DBEU Options History — April 2017 In April 2017, DBEU traded between $26.55 and $27.64. ATM implied volatility averaged 19.5%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 11.4% (HV 20d: 8.1%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 15 of 19 days.
Notable Days 2017-04-13 : Highest Volume — 5 contracts2017-04-24 : Largest IV drop — 42.4% change2017-04-17 : Highest IV Rank — 12.1%2017-04-17 : Largest Expected Move — 7.3%Monthly Statistics Metric Avg Min Max Open Close Price $27.10 $26.55 $27.64 $26.98 $27.51 Max Pain $27.00 $27.00 $27.00 $27.00 $27.00 ATM IV 19.5% 12.8% 25.3% 16.5% 16.1% Expected Move 5.6% 3.7% 7.3% 4.7% 4.6% HV 20d 8.1% 5.9% 12.7% 6.2% 12.7% HV 60d 7.8% 6.8% 9.4% 7.1% 9.3% IV Rank 8.9% 5.3% 12.1% 7.3% 7.0% IV Percentile 56.1% 3.2% 87.3% 32.9% 27.0% Term Structure 46.3% -3.4% 88.6% 3.3% -2.3% VWIV 19.4% 16.6% 25.2% 24.9% 18.0% Skew 25d 3.7% -1.3% 7.1% 0.1% 2.0% Skew 10d 3.3% 0.5% 6.0% 4.8% 2.6% Call IV 25d 18.8% 16.4% 22.2% 18.6% 17.6% Put IV 25d 22.4% 17.7% 28.2% 18.7% 19.5% Bid-Ask Spread % 131.93 121.45 146.36 129.08 145.04 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -797 -2.9K 0 0 -1.8K Net DEX 4.4K 0 12.0K 0 7.2K Net VEX -10 -24 0 0 -19 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 1.947 0 5 0 3 Total OI 3.895 0 8 0 8
Daily Data (19 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 2017-04-03 $26.98 $0.00 16.5% 4.7% 6.2% 7.3% 0.0% 0.1% 3.3% 0 0 0 0.00 129.08 N/A N/A 0 0 0 0 2017-04-04 $27.04 $0.00 18.5% 5.3% 5.9% 8.4% 0.0% 1.6% 2.0% 0 0 0 0.00 129.43 N/A N/A 0 0 0 0 2017-04-05 $26.93 $0.00 17.7% 5.1% 6.2% 8.0% 0.0% -1.3% 1.0% 0 0 0 0.00 128.94 N/A N/A 0 0 0 0 2017-04-06 $27.02 $0.00 18.6% 5.5% 6.1% 8.4% 0.0% 5.9% 78.7% 0 0 0 0.00 134.02 N/A N/A 0 0 0 0 2017-04-07 $27.13 $0.00 19.4% 5.8% 6.1% 8.9% 0.0% 5.9% 77.4% 0 0 0 0.00 130.70 N/A N/A 0 0 0 0 2017-04-10 $27.08 $0.00 21.4% 6.3% 6.2% 10.0% 0.0% 5.5% 77.9% 0 0 0 0.00 128.94 N/A N/A 0 0 0 0 2017-04-11 $27.13 $0.00 23.0% 6.8% 6.0% 10.9% 0.0% 5.7% 74.5% 0 0 0 0.00 122.89 N/A N/A 0 0 0 0 2017-04-12 $27.06 $0.00 24.7% 7.1% 6.0% 11.8% 0.0% 7.1% 73.6% 0 0 0 0.00 124.75 N/A N/A 0 0 0 0 2017-04-13 $26.95 $0.00 24.4% 7.0% 5.9% 11.6% 24.9% 3.8% 81.5% 0 0 0 0.00 121.45 N/A N/A 0 5 0 0 2017-04-17 $26.97 $27.00 25.3% 7.3% 5.9% 12.1% 25.2% 7.1% 88.6% -723 6.8K -16 0.00 126.31 N/A N/A 0 5 0 5 2017-04-18 $26.58 $27.00 21.3% 6.1% 7.8% 9.9% 18.6% 4.3% 84.6% -719 7.7K -15 0.00 124.39 N/A N/A 0 3 0 5 2017-04-19 $26.55 $27.00 21.5% 6.2% 7.1% 10.0% 18.6% 5.3% 84.8% -1.2K 12.0K -24 0.00 123.40 N/A N/A 0 3 0 8 2017-04-20 $26.77 $27.00 20.2% 5.8% 7.7% 9.3% 18.9% 5.2% 80.3% -1.3K 11.9K -24 0.00 133.86 N/A N/A 0 3 0 8 2017-04-21 $26.77 $27.00 22.2% 6.4% 7.7% 10.4% 20.6% 6.4% 79.3% -1.4K 11.6K -24 0.00 130.25 N/A N/A 0 3 0 8 2017-04-24 $27.54 $27.00 12.8% 3.7% 12.6% 5.3% 18.1% 2.0% -3.4% -2.9K 7.3K -18 0.00 135.70 N/A N/A 0 3 0 8 2017-04-25 $27.64 $27.00 15.2% 4.3% 12.6% 6.6% 16.8% 1.3% 0.3% -1.7K 6.4K -19 0.00 146.36 N/A N/A 0 3 0 8 2017-04-26 $27.56 $27.00 14.9% 4.3% 12.6% 6.4% 16.6% 1.0% -1.0% -1.8K 6.9K -20 0.00 145.30 N/A N/A 0 3 0 8 2017-04-27 $27.60 $27.00 15.8% 4.5% 12.6% 6.9% 17.2% 1.2% -1.4% -1.7K 6.6K -19 0.00 145.90 N/A N/A 0 3 0 8 2017-04-28 $27.51 $27.00 16.1% 4.6% 12.7% 7.0% 18.0% 2.0% -2.3% -1.8K 7.2K -19 0.00 145.04 N/A N/A 0 3 0 8
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