DBEU Options History — November 2017 In November 2017, DBEU traded between $28.21 and $29.12. ATM implied volatility averaged 19.6%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 12.7% (HV 20d: 7.0%). Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.43.
Notable Days 2017-11-17 : Highest Volume — 56 contracts2017-11-09 : Largest IV spike — 1786.9% change2017-11-09 : Highest IV Rank — 76.5%2017-11-09 : Largest Expected Move — 41.3%Monthly Statistics Metric Avg Min Max Open Close Price $28.63 $28.21 $29.12 $29.03 $28.43 ATM IV 19.6% 7.6% 144.2% 12.9% 17.7% Expected Move 5.5% 2.2% 41.3% 3.7% 5.1% HV 20d 7.0% 5.2% 8.3% 5.5% 8.2% HV 60d 7.6% 7.2% 8.3% 8.3% 7.2% IV Rank 6.5% 0.0% 76.5% 2.1% 5.7% IV Percentile 34.0% 0.0% 96.0% 23.0% 74.6% Term Structure -5.4% -37.0% 3.2% -0.0% -9.4% Skew 25d 0.4% -1.8% 9.9% 0.7% -0.4% Skew 10d -6.1% -96.4% 9.9% 4.7% -7.0% Call IV 25d 21.6% 7.8% 153.9% 16.8% 20.8% Put IV 25d 22.0% 9.7% 163.7% 17.5% 20.4% Bid-Ask Spread % 147.69 128.32 192.63 146.87 147.31 Gamma HHI 0.31 0.27 0.35 0.29 0.31 Net GEX 2.2K -1.3K 6.8K -468 1.2K Net DEX -53.7K -86.7K -26.1K -28.7K -63.7K Net VEX -461 -538 -398 -403 -527 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.43 0.37 0.65 0.65 0.37 Total Volume 50.429 38 56 38 56 Total OI 88.667 72 102 72 102
Daily Data (21 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 2017-11-01 $29.03 $0.00 12.9% 3.7% 5.5% 2.1% 0.0% 0.7% -0.0% -468 -28.7K -403 0.65 146.87 N/A N/A 23 15 45 27 2017-11-02 $29.12 $0.00 13.2% 3.1% 5.4% 2.3% 0.0% 1.2% 0.8% -979 -38.1K -407 0.47 172.61 N/A N/A 32 15 45 27 2017-11-03 $29.12 $0.00 14.3% 3.1% 5.3% 2.8% 0.0% 0.9% -3.1% -1.3K -64.1K -475 0.47 142.47 N/A N/A 32 15 55 27 2017-11-06 $29.11 $0.00 11.7% 2.9% 5.2% 1.4% 0.0% -1.8% -4.4% 1.5K -65.4K -420 0.47 143.74 N/A N/A 32 15 55 27 2017-11-07 $28.91 $0.00 14.3% 2.7% 5.6% 2.9% 0.0% 0.4% -0.5% -959 -57.5K -461 0.47 139.52 N/A N/A 32 15 55 27 2017-11-08 $28.96 $0.00 7.6% 2.2% 5.6% 0.0% 0.0% 2.5% 3.2% 2.1K -60.8K -398 0.47 136.40 N/A N/A 32 15 55 27 2017-11-09 $28.67 $0.00 144.2% 41.3% 6.7% 76.5% 0.0% 9.9% -37.0% 1.1K -61.0K -481 0.47 192.63 N/A N/A 32 15 55 27 2017-11-10 $28.57 $0.00 10.9% 3.1% 6.8% 1.9% 0.0% -0.7% -2.1% 5.0K -41.2K -404 0.47 149.70 N/A N/A 32 15 55 27 2017-11-13 $28.48 $0.00 14.3% 4.1% 6.9% 3.7% 0.0% 1.3% -1.2% 1.1K -27.6K -436 0.47 143.88 N/A N/A 32 15 55 27 2017-11-14 $28.34 $0.00 13.3% 3.8% 7.1% 3.2% 0.0% -0.8% -3.5% 890 -26.1K -423 0.47 144.74 N/A N/A 32 15 55 27 2017-11-15 $28.21 $0.00 14.8% 4.2% 7.1% 4.0% 0.0% -1.2% -5.6% 3.8K -28.3K -412 0.47 137.24 N/A N/A 32 15 55 27 2017-11-16 $28.44 $0.00 13.7% 3.9% 7.7% 3.4% 0.0% -0.8% -4.0% 848 -26.6K -418 0.47 150.64 N/A N/A 32 15 55 27 2017-11-17 $28.29 $0.00 13.1% 3.7% 7.9% 3.1% 0.0% -1.3% -5.5% 4.0K -31.0K -402 0.37 128.32 N/A N/A 41 15 55 27 2017-11-20 $28.44 $0.00 13.1% 3.8% 8.1% 3.1% 0.0% -0.8% -6.9% 5.3K -69.2K -536 0.37 149.30 N/A N/A 41 15 75 27 2017-11-21 $28.57 $0.00 11.3% 3.2% 8.3% 2.1% 0.0% 0.1% -3.8% 6.8K -81.7K -506 0.37 143.29 N/A N/A 41 15 75 27 2017-11-22 $28.47 $0.00 14.1% 4.0% 8.1% 3.7% 0.0% -1.4% -4.4% 1.5K -60.6K -538 0.37 153.56 N/A N/A 41 15 75 27 2017-11-24 $28.54 $0.00 10.4% 3.0% 7.4% 1.6% 0.0% 1.7% -5.7% 5.9K -81.1K -508 0.37 144.16 N/A N/A 41 15 75 27 2017-11-27 $28.43 $0.00 16.0% 4.6% 7.5% 4.7% 0.0% -1.3% -7.8% 1.5K -61.6K -523 0.37 151.44 N/A N/A 41 15 75 27 2017-11-28 $28.68 $0.00 12.7% 3.6% 8.2% 2.9% 0.0% -0.0% -5.6% 1.2K -66.6K -529 0.37 140.45 N/A N/A 41 15 75 27 2017-11-29 $28.52 $0.00 18.9% 5.4% 8.2% 6.4% 0.0% 0.0% -7.2% 6.4K -86.7K -483 0.37 143.18 N/A N/A 41 15 75 27 2017-11-30 $28.43 $0.00 17.7% 5.1% 8.2% 5.7% 0.0% -0.4% -9.4% 1.2K -63.7K -527 0.37 147.31 N/A N/A 41 15 75 27
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