K	20.2K	3.0K
Net DEX	-71.0K	-176.9K	-5.4K	-162.8K	-12.5K
Net VEX	-94	-213	-19	-213	-29
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	63	11	99	99	11
Total OI	66.682	20	99	99	20

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
2016-06-01	$25.51	$25.00	18.0%	5.2%	11.7%	7.6%	19.4%	2.1%	2.5%	20.2K	-162.8K	-213	129.73	N/A	N/A	99	99
2016-06-02	$25.60	$24.86	16.9%	5.6%	10.7%	7.0%	18.6%	5.6%	69.6%	21.3K	-173.6K	-190	110.10	N/A	N/A	99	99
2016-06-03	$25.41	$24.86	18.6%	6.0%	11.2%	7.9%	15.4%	9.0%	77.4%	21.4K	-157.1K	-204	112.71	N/A	N/A	99	99
2016-06-06	$25.49	$24.86	20.7%	5.5%	11.2%	8.9%	17.2%	7.8%	76.1%	21.9K	-164.9K	-178	112.99	N/A	N/A	99	99
2016-06-07	$25.60	$24.86	19.2%	6.3%	11.2%	8.2%	19.5%	6.7%	69.4%	21.4K	-176.9K	-166	109.62	N/A	N/A	99	99
2016-06-08	$25.60	$24.86	19.9%	5.7%	10.7%	8.5%	19.7%	5.5%	69.4%	21.5K	-176.4K	-157	113.29	N/A	N/A	99	99
2016-06-09	$25.38	$24.86	17.8%	5.1%	10.8%	6.7%	17.9%	7.1%	76.5%	24.5K	-157.3K	-162	112.30	N/A	N/A	99	99
2016-06-10	$24.72	$24.86	26.8%	7.7%	14.5%	11.4%	22.5%	10.1%	72.1%	23.3K	-111.1K	-157	106.50	N/A	N/A	99	99
2016-06-13	$24.25	$24.86	33.3%	9.6%	16.0%	14.7%	26.2%	9.3%	68.4%	17.0K	-48.2K	-96	102.24	N/A	N/A	99	99
2016-06-14	$24.03	$24.86	34.5%	9.9%	15.7%	15.3%	27.3%	11.7%	70.7%	12.5K	-33.5K	-77	102.51	N/A	N/A	99	99
2016-06-15	$24.04	$24.86	33.7%	9.7%	15.7%	14.9%	27.6%	8.5%	71.2%	12.1K	-28.8K	-63	106.14	N/A	N/A	99	99
2016-06-16	$24.23	$24.86	34.4%	9.8%	16.0%	15.3%	27.5%	15.5%	73.9%	16.4K	-48.8K	-69	98.87	N/A	N/A	99	99
2016-06-17	$24.44	$24.86	27.0%	7.7%	16.3%	11.4%	28.4%	10.6%	72.5%	1.9K	-13.2K	-41	105.18	N/A	N/A	99	99
2016-06-20	$24.91	$24.86	31.1%	8.9%	17.6%	13.6%	29.0%	13.1%	-4.0%	2.5K	-17.6K	-45	102.80	N/A	N/A	11	20
2016-06-21	$24.45	$24.86	31.3%	9.0%	18.8%	13.7%	30.6%	11.2%	-2.7%	2.1K	-17.2K	-46	105.94	N/A	N/A	11	20
2016-06-22	$24.43	$24.86	34.4%	9.9%	17.2%	15.3%	30.9%	3.9%	-5.9%	2.1K	-16.5K	-44	106.40	N/A	N/A	11	20
2016-06-23	$24.98	$24.86	24.7%	7.1%	18.9%	10.3%	24.7%	9.3%	-5.2%	3.1K	-19.3K	-44	114.84	N/A	N/A	11	20
2016-06-24	$23.34	$24.86	31.3%	9.0%	30.2%	13.7%	38.8%	-10.2%	-1.9%	1.5K	-7.6K	-27	103.33	N/A	N/A	11	20
2016-06-27	$23.00	$24.86	29.2%	8.4%	30.2%	12.6%	27.5%	6.6%	-5.2%	1.1K	-5.4K	-20	111.31	N/A	N/A	11	20
2016-06-28	$23.57	$24.86	23.9%	6.9%	32.1%	9.9%	26.0%	9.3%	-3.1%	1.4K	-5.6K	-19	113.33	N/A	N/A	11	20
2016-06-29	$23.97	$24.86	25.9%	7.4%	32.9%	10.9%	22.5%	5.8%	-4.0%	2.2K	-8.3K	-25	118.75	N/A	N/A	11	20
2016-06-30	$24.57	$24.86	19.4%	5.6%	34.3%	7.5%	20.2%	7.5%	0.4%	3.0K	-12.5K	-29	120.43	N/A	N/A	11	20