DBEU Options History — September 2017

In September 2017, DBEU traded between $27.34 and $28.34. ATM implied volatility averaged 21.3%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 11.5% (HV 20d: 9.8%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 5.98.

Notable Days

2017-09-13: Highest Volume — 133 contracts
2017-09-14: Largest IV spike — 1026.3% change
2017-09-14: Highest IV Rank — 79.7%
2017-09-14: Largest Expected Move — 43.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.88	$27.34	$28.34	$27.68	$28.34
Max Pain	$26.00	$26.00	$26.00	$26.00	$26.00
ATM IV	21.3%	9.3%	150.1%	11.7%	13.2%
Expected Move	5.3%	2.7%	43.0%	3.3%	3.8%
HV 20d	9.8%	8.9%	11.1%	9.8%	8.9%
HV 60d	9.9%	8.9%	10.8%	10.1%	8.9%
IV Rank	7.1%	0.0%	79.7%	4.6%	2.2%
IV Percentile	34.4%	0.4%	96.4%	6.7%	18.7%
Term Structure	-2.6%	-54.6%	3.6%	3.2%	-0.4%
VWIV	26.4%	13.4%	176.5%	17.0%	14.1%
Skew 25d	10.2%	0.2%	181.3%	4.9%	2.2%
Skew 10d	11.4%	-0.6%	181.3%	3.2%	5.7%
Call IV 25d	13.4%	9.2%	15.1%	13.5%	14.1%
Put IV 25d	23.6%	11.2%	194.3%	18.4%	16.3%
Bid-Ask Spread %	135.42	122.69	187.34	145.44	122.69
Gamma HHI	0.32	0.22	0.65	0.41	0.23
Net GEX	-3.3K	-8.6K	1.3K	-4.4K	-2.8K
Net DEX	-4.1K	-31.4K	48.4K	-31.4K	-19.4K
Net VEX	-474	-785	-381	-385	-493
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.98	4.78	8.46	6.69	4.78
Total Volume	128.35	100	133	100	133
Total OI	159.7	133	166	133	166

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
2017-09-01	$27.68	$0.00	11.7%	3.3%	9.8%	4.6%	0.0%	4.9%	3.2%	-4.4K	-31.4K	-385	6.69	145.44	N/A	N/A	13	87	35	98
2017-09-05	$27.34	$26.00	19.1%	3.4%	10.7%	8.7%	17.0%	0.2%	-2.4%	-6.2K	-21.0K	-421	8.46	132.71	N/A	N/A	13	110	35	98
2017-09-06	$27.55	$26.00	19.4%	3.2%	11.1%	5.8%	15.7%	1.4%	-2.3%	-8.6K	13.5K	-461	8.46	136.09	N/A	N/A	13	110	35	121
2017-09-07	$27.61	$26.00	20.0%	3.2%	11.1%	6.1%	18.1%	1.1%	1.0%	-6.9K	16.5K	-505	8.46	139.24	N/A	N/A	13	110	35	121
2017-09-08	$27.53	$26.00	21.1%	3.3%	9.8%	6.7%	18.2%	1.2%	0.3%	-7.6K	20.0K	-504	8.46	140.59	N/A	N/A	13	110	35	121
2017-09-11	$27.94	$26.00	19.2%	2.9%	10.8%	5.6%	15.8%	2.0%	3.6%	-3.8K	2.4K	-426	8.46	130.96	N/A	N/A	13	110	35	121
2017-09-12	$27.96	$26.00	22.2%	3.2%	10.2%	7.3%	19.4%	0.6%	0.2%	-3.3K	3.9K	-412	8.46	136.42	N/A	N/A	13	110	35	121
2017-09-13	$27.97	$26.00	13.3%	3.8%	10.1%	2.3%	16.3%	1.0%	-1.9%	-4.4K	4.0K	-441	4.78	130.27	N/A	N/A	23	110	35	121
2017-09-14	$27.90	$26.00	150.1%	43.0%	10.1%	79.7%	176.5%	181.3%	-54.6%	-1.6K	48.4K	-785	4.78	187.34	N/A	N/A	23	110	45	121
2017-09-15	$27.75	$26.00	11.2%	3.2%	9.7%	1.1%	19.6%	0.8%	1.4%	-4.1K	-3.7K	-513	4.78	135.33	N/A	N/A	23	110	45	121
2017-09-18	$27.87	$26.00	11.3%	3.2%	9.8%	1.2%	20.8%	0.4%	-1.0%	-2.8K	-4.2K	-481	4.78	136.53	N/A	N/A	23	110	45	121
2017-09-19	$27.90	$26.00	11.1%	3.2%	9.7%	1.1%	20.4%	0.5%	-1.0%	-1.1K	-5.5K	-485	4.78	138.54	N/A	N/A	23	110	45	121
2017-09-20	$28.01	$26.00	11.8%	3.4%	9.1%	1.5%	21.0%	1.6%	1.1%	-1.1K	-10.6K	-456	4.78	135.33	N/A	N/A	23	110	45	121
2017-09-21	$27.94	$26.00	12.0%	3.4%	9.1%	1.6%	13.4%	0.6%	0.7%	-2.3K	-17.7K	-483	4.78	125.26	N/A	N/A	23	110	45	121
2017-09-22	$28.03	$26.00	9.3%	2.7%	9.2%	0.0%	13.5%	1.0%	0.6%	1.3K	-14.5K	-426	4.78	123.81	N/A	N/A	23	110	45	121
2017-09-25	$27.97	$26.00	12.4%	3.6%	9.2%	1.8%	14.6%	0.7%	-0.5%	-3.5K	-11.7K	-496	4.78	127.77	N/A	N/A	23	110	45	121
2017-09-26	$27.96	$26.00	12.2%	3.5%	9.0%	1.7%	14.5%	0.8%	-0.1%	-2.6K	-10.2K	-469	4.78	128.72	N/A	N/A	23	110	45	121
2017-09-27	$28.13	$26.00	12.4%	3.6%	8.9%	1.8%	14.1%	0.9%	0.3%	125	-13.3K	-461	4.78	127.65	N/A	N/A	23	110	45	121
2017-09-28	$28.16	$26.00	12.6%	3.6%	8.9%	1.9%	0.0%	1.2%	0.0%	58	-27.5K	-381	4.78	127.65	N/A	N/A	23	110	45	121
2017-09-29	$28.34	$26.00	13.2%	3.8%	8.9%	2.2%	0.0%	2.2%	-0.4%	-2.8K	-19.4K	-493	4.78	122.69	N/A	N/A	23	110	45	121