DBEU Options History — January 2017 In January 2017, DBEU traded between $25.51 and $25.89. ATM implied volatility averaged 16.7%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 5.3% (HV 20d: 11.4%). Max pain ranged from $22.33 to $22.33. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 14 of 20 days.
Notable Days 2017-01-11 : Largest IV drop — 26.6% change2017-01-10 : Highest IV Rank — 9.3%2017-01-31 : Largest Expected Move — 5.3%Monthly Statistics Metric Avg Min Max Open Close Price $25.72 $25.51 $25.89 $25.71 $25.51 Max Pain $22.33 $22.33 $22.33 $22.33 $22.33 ATM IV 16.7% 14.7% 20.1% 18.4% 18.6% Expected Move 4.5% 4.1% 5.3% 5.3% 5.3% HV 20d 11.4% 6.2% 23.8% 23.8% 8.4% HV 60d 16.3% 16.1% 16.6% 16.6% 16.1% IV Rank 7.4% 6.3% 9.3% 8.3% 8.5% IV Percentile 26.9% 9.1% 56.0% 42.9% 50.4% Term Structure 49.2% -1.2% 93.3% -0.7% -0.9% Skew 25d 1.4% 0.3% 3.8% 3.8% 1.5% Skew 10d 4.5% 2.2% 8.5% 8.5% 4.5% Call IV 25d 16.9% 14.7% 21.6% 18.0% 20.2% Put IV 25d 18.3% 16.1% 22.0% 21.9% 21.7% Bid-Ask Spread % 142.56 130.06 148.95 130.06 143.64 Gamma HHI 1.00 0.99 1.00 0.99 1.00 Net GEX 10.5K 0 24.4K 15.2K 0 Net DEX -81.6K -179.4K 0 -115.5K 0 Net VEX -60 -145 0 -145 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 55.25 0 85 85 0
Daily Data (20 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 2017-01-03 $25.71 $22.33 18.4% 5.3% 23.8% 8.3% 0.0% 3.8% -0.7% 15.2K -115.5K -145 0.00 130.06 N/A N/A 0 0 70 15 2017-01-04 $25.72 $22.33 18.4% 5.3% 23.6% 8.3% 0.0% 0.3% -0.8% 15.1K -116.0K -141 0.00 130.47 N/A N/A 0 0 70 15 2017-01-05 $25.74 $0.00 18.3% 4.3% 23.1% 8.3% 0.0% 1.5% 85.9% 15.3K -117.5K -136 0.00 142.13 N/A N/A 0 0 70 15 2017-01-06 $25.81 $0.00 19.4% 4.2% 22.4% 8.9% 0.0% 1.9% 86.0% 15.0K -122.2K -127 0.00 140.44 N/A N/A 0 0 70 15 2017-01-09 $25.72 $0.00 20.0% 4.1% 22.4% 9.2% 0.0% 1.4% 88.6% 16.6K -118.4K -117 0.00 145.11 N/A N/A 0 0 70 15 2017-01-10 $25.75 $0.00 20.1% 4.3% 8.3% 9.3% 0.0% 2.4% 89.3% 16.6K -120.4K -107 0.00 144.66 N/A N/A 0 0 70 15 2017-01-11 $25.84 $0.00 14.8% 4.2% 7.5% 6.3% 0.0% 1.8% 90.7% 15.7K -126.1K -102 0.00 142.42 N/A N/A 0 0 70 15 2017-01-12 $25.81 $0.00 15.3% 4.4% 6.5% 6.7% 0.0% 1.9% 87.8% 16.6K -125.5K -96 0.00 141.70 N/A N/A 0 0 70 15 2017-01-13 $25.89 $0.00 16.6% 4.8% 6.2% 7.4% 0.0% 0.9% 89.5% 15.3K -129.5K -85 0.00 135.62 N/A N/A 0 0 70 15 2017-01-17 $25.63 $0.00 14.8% 4.2% 7.2% 6.4% 0.0% 0.8% 91.9% 22.2K -118.4K -61 0.00 146.03 N/A N/A 0 0 70 15 2017-01-18 $25.70 $0.00 15.1% 4.3% 7.2% 6.5% 0.0% 0.8% 92.5% 21.5K -124.9K -48 0.00 146.97 N/A N/A 0 0 70 15 2017-01-19 $25.60 $0.00 14.8% 4.3% 7.4% 6.4% 0.0% 0.3% 92.1% 24.4K -117.2K -35 0.00 145.59 N/A N/A 0 0 70 15 2017-01-20 $25.63 $0.00 14.7% 4.2% 7.4% 6.3% 0.0% 1.0% 93.3% 0 -179.4K 0 0.00 148.95 N/A N/A 0 0 70 15 2017-01-23 $25.60 $0.00 15.5% 4.4% 7.3% 6.7% 0.0% 2.5% 1.3% 0 0 0 0.00 146.04 N/A N/A 0 0 0 0 2017-01-24 $25.69 $0.00 15.4% 4.4% 7.3% 6.7% 0.0% 2.1% 0.8% 0 0 0 0.00 146.02 N/A N/A 0 0 0 0 2017-01-25 $25.88 $0.00 15.3% 4.4% 7.7% 6.7% 0.0% 1.1% 0.2% 0 0 0 0.00 144.50 N/A N/A 0 0 0 0 2017-01-26 $25.82 $0.00 15.2% 4.4% 7.8% 6.6% 0.0% 0.5% -0.9% 0 0 0 0.00 141.13 N/A N/A 0 0 0 0 2017-01-27 $25.81 $0.00 16.1% 4.6% 7.6% 7.1% 0.0% 0.5% -1.2% 0 0 0 0.00 143.20 N/A N/A 0 0 0 0 2017-01-30 $25.61 $0.00 17.2% 4.9% 8.2% 7.7% 0.0% 1.9% -1.0% 0 0 0 0.00 146.55 N/A N/A 0 0 0 0 2017-01-31 $25.51 $0.00 18.6% 5.3% 8.4% 8.5% 0.0% 1.5% -0.9% 0 0 0 0.00 143.64 N/A N/A 0 0 0 0
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