DBEU Options History — October 2016

Name: DBEU Options Analytics - October 2016
Creator: Options Analysis Suite

In October 2016, DBEU traded between $25.71 and $26.16. ATM implied volatility averaged 17.0%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 5.2% (HV 20d: 11.8%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.71.

Notable Days

2016-10-06: Highest Volume — 21 contracts
2016-10-06: Largest IV spike — 28.9% change
2016-10-28: Highest IV Rank — 11.6%
2016-10-28: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.97	$25.71	$26.16	$25.82	$25.83
ATM IV	17.0%	12.8%	20.4%	15.7%	19.8%
Expected Move	4.8%	3.7%	5.9%	4.5%	5.7%
HV 20d	11.8%	8.5%	14.4%	14.3%	8.5%
HV 60d	11.0%	10.8%	11.3%	11.1%	10.8%
IV Rank	9.3%	6.5%	11.6%	8.4%	11.2%
IV Percentile	36.2%	6.3%	64.3%	23.8%	59.9%
Term Structure	-0.4%	-4.0%	5.3%	0.8%	-0.0%
Skew 25d	3.8%	1.0%	12.0%	1.9%	3.7%
Skew 10d	5.7%	3.5%	16.5%	4.1%	6.5%
Call IV 25d	16.2%	13.9%	20.1%	17.5%	20.0%
Put IV 25d	20.0%	16.0%	27.6%	19.4%	23.7%
Bid-Ask Spread %	129.68	121.86	140.83	129.84	140.83
Gamma HHI	0.50	0.39	0.59	0.58	0.59
Net GEX	-495	-751	-135	-679	-717
Net DEX	685	-2.8K	3.0K	2.4K	2.0K
Net VEX	-88	-99	-77	-96	-81
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.71	2.50	3.00	3.00	3.00
Total Volume	20.571	20	21	20	20
Total OI	20.524	20	21	20	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
2016-10-03	$25.82	$0.00	15.7%	4.5%	14.3%	8.4%	0.0%	1.9%	0.8%	-679	2.4K	-96	3.00	129.84	N/A	N/A	5	15	5	15
2016-10-04	$25.98	$0.00	13.8%	4.0%	14.4%	7.1%	0.0%	5.1%	5.0%	-634	3.0K	-97	3.00	128.23	N/A	N/A	5	15	5	15
2016-10-05	$26.04	$0.00	12.8%	3.7%	14.4%	6.5%	0.0%	12.0%	5.3%	-690	1.0K	-93	3.00	123.76	N/A	N/A	5	15	5	15
2016-10-06	$26.03	$0.00	16.5%	4.6%	14.4%	9.0%	0.0%	6.1%	-0.9%	-628	2.5K	-95	2.50	124.11	N/A	N/A	6	15	5	15
2016-10-07	$25.86	$0.00	16.0%	4.0%	13.0%	8.6%	0.0%	4.7%	0.5%	-358	2.1K	-99	2.50	125.95	N/A	N/A	6	15	6	15
2016-10-10	$26.06	$0.00	19.1%	4.8%	13.2%	10.7%	0.0%	6.3%	-1.3%	-378	-2.3K	-85	2.50	123.29	N/A	N/A	6	15	6	15
2016-10-11	$25.95	$0.00	17.1%	4.8%	12.0%	9.3%	0.0%	1.2%	-1.0%	-326	-1.2K	-87	2.50	123.18	N/A	N/A	6	15	6	15
2016-10-12	$25.87	$0.00	15.9%	4.6%	11.9%	8.6%	0.0%	6.3%	-0.5%	-319	2.1K	-96	2.50	125.46	N/A	N/A	6	15	6	15
2016-10-13	$25.71	$0.00	18.0%	5.2%	11.9%	10.0%	0.0%	4.5%	-4.0%	-402	1.8K	-93	2.50	121.86	N/A	N/A	6	15	6	15
2016-10-14	$25.91	$0.00	15.3%	4.4%	11.9%	8.2%	0.0%	5.0%	-0.1%	-316	-780	-87	2.50	127.04	N/A	N/A	6	15	6	15
2016-10-17	$25.73	$0.00	17.4%	5.0%	12.1%	9.6%	0.0%	4.6%	-2.9%	-309	2.7K	-93	2.50	123.97	N/A	N/A	6	15	6	15
2016-10-18	$26.01	$0.00	17.3%	4.9%	12.6%	9.5%	0.0%	2.4%	-1.6%	-244	-1.3K	-82	2.50	130.84	N/A	N/A	6	15	6	15
2016-10-19	$26.09	$0.00	16.6%	4.8%	12.2%	9.0%	0.0%	2.1%	-1.4%	-207	129	-89	2.50	130.60	N/A	N/A	6	15	6	15
2016-10-20	$26.16	$0.00	15.2%	4.4%	11.7%	8.1%	0.0%	2.3%	0.7%	-135	-1.1K	-83	2.50	131.69	N/A	N/A	6	15	6	15
2016-10-21	$26.16	$0.00	14.8%	4.3%	11.4%	7.8%	0.0%	1.5%	0.9%	-620	-2.8K	-82	2.50	132.55	N/A	N/A	6	15	6	15
2016-10-24	$26.14	$0.00	18.4%	5.3%	10.3%	10.2%	0.0%	3.5%	-1.0%	-611	-754	-77	3.00	135.62	N/A	N/A	5	15	5	15
2016-10-25	$26.08	$0.00	17.3%	5.0%	10.3%	9.5%	0.0%	1.3%	-0.1%	-665	1.3K	-84	3.00	139.69	N/A	N/A	5	15	5	15
2016-10-26	$25.94	$0.00	18.8%	5.4%	9.9%	10.5%	0.0%	1.4%	-1.5%	-738	1.3K	-83	3.00	134.49	N/A	N/A	5	15	5	15
2016-10-27	$26.04	$0.00	20.1%	5.8%	8.9%	11.4%	0.0%	2.9%	-2.6%	-673	1.7K	-84	3.00	135.38	N/A	N/A	5	15	5	15
2016-10-28	$25.87	$0.00	20.4%	5.9%	8.5%	11.6%	0.0%	1.0%	-3.1%	-751	733	-80	3.00	134.87	N/A	N/A	5	15	5	15
2016-10-31	$25.83	$0.00	19.8%	5.7%	8.5%	11.2%	0.0%	3.7%	-0.0%	-717	2.0K	-81	3.00	140.83	N/A	N/A	5	15	5	15