DBEU Options History — March 2018

In March 2018, DBEU traded between $26.66 and $27.92. ATM implied volatility averaged 24.3%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 10.6% (HV 20d: 13.7%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.05.

Notable Days

  • 2018-03-20: Highest Volume — 23 contracts
  • 2018-03-15: Largest IV spike — 1133.8% change
  • 2018-03-15: Highest IV Rank — 98.8%
  • 2018-03-15: Largest Expected Move — 42.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.43$26.66$27.92$27.35$27.48
Max Pain$26.00$26.00$26.00$26.00$26.00
ATM IV24.3%11.9%148.4%19.6%21.8%
Expected Move6.1%3.2%42.6%5.6%6.2%
HV 20d13.7%10.8%20.8%20.8%14.1%
HV 60d14.1%13.7%15.2%13.7%15.2%
IV Rank12.8%4.1%98.8%9.5%11.0%
IV Percentile69.8%22.6%99.6%87.3%93.7%
Term Structure-5.0%-62.0%0.8%-6.4%-2.3%
VWIV21.2%10.9%148.4%13.7%19.2%
Skew 25d2.3%-0.4%9.6%2.7%3.0%
Skew 10d1.0%-4.5%9.6%2.4%-2.2%
Call IV 25d21.6%11.2%159.5%19.5%22.1%
Put IV 25d23.8%11.8%169.1%22.2%25.1%
Bid-Ask Spread %137.43122.79196.53137.52153.98
Gamma HHI0.510.490.550.510.49
Net GEX11.1K1.2K14.4K9.3K9.7K
Net DEX-81.4K-104.6K-56.2K-78.2K-79.9K
Net VEX-169-208-143-208-154
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.050.050.050.050.05
Total Volume21.76221232123
Total OI55.66755575557

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$27.35$0.0019.6%5.6%20.8%9.5%0.0%2.7%-6.4%9.3K-78.2K-2080.05137.52N/AN/A201541
2018-03-02$27.24$0.0020.3%5.8%20.8%10.0%0.0%2.7%-5.7%10.5K-68.2K-2040.05131.94N/AN/A201541
2018-03-05$27.41$26.0021.2%4.2%20.2%10.6%13.7%4.9%-0.8%10.6K-69.9K-1940.05122.79N/AN/A201541
2018-03-06$27.47$26.0023.8%4.3%15.9%12.4%13.6%3.1%0.2%10.1K-82.2K-1960.05135.79N/AN/A201541
2018-03-07$27.54$26.0019.4%3.2%13.7%9.4%13.6%1.7%0.8%11.1K-77.7K-1920.05132.47N/AN/A201541
2018-03-08$27.75$26.0016.4%3.5%14.0%7.3%12.4%0.7%-0.3%12.0K-93.6K-1780.05124.86N/AN/A201541
2018-03-09$27.92$26.0020.2%4.2%10.8%9.9%14.3%1.4%-2.6%10.6K-97.1K-1800.05132.05N/AN/A201541
2018-03-12$27.89$26.0024.5%3.9%10.8%12.9%13.9%1.7%-1.7%11.0K-103.3K-1600.05134.29N/AN/A201541
2018-03-13$27.55$26.0034.9%3.4%11.5%20.1%10.9%1.2%-0.8%11.9K-104.6K-1480.05129.12N/AN/A201541
2018-03-14$27.62$26.0012.0%3.5%11.3%4.2%11.4%1.3%0.1%12.6K-102.7K-1490.05135.80N/AN/A201541
2018-03-15$27.75$26.00148.4%42.6%10.8%98.8%148.4%9.6%-62.0%1.2K-89.8K-1840.05196.53N/AN/A201541
2018-03-16$27.82$26.0012.4%3.5%10.8%4.5%12.8%0.8%-1.0%12.6K-100.3K-1540.05133.66N/AN/A201541
2018-03-19$27.51$26.0011.9%3.4%11.1%4.1%13.5%-0.2%-2.0%13.5K-83.8K-1590.05138.24N/AN/A201541
2018-03-20$27.64$26.0012.2%3.5%11.2%4.4%12.6%1.5%-1.1%12.9K-90.2K-1540.05146.61N/AN/A221541
2018-03-21$27.42$26.0015.0%4.3%11.5%6.3%15.6%-0.4%-4.1%11.0K-79.8K-1730.05142.33N/AN/A221561
2018-03-22$26.92$26.0015.5%4.4%13.1%6.7%14.2%4.3%-2.8%12.2K-64.5K-1620.05123.97N/AN/A221561
2018-03-23$26.66$26.0013.5%3.9%12.8%5.3%13.8%2.1%-1.3%13.9K-62.3K-1530.05129.42N/AN/A221561
2018-03-26$27.00$26.0015.8%4.5%13.6%6.9%15.8%2.4%-2.9%12.5K-59.5K-1490.05126.79N/AN/A221561
2018-03-27$26.83$26.0017.3%5.0%13.5%7.9%19.9%-0.4%-8.8%9.3K-56.2K-1490.05137.65N/AN/A221561
2018-03-28$27.24$26.0014.2%4.1%14.7%5.8%13.0%3.5%0.1%14.4K-65.6K-1430.05140.23N/AN/A221561
2018-03-29$27.48$26.0021.8%6.2%14.1%11.0%19.2%3.0%-2.3%9.7K-79.9K-1540.05153.98N/AN/A221561