DBEU Options History — June 2017 In June 2017, DBEU traded between $27.37 and $28.64. ATM implied volatility averaged 16.1%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 7.3% (HV 20d: 8.8%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 3.85.
Notable Days 2017-06-29 : Highest Volume — 14 contracts2017-06-14 : Largest IV drop — 60.3% change2017-06-13 : Highest IV Rank — 15.8%2017-06-01 : Largest Expected Move — 4.8%Monthly Statistics Metric Avg Min Max Open Close Price $28.16 $27.37 $28.64 $28.51 $27.40 Max Pain $27.62 $27.00 $29.00 $29.00 $27.00 ATM IV 16.1% 10.2% 32.1% 16.7% 14.5% Expected Move 3.8% 2.9% 4.8% 4.8% 4.2% HV 20d 8.8% 6.0% 11.6% 9.1% 11.6% HV 60d 10.0% 9.5% 11.3% 9.5% 11.3% IV Rank 7.1% 3.9% 15.8% 7.4% 6.2% IV Percentile 31.9% 0.4% 94.0% 42.1% 19.8% Term Structure 17.4% -4.1% 73.2% -3.5% -2.1% VWIV 14.8% 12.0% 22.0% 18.1% 14.2% Skew 25d 3.1% 0.4% 12.8% 5.9% 3.4% Skew 10d 6.7% -1.5% 19.9% 13.5% 7.1% Call IV 25d 13.5% 11.7% 15.9% 13.6% 15.5% Put IV 25d 16.6% 12.3% 26.2% 19.5% 19.0% Bid-Ask Spread % 126.55 121.25 138.89 136.54 127.24 Gamma HHI 0.72 0.27 1.00 0.88 0.27 Net GEX -689 -1.5K 120 -1.3K -86 Net DEX 5.0K -1.6K 12.6K 6.9K 10.5K Net VEX -9 -68 -2 -11 -68 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.85 0.50 6.00 5.00 6.00 Total Volume 5.545 1 14 6 14 Total OI 4.909 1 14 6 14
Daily Data (22 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 2017-06-01 $28.51 $29.00 16.7% 4.8% 9.1% 7.4% 18.1% 5.9% -3.5% -1.3K 6.9K -11 5.00 136.54 N/A N/A 1 5 1 5 2017-06-02 $28.58 $29.00 16.2% 4.7% 8.7% 7.2% 17.5% 6.0% -2.6% -1.4K 6.6K -11 5.00 138.89 N/A N/A 1 5 1 5 2017-06-05 $28.43 $0.00 17.3% 3.7% 8.2% 7.7% 0.0% 1.6% 60.3% -1.3K 7.5K -9 5.00 124.59 N/A N/A 1 5 1 5 2017-06-06 $28.27 $0.00 17.9% 3.9% 8.3% 8.1% 0.0% 1.4% 64.9% -1.1K 8.2K -8 5.00 125.17 N/A N/A 1 5 1 5 2017-06-07 $28.28 $0.00 19.6% 3.6% 8.3% 9.0% 0.0% 0.6% -2.3% -1.2K 8.3K -7 5.00 121.25 N/A N/A 1 5 1 5 2017-06-08 $28.27 $0.00 19.3% 3.7% 8.2% 8.8% 0.0% 0.9% -3.3% -1.2K 8.5K -7 5.00 124.55 N/A N/A 1 5 1 5 2017-06-09 $28.34 $0.00 20.4% 3.6% 8.2% 9.4% 0.0% 0.4% 62.5% -1.3K 8.2K -6 5.00 123.40 N/A N/A 1 5 1 5 2017-06-12 $28.23 $0.00 25.2% 3.9% 8.2% 12.1% 0.0% 1.0% 3.5% -1.2K 9.1K -4 5.00 124.18 N/A N/A 1 5 1 5 2017-06-13 $28.40 $0.00 32.1% 3.7% 8.5% 15.8% 0.0% 0.7% 4.5% -1.5K 8.2K -4 5.00 123.79 N/A N/A 1 5 1 5 2017-06-14 $28.32 $0.00 12.7% 3.6% 8.4% 5.2% 0.0% 1.0% 70.0% -1.4K 8.7K -3 5.00 122.87 N/A N/A 1 5 1 5 2017-06-15 $28.14 $0.00 15.3% 4.4% 6.0% 6.6% 22.0% 3.8% 73.2% -1.0K 9.5K -2 6.00 125.40 N/A N/A 1 6 1 5 2017-06-16 $28.38 $28.00 13.3% 3.8% 6.6% 5.6% 14.0% 12.8% 68.9% -331 12.6K -3 6.00 124.63 N/A N/A 1 6 1 6 2017-06-19 $28.64 $28.00 14.0% 4.0% 7.2% 5.9% 14.7% 5.2% -1.9% -486 818 -2 0.00 123.54 N/A N/A 0 1 0 1 2017-06-20 $28.41 $28.00 13.8% 4.0% 7.7% 5.8% 13.5% 10.5% -4.1% -481 1.0K -3 0.00 124.20 N/A N/A 0 1 0 1 2017-06-21 $27.95 $28.00 12.6% 3.6% 9.6% 5.1% 14.0% 0.7% -0.2% -304 1.4K -3 0.50 128.97 N/A N/A 2 1 0 1 2017-06-22 $27.93 $27.00 11.5% 3.3% 9.6% 4.6% 12.0% 0.4% 0.8% 34 -1.6K -7 0.50 124.03 N/A N/A 2 1 2 1 2017-06-23 $27.90 $27.00 12.1% 3.5% 9.6% 4.9% 12.9% 3.4% 0.5% 99 -1.3K -7 0.50 128.37 N/A N/A 2 1 2 1 2017-06-26 $28.04 $27.00 13.4% 3.8% 9.9% 5.6% 13.2% 4.0% -2.2% 81 -1.6K -7 0.50 126.59 N/A N/A 2 1 2 1 2017-06-27 $27.77 $27.00 12.6% 3.6% 10.4% 5.2% 14.7% 1.2% -0.1% 101 -976 -7 0.50 128.81 N/A N/A 2 1 2 1 2017-06-28 $27.86 $27.00 10.2% 2.9% 10.5% 3.9% 12.4% 0.5% 0.0% 58 -1.1K -6 0.50 128.43 N/A N/A 2 1 2 1 2017-06-29 $27.37 $27.00 14.3% 4.1% 11.6% 6.1% 13.5% 2.5% -3.1% 120 -76 -6 6.00 128.57 N/A N/A 2 12 2 1 2017-06-30 $27.40 $27.00 14.5% 4.2% 11.6% 6.2% 14.2% 3.4% -2.1% -86 10.5K -68 6.00 127.24 N/A N/A 2 12 2 12
« May 2017 | All History | Jul 2017 » Home DBEU History June 2017