DBEU Options History — August 2016 In August 2016, DBEU traded between $24.86 and $25.91. ATM implied volatility averaged 14.4%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 5.0% (HV 20d: 9.4%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.16.
Notable Days 2016-08-11 : Highest Volume — 17 contracts2016-08-25 : Largest IV spike — 47.5% change2016-08-25 : Highest IV Rank — 7.4%2016-08-02 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $25.51 $24.86 $25.91 $25.11 $25.63 Max Pain $25.00 $25.00 $25.00 $25.00 $25.00 ATM IV 14.4% 10.6% 19.1% 18.0% 14.7% Expected Move 4.1% 3.0% 5.5% 5.1% 4.2% HV 20d 9.4% 8.1% 12.2% 12.2% 8.3% HV 60d 21.6% 21.4% 21.8% 21.7% 21.4% IV Rank 4.8% 0.2% 7.4% 6.8% 2.9% IV Percentile 16.8% 0.4% 48.4% 40.9% 16.3% Term Structure 58.9% -2.3% 117.0% -0.6% 3.4% VWIV 15.7% 13.1% 20.8% 18.2% 15.0% Skew 25d 3.2% 0.3% 6.7% 5.1% 2.2% Skew 10d 4.1% 2.5% 8.2% 8.2% 3.9% Call IV 25d 14.0% 10.3% 17.3% 14.7% 16.1% Put IV 25d 17.2% 15.1% 21.3% 19.8% 18.3% Bid-Ask Spread % 131.77 126.70 135.73 131.02 132.14 Gamma HHI 0.92 0.54 1.00 1.00 1.00 Net GEX -755 -2.4K 708 -2.0K 705 Net DEX -4.4K -9.7K 7.4K 4.4K -9.7K Net VEX -42 -56 -32 -56 -32 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.16 0.00 2.00 2.00 0.00 Total Volume 10.739 0 17 15 6 Total OI 12.391 6 17 15 6
Daily Data (23 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 2016-08-01 $25.11 $25.00 18.0% 5.1% 12.2% 6.8% 18.2% 5.1% -0.6% -2.0K 4.4K -56 2.00 131.02 N/A N/A 5 10 5 10 2016-08-02 $24.86 $25.00 19.1% 5.5% 10.3% 7.4% 18.6% 3.1% -2.3% -2.0K 7.2K -55 2.00 126.70 N/A N/A 5 10 5 10 2016-08-03 $24.88 $25.00 18.3% 5.2% 10.1% 7.0% 20.8% 4.6% 1.9% -1.9K 7.4K -55 2.00 133.67 N/A N/A 5 10 5 10 2016-08-04 $25.11 $0.00 18.5% 5.2% 10.4% 7.1% 0.0% 1.9% 102.4% -2.3K 5.5K -54 2.00 127.27 N/A N/A 5 10 5 10 2016-08-05 $25.35 $0.00 17.4% 4.6% 9.3% 6.5% 0.0% 2.6% 104.4% -2.3K 1.9K -53 2.00 131.72 N/A N/A 5 10 5 10 2016-08-08 $25.38 $0.00 18.8% 4.7% 8.5% 7.2% 0.0% 3.0% 106.5% -2.4K 1.1K -49 2.00 128.03 N/A N/A 5 10 5 10 2016-08-09 $25.61 $0.00 11.3% 3.7% 8.5% 3.3% 0.0% 2.7% 110.5% -2.1K -2.6K -45 2.00 130.65 N/A N/A 5 10 5 10 2016-08-10 $25.60 $0.00 12.7% 3.7% 8.6% 4.1% 0.0% 1.3% 108.7% -2.1K -2.3K -45 2.00 134.69 N/A N/A 5 10 5 10 2016-08-11 $25.88 $0.00 13.8% 3.9% 9.2% 4.6% 13.7% 1.7% 108.1% -1.3K -4.7K -41 1.43 130.02 N/A N/A 7 10 5 10 2016-08-12 $25.86 $25.00 14.3% 4.1% 9.2% 4.9% 13.1% 1.6% 107.9% -737 -8.1K -43 1.43 132.02 N/A N/A 7 10 7 10 2016-08-15 $25.91 $25.00 13.9% 4.0% 9.2% 4.7% 14.6% 1.5% 111.0% -334 -9.4K -39 1.43 134.32 N/A N/A 7 10 7 10 2016-08-16 $25.70 $25.00 14.2% 4.1% 9.7% 4.8% 14.2% 0.3% 112.0% -1.1K -7.5K -40 1.43 133.54 N/A N/A 7 10 7 10 2016-08-17 $25.64 $25.00 13.8% 3.9% 9.5% 4.6% 0.0% 2.6% 109.3% -1.4K -5.6K -41 0.00 134.15 N/A N/A 0 0 7 10 2016-08-18 $25.61 $25.00 14.0% 4.0% 9.4% 4.7% 0.0% 2.4% 110.0% -1.5K -6.0K -39 0.00 134.45 N/A N/A 0 0 7 10 2016-08-19 $25.52 $25.00 13.2% 3.8% 9.4% 4.3% 13.6% 2.4% 117.0% 668 -8.7K -35 1.43 131.04 N/A N/A 7 10 7 10 2016-08-22 $25.51 $25.00 11.5% 3.3% 9.3% 3.4% 13.6% 6.7% 7.5% 678 -8.7K -35 0.00 131.32 N/A N/A 6 0 6 0 2016-08-23 $25.64 $25.00 11.0% 3.1% 9.4% 3.2% 16.3% 4.8% 9.9% 665 -9.6K -34 0.00 135.07 N/A N/A 6 0 6 0 2016-08-24 $25.60 $25.00 10.6% 3.0% 9.4% 3.0% 0.0% 5.8% 6.0% 696 -9.3K -34 0.00 133.09 N/A N/A 0 0 6 0 2016-08-25 $25.48 $25.00 15.7% 4.5% 9.6% 7.4% 15.8% 1.6% -2.2% 675 -9.0K -34 0.00 134.47 N/A N/A 6 0 6 0 2016-08-26 $25.53 $25.00 11.0% 3.1% 9.6% 4.2% 15.6% 6.7% 8.4% 708 -9.2K -34 0.00 128.72 N/A N/A 6 0 6 0 2016-08-29 $25.64 $25.00 10.9% 3.1% 9.1% 0.2% 16.4% 6.7% 11.4% 686 -9.2K -33 0.00 126.80 N/A N/A 6 0 6 0 2016-08-30 $25.73 $25.00 14.9% 4.3% 8.1% 3.1% 16.6% 2.4% 3.4% 669 -9.6K -33 0.00 135.73 N/A N/A 6 0 6 0 2016-08-31 $25.63 $25.00 14.7% 4.2% 8.3% 2.9% 15.0% 2.2% 3.4% 705 -9.7K -32 0.00 132.14 N/A N/A 6 0 6 0
« Jul 2016 | All History | Sep 2016 » Home DBEU History August 2016