DBEU Options History — November 2016 In November 2016, DBEU traded between $24.82 and $25.84. ATM implied volatility averaged 80.1%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 22.7%. IV traded above realized volatility by 67.2% (HV 20d: 12.9%). Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 2.20.
Notable Days 2016-11-22 : Highest Volume — 90 contracts2016-11-09 : Largest IV spike — 612.9% change2016-11-09 : Highest IV Rank — 100.0%2016-11-16 : Largest Expected Move — 53.3%Monthly Statistics Metric Avg Min Max Open Close Price $25.52 $24.82 $25.84 $25.58 $25.67 ATM IV 80.1% 17.3% 186.0% 21.2% 21.2% Expected Move 22.7% 5.0% 53.3% 6.1% 6.1% HV 20d 12.9% 8.9% 14.1% 8.9% 13.8% HV 60d 12.2% 11.0% 12.8% 11.0% 12.4% IV Rank 44.5% 7.7% 100.0% 12.1% 9.9% IV Percentile 75.3% 33.7% 100.0% 69.4% 64.7% Term Structure -21.0% -56.3% 1.2% 0.7% -3.5% Skew 25d 16.0% -0.9% 137.0% -0.9% 2.3% Skew 10d 16.0% -0.4% 137.0% 3.4% 3.0% Call IV 25d 66.9% 17.8% 196.3% 22.2% 22.4% Put IV 25d 82.9% 20.4% 198.1% 21.3% 24.7% Bid-Ask Spread % 152.92 125.04 180.03 136.35 141.82 Gamma HHI 0.61 0.54 0.64 0.58 0.63 Net GEX 1.3K -1.0K 8.0K -692 7.3K Net DEX -3.8K -35.4K 7.7K 3.2K -32.6K Net VEX -116 -271 -55 -84 -223 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.20 0.20 3.00 3.00 0.20 Total Volume 40 20 90 20 90 Total OI 36.667 20 90 20 90
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 2016-11-01 $25.58 $0.00 21.2% 6.1% 8.9% 12.1% 0.0% -0.9% 0.7% -692 3.2K -84 3.00 136.35 N/A N/A 5 15 5 15 2016-11-02 $25.35 $0.00 22.3% 6.4% 9.3% 12.9% 0.0% 3.8% -3.8% -807 5.5K -86 3.00 142.47 N/A N/A 5 15 5 15 2016-11-03 $25.09 $0.00 21.8% 5.3% 9.8% 12.5% 0.0% 4.3% -1.3% -826 5.4K -84 3.00 127.12 N/A N/A 5 15 5 15 2016-11-04 $24.82 $0.00 24.5% 5.0% 10.2% 14.4% 0.0% 7.5% -2.8% -1.0K 7.7K -86 3.00 129.49 N/A N/A 5 15 5 15 2016-11-07 $25.38 $0.00 25.8% 5.7% 13.0% 15.2% 0.0% 5.8% -1.7% -820 4.1K -81 3.00 125.40 N/A N/A 5 15 5 15 2016-11-08 $25.58 $0.00 22.9% 5.0% 13.3% 13.3% 0.0% 3.1% -2.4% -796 3.0K -78 3.00 125.04 N/A N/A 5 15 5 15 2016-11-09 $25.84 $0.00 163.6% 46.9% 13.8% 100.0% 0.0% 6.6% -47.2% -177 6.8K -85 3.00 176.86 N/A N/A 5 15 5 15 2016-11-10 $25.63 $0.00 165.1% 47.3% 13.9% 100.0% 0.0% 8.6% -44.2% -165 5.6K -83 3.00 178.03 N/A N/A 5 15 5 15 2016-11-11 $25.46 $0.00 173.7% 49.8% 13.8% 100.0% 0.0% 2.8% -47.0% -169 6.5K -83 3.00 178.47 N/A N/A 5 15 5 15 2016-11-14 $25.47 $0.00 181.3% 52.0% 13.6% 100.0% 0.0% 1.8% -52.3% -169 6.6K -81 3.00 178.33 N/A N/A 5 15 5 15 2016-11-15 $25.67 $0.00 177.4% 50.9% 13.3% 97.8% 0.0% 7.3% -55.1% -175 6.0K -80 3.00 178.60 N/A N/A 5 15 5 15 2016-11-16 $25.48 $0.00 186.0% 53.3% 13.4% 100.0% 0.0% 1.8% -55.0% -177 5.6K -78 3.00 179.04 N/A N/A 5 15 5 15 2016-11-17 $25.65 $0.00 180.3% 51.7% 13.7% 96.9% 0.0% 137.0% -56.3% -176 5.9K -78 3.00 179.69 N/A N/A 5 15 5 15 2016-11-18 $25.53 $0.00 183.1% 52.5% 13.7% 98.4% 0.0% 132.1% -53.7% -171 6.5K -78 3.00 180.03 N/A N/A 5 15 5 15 2016-11-21 $25.58 $0.00 17.3% 5.0% 13.8% 7.8% 0.0% 1.5% -3.9% -678 -2.2K -55 3.00 141.56 N/A N/A 5 15 5 15 2016-11-22 $25.69 $0.00 17.3% 5.0% 13.9% 7.7% 0.0% 1.8% 0.9% -820 377 -62 0.20 142.84 N/A N/A 75 15 5 15 2016-11-23 $25.62 $0.00 17.6% 5.1% 13.8% 7.9% 0.0% 2.9% -0.9% 5.6K -29.4K -268 0.20 143.14 N/A N/A 75 15 75 15 2016-11-25 $25.75 $0.00 18.0% 5.2% 13.9% 8.1% 0.0% 1.9% 1.2% 7.0K -35.4K -271 0.20 144.50 N/A N/A 75 15 75 15 2016-11-28 $25.50 $0.00 21.3% 6.1% 14.1% 9.9% 0.0% 0.7% -6.9% 8.0K -30.1K -211 0.20 140.40 N/A N/A 75 15 75 15 2016-11-29 $25.57 $0.00 20.5% 5.9% 14.1% 9.5% 0.0% 2.9% -5.9% 7.4K -28.8K -199 0.20 142.17 N/A N/A 75 15 75 15 2016-11-30 $25.67 $0.00 21.2% 6.1% 13.8% 9.9% 0.0% 2.3% -3.5% 7.3K -32.6K -223 0.20 141.82 N/A N/A 75 15 75 15
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