DBEU Options History — December 2016

In December 2016, DBEU traded between $24.81 and $26.48. ATM implied volatility averaged 28.0%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 7.4% (HV 20d: 20.5%). Max pain ranged from $22.33 to $24.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.20.

Notable Days

  • 2016-12-01: Highest Volume — 90 contracts
  • 2016-12-14: Largest IV spike — 555.3% change
  • 2016-12-14: Highest IV Rank — 98.5%
  • 2016-12-14: Largest Expected Move — 52.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.40$24.81$26.48$25.42$25.34
Max Pain$23.30$22.33$24.00$24.00$22.33
ATM IV28.0%15.2%183.3%26.2%17.5%
Expected Move13.9%3.8%52.6%7.5%5.0%
HV 20d20.5%11.3%24.2%13.9%23.3%
HV 60d15.5%12.1%17.2%12.5%16.3%
IV Rank13.6%6.6%98.5%12.6%7.9%
IV Percentile50.6%12.3%99.6%81.7%35.3%
Term Structure5.8%-85.7%83.7%-7.2%-2.2%
VWIV31.5%16.2%40.9%16.2%36.3%
Skew 25d0.5%-12.8%7.6%1.7%2.4%
Skew 10d4.3%-1.2%14.3%-1.2%6.5%
Call IV 25d21.5%11.9%31.4%25.5%17.4%
Put IV 25d22.0%13.3%31.6%27.1%19.8%
Bid-Ask Spread %151.82128.08178.11130.44128.18
Gamma HHI0.670.330.990.570.99
Net GEX9.1K1.3K16.9K5.9K16.9K
Net DEX-91.5K-168.4K-14.3K-21.8K-90.5K
Net VEX-295-549-170-183-170
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.200.200.200.20
Total Volume55.714090900
Total OI114.286851809085

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$25.42$0.0026.2%7.5%13.9%12.6%0.0%1.7%-7.2%5.9K-21.8K-1830.20130.44N/AN/A75157515
2016-12-02$25.42$0.0026.3%7.5%13.3%12.6%0.0%2.9%-9.2%5.9K-20.8K-1820.20139.06N/AN/A75157515
2016-12-05$25.66$24.0021.3%3.8%12.9%9.9%16.2%2.1%82.7%7.9K-28.3K-1700.20129.74N/AN/A75157515
2016-12-06$26.01$24.0021.9%5.8%11.3%10.3%27.6%0.3%71.4%1.3K-89.5K-3130.20169.71N/AN/A75157515
2016-12-07$26.38$24.0021.6%4.6%12.0%10.1%22.8%-0.8%76.7%10.7K-53.4K-2280.20163.12N/AN/A75157515
2016-12-08$26.48$24.0024.2%4.4%11.6%11.5%22.9%4.4%74.8%6.1K-73.2K-2890.20158.86N/AN/A75157515
2016-12-09$25.01$24.0016.4%47.1%23.6%7.3%40.9%-12.8%-68.9%4.0K-14.3K-1700.20173.70N/AN/A75157515
2016-12-12$24.81$24.0016.6%49.7%23.7%7.3%37.5%-8.6%-75.7%10.5K-98.5K-4640.20174.35N/AN/A751515030
2016-12-13$25.12$24.0028.0%51.4%24.2%13.6%33.2%0.3%-83.6%2.7K-165.2K-5490.20177.77N/AN/A751515030
2016-12-14$25.01$24.00183.3%52.6%24.0%98.5%40.8%-0.8%-85.7%4.1K-128.7K-5310.20174.41N/AN/A751515030
2016-12-15$25.17$24.0022.0%6.3%24.0%10.3%34.1%-0.4%83.7%2.6K-166.7K-5330.20177.30N/AN/A751515030
2016-12-16$25.21$24.0023.1%6.6%23.9%10.9%34.6%1.2%74.9%2.6K-168.0K-5250.20178.07N/AN/A751515030
2016-12-19$25.23$24.0024.1%6.9%23.9%11.5%36.3%0.2%-5.9%2.6K-168.4K-5000.20178.11N/AN/A751515030
2016-12-20$25.32$22.3316.6%4.7%23.9%7.3%0.0%7.6%5.5%11.3K-99.5K-2270.00159.84N/AN/A007515
2016-12-21$25.25$22.3316.3%4.7%23.8%7.2%0.0%1.1%-1.1%15.2K-95.0K-2120.00128.08N/AN/A007515
2016-12-22$25.25$22.3315.2%4.4%23.8%6.6%0.0%2.3%-0.5%16.2K-84.4K-2030.00130.17N/AN/A007015
2016-12-23$25.31$22.3316.0%4.6%23.8%7.0%0.0%2.0%-1.4%15.8K-86.8K-1980.00129.67N/AN/A007015
2016-12-27$25.36$22.3316.9%4.8%23.5%7.5%0.0%1.9%-3.0%16.2K-91.5K-1850.00129.32N/AN/A007015
2016-12-28$25.27$22.3316.3%4.7%23.5%7.2%0.0%1.8%-1.7%16.3K-88.7K-1810.00129.10N/AN/A007015
2016-12-29$25.32$22.3317.6%5.0%23.5%7.9%0.0%1.8%-1.7%16.4K-88.6K-1730.00129.24N/AN/A007015
2016-12-30$25.34$22.3317.5%5.0%23.3%7.9%0.0%2.4%-2.2%16.9K-90.5K-1700.00128.18N/AN/A007015