DBEU Options History — September 2016 In September 2016, DBEU traded between $25.22 and $26.06. ATM implied volatility averaged 17.1%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 5.3% (HV 20d: 11.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.57.
Notable Days 2016-09-27 : Highest Volume — 20 contracts2016-09-06 : Largest IV spike — 429.4% change2016-09-13 : Highest IV Rank — 18.6%2016-09-29 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $25.67 $25.22 $26.06 $25.64 $25.81 Max Pain $25.00 $25.00 $25.00 $25.00 $25.00 ATM IV 17.1% 3.2% 30.8% 15.8% 17.0% Expected Move 4.4% 0.9% 6.4% 4.5% 4.9% HV 20d 11.8% 7.8% 15.4% 7.8% 15.4% HV 60d 17.0% 11.1% 21.6% 21.4% 11.5% IV Rank 9.2% 0.0% 18.6% 3.6% 9.3% IV Percentile 35.2% 0.0% 93.3% 22.2% 34.1% Term Structure 0.6% -3.2% 4.2% 1.1% 2.0% VWIV 16.7% 16.7% 16.7% 16.7% 16.7% Skew 25d 2.6% -0.7% 9.1% 0.3% 1.1% Skew 10d 4.3% 1.6% 11.3% 2.5% 5.4% Call IV 25d 15.9% 13.0% 25.7% 17.4% 16.3% Put IV 25d 18.5% 14.5% 25.0% 17.7% 17.4% Bid-Ask Spread % 128.41 114.29 180.23 135.04 126.40 Gamma HHI 0.87 0.55 1.00 1.00 0.58 Net GEX 472 -665 1.1K 703 -665 Net DEX -7.0K -10.8K 4.9K -9.2K 4.0K Net VEX -40 -103 -28 -33 -102 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.57 0.00 3.00 0.00 3.00 Total Volume 8.667 5 20 6 20 Total OI 7.905 5 20 6 20
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 2016-09-01 $25.64 $25.00 15.8% 4.5% 7.8% 3.6% 16.7% 0.3% 1.1% 703 -9.2K -33 0.00 135.04 N/A N/A 6 0 6 0 2016-09-02 $26.06 $25.00 3.2% 0.9% 9.0% 0.0% 0.0% 9.1% -2.2% 496 -8.7K -32 0.00 180.23 N/A N/A 6 0 6 0 2016-09-06 $25.95 $0.00 16.7% 4.1% 9.3% 9.1% 0.0% 1.6% -0.0% 631 -10.5K -31 0.00 129.30 N/A N/A 6 0 6 0 2016-09-07 $26.02 $0.00 16.9% 3.9% 8.8% 9.2% 0.0% 1.4% 0.4% 624 -10.8K -30 0.00 128.28 N/A N/A 6 0 6 0 2016-09-08 $26.02 $0.00 17.1% 4.0% 8.8% 9.3% 0.0% 1.9% 0.1% 598 -10.4K -31 0.00 128.88 N/A N/A 6 0 6 0 2016-09-09 $25.56 $0.00 21.0% 4.1% 10.2% 12.0% 0.0% 0.9% -1.9% 753 -9.7K -31 0.00 116.68 N/A N/A 7 0 6 0 2016-09-12 $25.69 $0.00 24.8% 4.5% 10.4% 14.5% 0.0% 6.2% -2.8% 1.0K -10.2K -32 0.00 115.78 N/A N/A 7 0 7 0 2016-09-13 $25.31 $0.00 30.8% 5.2% 11.6% 18.6% 0.0% 0.8% 1.6% 1.0K -8.9K -31 0.00 114.29 N/A N/A 7 0 7 0 2016-09-14 $25.22 $0.00 18.9% 5.4% 11.3% 10.6% 0.0% 7.3% -3.2% 1.0K -8.9K -30 0.00 120.54 N/A N/A 7 0 7 0 2016-09-15 $25.44 $0.00 16.5% 4.7% 11.8% 9.0% 0.0% 2.5% 3.3% 1.1K -9.2K -30 0.00 121.68 N/A N/A 7 0 7 0 2016-09-16 $25.28 $0.00 18.8% 5.4% 12.0% 10.5% 0.0% 2.5% -1.4% 491 -9.3K -30 0.00 125.92 N/A N/A 7 0 7 0 2016-09-19 $25.42 $0.00 17.3% 5.0% 12.2% 9.5% 0.0% 2.5% 2.4% 485 -7.1K -29 0.00 122.52 N/A N/A 5 0 5 0 2016-09-20 $25.53 $0.00 16.3% 4.7% 12.3% 8.8% 0.0% 3.3% -0.9% 496 -7.3K -29 0.00 123.10 N/A N/A 5 0 5 0 2016-09-21 $25.77 $0.00 14.7% 4.2% 12.6% 7.7% 0.0% 4.7% -1.1% 425 -7.4K -29 0.00 120.70 N/A N/A 5 0 5 0 2016-09-22 $26.03 $0.00 14.5% 4.2% 13.0% 7.6% 0.0% 1.1% 1.2% 479 -8.2K -28 0.00 130.20 N/A N/A 5 0 5 0 2016-09-23 $25.85 $0.00 14.3% 4.1% 13.2% 7.5% 0.0% 1.0% 1.6% 490 -8.1K -28 0.00 129.18 N/A N/A 5 0 5 0 2016-09-26 $25.52 $0.00 14.4% 4.1% 14.0% 7.6% 0.0% 1.4% 4.2% 497 -7.4K -28 0.00 127.80 N/A N/A 5 0 5 0 2016-09-27 $25.56 $0.00 13.8% 4.0% 13.9% 7.2% 0.0% 3.0% 1.7% 511 -7.2K -28 3.00 127.33 N/A N/A 5 15 5 0 2016-09-28 $25.84 $0.00 14.4% 4.1% 14.4% 7.6% 0.0% 2.9% 4.1% -655 3.6K -102 3.00 127.56 N/A N/A 5 15 5 15 2016-09-29 $25.54 $0.00 22.4% 6.4% 15.0% 13.0% 0.0% -0.7% 3.1% -664 4.9K -103 3.00 145.17 N/A N/A 5 15 5 15 2016-09-30 $25.81 $0.00 17.0% 4.9% 15.4% 9.3% 0.0% 1.1% 2.0% -665 4.0K -102 3.00 126.40 N/A N/A 5 15 5 15
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