DBEU Options History — August 2017

In August 2017, DBEU traded between $27.25 and $27.94. ATM implied volatility averaged 14.3%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 5.1% (HV 20d: 9.1%). Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 7.14.

Notable Days

  • 2017-08-23: Highest Volume — 119 contracts
  • 2017-08-14: Largest IV spike — 305.0% change
  • 2017-08-14: Highest IV Rank — 23.6%
  • 2017-08-14: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.58$27.25$27.94$27.69$27.56
ATM IV14.3%9.2%46.3%13.8%13.3%
Expected Move4.0%2.6%13.3%4.0%3.8%
HV 20d9.1%6.9%10.3%8.3%10.3%
HV 60d9.8%9.4%10.1%9.5%10.1%
IV Rank6.1%3.3%23.6%5.8%5.6%
IV Percentile20.9%0.4%96.4%19.0%15.9%
Term Structure32.6%-3.7%106.2%-3.3%0.0%
Skew 25d5.7%-2.0%70.9%0.2%3.9%
Skew 10d4.6%-4.5%70.9%1.3%1.7%
Call IV 25d13.4%10.2%18.1%17.8%15.0%
Put IV 25d19.1%13.2%87.3%18.1%18.9%
Bid-Ask Spread %146.48138.13193.14142.63148.46
Gamma HHI0.430.310.790.350.39
Net GEX-5.3K-10.3K-560-3.7K-4.7K
Net DEX28.7K-35.2K84.3K61.5K-25.0K
Net VEX-387-528-127-494-408
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.142.617.827.826.69
Total Volume99.4359711997100
Total OI114.13108133108133

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$27.69$0.0013.8%4.0%8.3%5.8%0.0%0.2%-3.3%-3.7K61.5K-4947.82142.63N/AN/A11861197
2017-08-02$27.63$0.0013.6%3.9%8.3%5.7%0.0%-2.0%-2.5%-5.6K9.9K-2587.82142.85N/AN/A11861197
2017-08-03$27.67$0.0015.3%3.3%7.6%6.6%0.0%1.3%98.2%-59684.3K-5287.82144.59N/AN/A11861197
2017-08-04$27.92$0.0012.6%3.5%7.9%5.1%0.0%0.4%64.0%-56084.1K-5207.82142.22N/AN/A11861197
2017-08-07$27.94$0.0012.9%3.7%7.9%5.3%0.0%0.6%96.2%-63979.3K-5147.82138.13N/AN/A11861197
2017-08-08$27.88$0.0012.8%3.2%7.9%5.3%0.0%0.5%10.0%-5.4K41.8K-3927.82143.28N/AN/A11861197
2017-08-09$27.80$0.0013.0%3.7%6.9%5.4%0.0%1.2%95.3%-4.0K62.4K-4757.82139.75N/AN/A11861197
2017-08-10$27.39$0.0013.7%3.9%8.6%5.8%0.0%1.1%1.5%-6.9K41.6K-3697.82144.31N/AN/A11861197
2017-08-11$27.25$0.0011.4%3.3%8.7%4.5%0.0%1.4%5.6%-8.7K41.3K-3517.82144.49N/AN/A11861197
2017-08-14$27.56$0.0046.3%13.3%9.7%23.6%0.0%70.9%48.3%-6.9K18.4K-3237.82193.14N/AN/A11861197
2017-08-15$27.64$0.0010.2%2.9%9.6%3.8%0.0%3.3%104.2%-3.9K62.1K-4547.82148.58N/AN/A11861197
2017-08-16$27.72$0.009.2%2.6%9.4%3.3%0.0%2.9%106.2%-3.7K59.8K-4497.82145.24N/AN/A11861197
2017-08-17$27.46$0.0013.5%3.9%10.0%5.7%0.0%4.6%10.1%-6.9K50.1K-4047.82148.97N/AN/A11861197
2017-08-18$27.46$0.0013.8%3.9%9.4%5.8%0.0%5.7%102.1%-5.5K73.0K-4427.82147.93N/AN/A11861197
2017-08-21$27.36$0.0014.7%4.2%9.5%6.3%0.0%6.4%1.8%-10.3K27.5K-2567.82139.84N/AN/A11861197
2017-08-22$27.64$0.0010.2%2.9%10.1%3.9%0.0%3.9%4.3%-7.5K12.6K-1807.82150.61N/AN/A11861197
2017-08-23$27.57$0.0010.3%3.0%10.1%3.9%0.0%4.5%4.5%-8.8K2.1K-1272.61148.06N/AN/A33861197
2017-08-24$27.57$0.009.6%2.7%10.1%3.5%0.0%4.9%6.7%-2.9K-21.9K-4002.61141.76N/AN/A33863397
2017-08-25$27.54$0.009.7%2.8%10.0%3.6%0.0%4.8%6.3%-5.0K-25.7K-4157.17139.86N/AN/A12863397
2017-08-28$27.41$0.0015.7%4.5%10.1%6.8%0.0%6.4%-3.7%-5.6K-18.2K-4376.62147.33N/AN/A13863497
2017-08-29$27.29$0.0016.4%4.7%9.9%7.2%0.0%2.0%-3.3%-7.8K-35.2K-3446.69142.20N/AN/A13873597
2017-08-30$27.38$0.0016.7%4.8%10.0%7.4%0.0%1.6%-3.0%-5.2K-24.6K-3666.69144.81N/AN/A13873598
2017-08-31$27.56$0.0013.3%3.8%10.3%5.6%0.0%3.9%0.0%-4.7K-25.0K-4086.69148.46N/AN/A13873598