DBEU Options History — July 2016 In July 2016, DBEU traded between $23.98 and $25.33. ATM implied volatility averaged 20.1%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 8.9% (HV 20d: 29.0%). Max pain ranged from $24.86 to $25.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.13.
Notable Days 2016-07-12 : Highest Volume — 26 contracts2016-07-13 : Largest IV drop — 44.2% change2016-07-12 : Highest IV Rank — 13.5%2016-07-06 : Largest Expected Move — 6.9%Monthly Statistics Metric Avg Min Max Open Close Price $24.88 $23.98 $25.33 $24.56 $25.33 Max Pain $24.99 $24.86 $25.00 $24.86 $25.00 ATM IV 20.1% 16.4% 31.0% 19.8% 17.0% Expected Move 5.3% 4.7% 6.9% 5.7% 4.9% HV 20d 29.0% 11.6% 35.3% 34.3% 11.6% HV 60d 22.2% 21.6% 22.5% 22.3% 21.6% IV Rank 7.9% 6.0% 13.5% 7.8% 6.3% IV Percentile 49.6% 27.8% 93.3% 55.6% 31.7% Term Structure 40.4% -2.6% 92.6% -1.0% -2.6% VWIV 17.6% 16.4% 20.6% 20.6% 17.3% Skew 25d 5.6% 0.8% 9.3% 2.5% 5.0% Skew 10d 7.2% 3.7% 10.1% 8.2% 6.0% Call IV 25d 14.6% 11.3% 21.7% 21.7% 13.1% Put IV 25d 20.2% 16.7% 26.0% 24.2% 18.1% Bid-Ask Spread % 124.27 104.98 132.23 122.03 130.66 Gamma HHI 0.79 0.40 1.00 0.56 1.00 Net GEX 525 -2.3K 5.2K 3.3K -2.3K Net DEX -4.0K -21.1K 6.7K -12.3K 3.4K Net VEX -56 -77 -14 -28 -57 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.13 0.00 2.00 0.00 2.00 Total Volume 17.25 11 26 11 15 Total OI 21 15 35 20 15
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 P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2016-07-01 $24.56 $24.86 19.8% 5.7% 34.3% 7.8% 20.6% 2.5% -1.0% 3.3K -12.3K -28 0.00 122.03 N/A N/A 11 0 20 0 2016-07-05 $24.08 $0.00 25.2% 6.5% 34.8% 10.5% 0.0% 4.8% 88.8% 2.1K -5.4K -14 0.00 104.98 N/A N/A 16 0 20 0 2016-07-06 $23.99 $0.00 26.3% 6.9% 34.7% 11.1% 0.0% 6.8% 86.9% 2.2K -9.5K -46 0.00 114.81 N/A N/A 16 0 25 0 2016-07-07 $23.98 $0.00 27.9% 6.8% 34.7% 11.9% 0.0% 2.2% 88.8% 2.2K -9.3K -45 0.00 113.47 N/A N/A 16 0 25 0 2016-07-08 $24.39 $0.00 23.3% 6.5% 35.3% 9.6% 0.0% 6.2% 88.2% 3.0K -11.3K -47 0.00 112.64 N/A N/A 16 0 25 0 2016-07-11 $24.69 $0.00 27.6% 5.3% 34.5% 11.8% 0.0% 3.2% 89.6% 4.5K -17.4K -49 0.00 122.95 N/A N/A 16 0 25 0 2016-07-12 $24.90 $0.00 31.0% 5.2% 33.8% 13.5% 17.6% 9.3% 89.4% 5.2K -21.1K -49 0.63 122.75 N/A N/A 16 10 25 0 2016-07-13 $24.93 $25.00 17.3% 5.0% 33.6% 6.4% 16.4% 8.8% 90.7% 3.8K -8.1K -77 0.63 123.30 N/A N/A 16 10 25 10 2016-07-14 $25.04 $25.00 17.1% 4.9% 33.6% 6.3% 17.1% 6.0% 92.1% 4.1K -11.7K -74 0.63 130.26 N/A N/A 16 10 25 10 2016-07-15 $25.03 $25.00 16.5% 4.7% 33.5% 6.1% 16.5% 5.1% 92.6% -1.5K -18.9K -67 0.63 130.30 N/A N/A 16 10 25 10 2016-07-18 $25.05 $25.00 16.8% 4.8% 33.4% 6.2% 16.9% 6.3% 1.4% -1.7K 5.8K -65 2.00 127.97 N/A N/A 5 10 5 10 2016-07-19 $24.98 $25.00 17.0% 4.9% 32.8% 6.3% 17.1% 5.1% 0.6% -1.7K 6.7K -64 2.00 132.23 N/A N/A 5 10 5 10 2016-07-20 $25.17 $25.00 16.4% 4.7% 32.1% 6.0% 17.2% 7.0% 1.7% -1.7K 4.9K -64 2.00 131.17 N/A N/A 5 10 5 10 2016-07-21 $25.10 $25.00 17.1% 4.9% 32.1% 6.3% 17.0% 6.7% -0.9% -1.7K 4.9K -64 2.00 127.19 N/A N/A 5 10 5 10 2016-07-22 $25.24 $25.00 16.6% 4.8% 31.2% 6.1% 17.2% 5.9% 1.0% -1.8K 4.6K -63 2.00 127.51 N/A N/A 5 10 5 10 2016-07-25 $25.18 $25.00 17.3% 4.9% 18.1% 6.4% 17.9% 6.5% -0.4% -1.8K 4.5K -61 2.00 128.26 N/A N/A 5 10 5 10 2016-07-26 $25.29 $25.00 17.8% 5.1% 16.7% 6.7% 19.8% 8.3% 1.2% -1.6K 3.8K -60 2.00 125.46 N/A N/A 5 10 5 10 2016-07-27 $25.32 $25.00 17.5% 5.0% 15.0% 6.6% 18.5% 0.8% -0.3% -1.9K 3.4K -59 2.00 128.77 N/A N/A 5 10 5 10 2016-07-28 $25.29 $25.00 16.6% 4.8% 14.3% 6.1% 17.6% 5.7% 0.7% -2.2K 3.9K -59 2.00 128.67 N/A N/A 5 10 5 10 2016-07-29 $25.33 $25.00 17.0% 4.9% 11.6% 6.3% 17.3% 5.0% -2.6% -2.3K 3.4K -57 2.00 130.66 N/A N/A 5 10 5 10
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