DBEU Options History — April 2018 In April 2018, DBEU traded between $27.08 and $28.73. ATM implied volatility averaged 13.6%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 0.9% (HV 20d: 14.4%). 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 7 of 21 days. Put/call ratio averaged 0.03.
Notable Days 2018-04-02 : Highest Volume — 23 contracts2018-04-11 : Largest IV drop — 26.8% change2018-04-04 : Highest IV Rank — 8.6%2018-04-04 : Largest Expected Move — 5.3%Monthly Statistics Metric Avg Min Max Open Close Price $28.07 $27.08 $28.73 $27.08 $28.71 Max Pain $26.00 $26.00 $26.00 $26.00 $26.00 ATM IV 13.6% 10.9% 18.3% 14.0% 12.5% Expected Move 3.7% 3.1% 5.3% 4.0% 3.6% HV 20d 14.4% 9.4% 16.4% 15.0% 9.4% HV 60d 15.8% 15.3% 16.0% 15.4% 15.9% IV Rank 5.3% 3.5% 8.6% 5.6% 4.6% IV Percentile 42.5% 10.7% 80.6% 50.8% 34.5% Term Structure -0.8% -3.3% 2.1% -1.3% -2.7% VWIV 15.9% 14.6% 17.0% 16.0% 14.6% Skew 25d 1.5% -2.1% 5.5% 0.2% 2.9% Skew 10d 1.8% -1.6% 8.2% -0.7% 8.2% Call IV 25d 13.3% 9.9% 19.3% 17.3% 12.8% Put IV 25d 14.8% 11.0% 24.7% 17.5% 15.7% Bid-Ask Spread % 141.88 131.44 189.82 137.80 145.29 Gamma HHI 0.65 0.48 1.00 0.56 0.51 Net GEX 9.2K 265 16.0K 14.4K 540 Net DEX -78.2K -155.4K -1.9K -60.3K -4.4K Net VEX -60 -130 -14 -125 -18 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.03 0.00 0.05 0.05 0.00 Total Volume 17.286 2 23 23 4 Total OI 41.381 2 57 57 3
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 2018-04-02 $27.08 $26.00 14.0% 4.0% 15.0% 5.6% 16.0% 0.2% -1.3% 14.4K -60.3K -125 0.05 137.80 N/A N/A 22 1 56 1 2018-04-03 $27.33 $26.00 16.8% 4.8% 15.2% 7.6% 17.0% 1.8% -3.3% 14.4K -74.5K -126 0.05 147.09 N/A N/A 22 1 56 1 2018-04-04 $27.41 $26.00 18.3% 5.3% 15.2% 8.6% 14.6% 5.5% 0.1% 11.1K -77.8K -130 0.05 137.86 N/A N/A 22 1 56 1 2018-04-05 $27.79 $0.00 14.3% 3.3% 16.0% 5.8% 0.0% 2.2% 1.3% 15.0K -101.7K -108 0.05 140.30 N/A N/A 22 1 56 1 2018-04-06 $27.56 $0.00 14.4% 3.4% 16.0% 5.9% 0.0% 1.1% 1.9% 16.0K -88.2K -108 0.05 131.44 N/A N/A 22 1 56 1 2018-04-09 $27.77 $0.00 16.7% 3.4% 16.1% 7.4% 0.0% 1.2% 2.1% 15.0K -100.4K -97 0.05 138.62 N/A N/A 22 1 56 1 2018-04-10 $27.99 $0.00 17.6% 4.1% 16.4% 8.1% 0.0% 1.6% -0.7% 13.6K -111.8K -83 0.05 134.14 N/A N/A 22 1 56 1 2018-04-11 $27.82 $0.00 12.8% 3.7% 15.9% 4.8% 0.0% 0.9% 0.3% 14.5K -102.7K -87 0.05 136.33 N/A N/A 22 1 56 1 2018-04-12 $28.03 $0.00 13.9% 4.0% 16.1% 5.5% 0.0% 2.0% -2.0% 13.3K -114.0K -76 0.05 136.77 N/A N/A 22 1 56 1 2018-04-13 $28.01 $0.00 12.4% 3.6% 16.0% 4.5% 0.0% 0.3% -2.0% 13.9K -114.6K -69 0.05 137.13 N/A N/A 22 1 56 1 2018-04-16 $27.99 $0.00 13.2% 3.8% 16.0% 5.0% 0.0% 1.2% 0.0% 14.3K -114.4K -56 0.05 141.22 N/A N/A 22 1 56 1 2018-04-17 $28.24 $0.00 10.9% 3.1% 15.7% 3.5% 0.0% 2.0% 0.6% 12.6K -132.0K -36 0.05 132.88 N/A N/A 22 1 56 1 2018-04-18 $28.37 $0.00 12.1% 3.5% 15.7% 4.3% 0.0% 0.7% -2.1% 10.7K -135.4K -34 0.05 148.51 N/A N/A 22 1 56 1 2018-04-19 $28.37 $0.00 12.3% 3.5% 15.3% 4.5% 0.0% -2.1% -1.8% 12.5K -142.5K -25 0.05 189.82 N/A N/A 22 1 56 1 2018-04-20 $28.40 $0.00 12.9% 3.7% 13.3% 4.9% 0.0% 1.4% -1.4% 265 -155.4K -15 0.05 147.67 N/A N/A 22 1 56 1 2018-04-23 $28.51 $0.00 11.7% 3.3% 12.5% 4.0% 0.0% 1.6% -1.0% 303 -2.0K -15 0.00 144.30 N/A N/A 2 0 2 0 2018-04-24 $28.30 $0.00 12.0% 3.5% 12.6% 4.2% 0.0% 0.1% -0.7% 276 -1.9K -14 0.00 136.39 N/A N/A 2 0 2 0 2018-04-25 $28.36 $0.00 12.5% 3.6% 12.1% 4.6% 0.0% 0.1% -1.3% 273 -1.9K -14 0.00 135.15 N/A N/A 2 0 2 0 2018-04-26 $28.63 $0.00 11.7% 3.4% 11.5% 4.0% 0.0% 3.3% -1.7% 288 -2.2K -15 0.00 140.11 N/A N/A 4 0 2 0 2018-04-27 $28.73 $0.00 12.1% 3.5% 11.3% 4.3% 0.0% 2.5% -2.0% 505 -4.5K -18 0.00 140.59 N/A N/A 4 0 3 0 2018-04-30 $28.71 $0.00 12.5% 3.6% 9.4% 4.6% 0.0% 2.9% -2.7% 540 -4.4K -18 0.00 145.29 N/A N/A 4 0 3 0
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