DBEU Options History — March 2017 In March 2017, DBEU traded between $26.40 and $27.09. ATM implied volatility averaged 18.6%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 10.7% (HV 20d: 7.9%). Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 20 of 23 days.
Notable Days 2017-03-15 : Largest IV drop — 52.4% change2017-03-14 : Highest IV Rank — 16.0%2017-03-02 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $26.71 $26.40 $27.09 $26.54 $27.09 ATM IV 18.6% 14.0% 32.5% 15.3% 16.5% Expected Move 4.6% 4.0% 5.4% 4.4% 4.7% HV 20d 7.9% 6.0% 8.8% 8.3% 6.0% HV 60d 9.3% 7.0% 14.9% 14.9% 7.1% IV Rank 8.4% 5.9% 16.0% 6.6% 7.3% IV Percentile 43.9% 7.1% 94.4% 15.9% 32.1% Term Structure 30.4% -6.4% 81.9% -6.4% 4.2% Skew 25d 0.7% -4.7% 4.9% -4.7% 1.8% Skew 10d 3.7% -1.7% 13.2% -1.3% 5.9% Call IV 25d 16.9% 14.6% 20.6% 20.6% 16.6% Put IV 25d 17.6% 15.3% 23.4% 15.9% 18.4% Bid-Ask Spread % 132.09 126.08 149.75 143.44 128.03 Net GEX 0 0 0 0 0 Net DEX 0 0 0 0 0 Net VEX 0 0 0 0 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 0 0 0 0 0
Daily Data (23 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 2017-03-01 $26.54 $0.00 15.3% 4.4% 8.3% 6.6% 0.0% -4.7% -6.4% 0 0 0 0.00 143.44 N/A N/A 0 0 0 0 2017-03-02 $26.50 $0.00 18.8% 5.4% 8.4% 8.6% 0.0% 0.3% -5.4% 0 0 0 0.00 147.94 N/A N/A 0 0 0 0 2017-03-03 $26.57 $0.00 17.4% 5.0% 8.4% 7.8% 0.0% 0.4% -3.4% 0 0 0 0.00 149.75 N/A N/A 0 0 0 0 2017-03-06 $26.52 $0.00 20.2% 4.6% 8.4% 9.3% 0.0% 0.7% 43.5% 0 0 0 0.00 126.19 N/A N/A 0 0 0 0 2017-03-07 $26.41 $0.00 21.1% 4.4% 7.9% 9.8% 0.0% 0.6% 42.9% 0 0 0 0.00 128.33 N/A N/A 0 0 0 0 2017-03-08 $26.40 $0.00 23.1% 4.5% 7.9% 10.9% 0.0% 0.6% 71.4% 0 0 0 0.00 128.76 N/A N/A 0 0 0 0 2017-03-09 $26.51 $0.00 22.1% 4.7% 7.9% 10.3% 0.0% 0.0% 70.5% 0 0 0 0.00 126.53 N/A N/A 0 0 0 0 2017-03-10 $26.61 $0.00 23.0% 4.2% 7.7% 10.8% 0.0% -0.2% 71.8% 0 0 0 0.00 126.08 N/A N/A 0 0 0 0 2017-03-13 $26.69 $0.00 28.4% 4.3% 7.7% 13.8% 0.0% 0.2% 72.7% 0 0 0 0.00 132.81 N/A N/A 0 0 0 0 2017-03-14 $26.61 $0.00 32.5% 4.3% 7.7% 16.0% 0.0% -0.6% 81.6% 0 0 0 0.00 132.22 N/A N/A 0 0 0 0 2017-03-15 $26.74 $0.00 15.4% 4.4% 7.9% 6.7% 0.0% 2.0% 74.7% 0 0 0 0.00 132.17 N/A N/A 0 0 0 0 2017-03-16 $26.87 $0.00 14.2% 4.1% 7.9% 6.1% 0.0% 2.0% 81.9% 0 0 0 0.00 131.52 N/A N/A 0 0 0 0 2017-03-17 $26.95 $0.00 15.7% 4.5% 7.8% 6.9% 0.0% 3.0% 79.3% 0 0 0 0.00 129.03 N/A N/A 0 0 0 0 2017-03-20 $26.90 $0.00 15.0% 4.3% 7.9% 6.5% 0.0% 1.2% 2.8% 0 0 0 0.00 132.06 N/A N/A 0 0 0 0 2017-03-21 $26.65 $0.00 14.0% 4.0% 8.8% 5.9% 0.0% -0.3% 3.6% 0 0 0 0.00 129.57 N/A N/A 0 0 0 0 2017-03-22 $26.67 $0.00 16.1% 4.6% 8.7% 7.1% 0.0% -1.6% 3.0% 0 0 0 0.00 131.45 N/A N/A 0 0 0 0 2017-03-23 $26.72 $0.00 15.9% 4.6% 8.7% 7.0% 0.0% -0.6% 1.1% 0 0 0 0.00 128.06 N/A N/A 0 0 0 0 2017-03-24 $26.80 $0.00 15.4% 4.4% 8.4% 6.7% 0.0% 0.6% 2.3% 0 0 0 0.00 132.81 N/A N/A 0 0 0 0 2017-03-27 $26.77 $0.00 17.2% 4.9% 8.5% 7.7% 0.0% 4.9% 0.2% 0 0 0 0.00 131.42 N/A N/A 0 0 0 0 2017-03-28 $26.95 $0.00 17.5% 5.0% 8.6% 7.8% 0.0% 3.5% 1.8% 0 0 0 0.00 128.23 N/A N/A 0 0 0 0 2017-03-29 $26.97 $0.00 16.1% 4.6% 6.0% 7.1% 0.0% 1.0% 2.2% 0 0 0 0.00 131.50 N/A N/A 0 0 0 0 2017-03-30 $27.00 $0.00 16.4% 4.7% 6.0% 7.2% 0.0% 1.3% 1.9% 0 0 0 0.00 130.04 N/A N/A 0 0 0 0 2017-03-31 $27.09 $0.00 16.5% 4.7% 6.0% 7.3% 0.0% 1.8% 4.2% 0 0 0 0.00 128.03 N/A N/A 0 0 0 0
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