DBEU Options History — September 2018 In September 2018, DBEU traded between $27.81 and $28.80. ATM implied volatility averaged 14.7%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 5.7% (HV 20d: 9.1%). Max pain ranged from $29.00 to $29.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.08.
Notable Days 2018-09-25 : Highest Volume — 15 contracts2018-09-28 : Largest IV spike — 18.7% change2018-09-04 : Highest IV Rank — 8.6%2018-09-04 : Largest Expected Move — 5.2%Monthly Statistics Metric Avg Min Max Open Close Price $28.29 $27.81 $28.80 $28.36 $28.55 Max Pain $29.00 $29.00 $29.00 $29.00 $29.00 ATM IV 14.7% 12.4% 18.3% 18.3% 15.1% Expected Move 4.0% 3.5% 5.2% 5.2% 4.3% HV 20d 9.1% 7.8% 10.6% 10.3% 8.6% HV 60d 9.7% 8.5% 10.9% 10.9% 8.7% IV Rank 6.2% 4.6% 8.6% 8.6% 6.5% IV Percentile 57.2% 31.3% 82.1% 82.1% 65.5% Term Structure -2.8% -6.8% 1.6% -3.1% -2.8% VWIV 13.2% 10.7% 14.9% 13.4% 14.9% Skew 25d 1.5% -1.0% 4.4% 4.4% -1.0% Skew 10d 0.2% -6.4% 7.2% 7.2% -6.4% Call IV 25d 13.7% 11.0% 18.2% 15.4% 16.1% Put IV 25d 15.1% 11.8% 19.9% 19.8% 15.1% Bid-Ask Spread % 138.39 125.01 148.36 147.22 138.13 Gamma HHI 0.56 0.43 0.64 0.58 0.43 Net GEX 1.4K 774 1.6K 1.3K 774 Net DEX -21.0K -24.5K -18.2K -21.8K -20.9K Net VEX -50 -59 -38 -53 -45 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.08 0.00 0.36 0.00 0.36 Total Volume 11.842 11 15 11 15 Total OI 11.632 11 15 11 15
Daily Data (19 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 2018-09-04 $28.36 $0.00 18.3% 5.2% 10.3% 8.6% 0.0% 4.4% -3.1% 1.3K -21.8K -53 0.00 147.22 N/A N/A 11 0 11 0 2018-09-05 $28.09 $0.00 16.5% 4.7% 10.5% 7.3% 0.0% 1.7% -2.7% 1.4K -20.5K -55 0.00 137.26 N/A N/A 11 0 11 0 2018-09-06 $27.93 $29.00 16.0% 3.9% 10.6% 7.0% 13.4% 1.3% -3.4% 1.5K -19.7K -56 0.00 140.72 N/A N/A 11 0 11 0 2018-09-07 $27.81 $29.00 16.5% 3.5% 10.5% 7.4% 13.2% 1.5% -1.3% 1.5K -18.2K -58 0.00 141.33 N/A N/A 11 0 11 0 2018-09-10 $27.98 $29.00 18.0% 4.2% 9.9% 8.4% 12.9% 2.2% -4.6% 1.5K -20.1K -54 0.00 141.09 N/A N/A 11 0 11 0 2018-09-11 $27.98 $29.00 16.9% 4.1% 9.9% 7.6% 13.7% 0.8% -2.9% 1.4K -18.5K -59 0.00 138.14 N/A N/A 11 0 11 0 2018-09-12 $28.03 $29.00 14.6% 4.2% 9.9% 6.0% 12.8% 2.0% -2.8% 1.5K -19.3K -57 0.00 140.57 N/A N/A 11 0 11 0 2018-09-13 $28.07 $29.00 13.4% 3.9% 8.0% 5.2% 13.0% 1.8% -3.8% 1.5K -20.1K -53 0.00 148.36 N/A N/A 11 0 11 0 2018-09-14 $28.16 $29.00 14.0% 4.0% 7.8% 5.6% 11.9% 2.5% -4.5% 1.5K -20.6K -53 0.00 137.35 N/A N/A 11 0 11 0 2018-09-17 $28.03 $29.00 14.0% 4.0% 7.9% 5.6% 13.9% 0.9% -6.8% 1.4K -20.1K -52 0.00 125.01 N/A N/A 11 0 11 0 2018-09-18 $28.22 $29.00 13.4% 3.8% 8.2% 5.2% 13.8% 1.5% -3.3% 1.5K -20.6K -51 0.00 130.76 N/A N/A 11 0 11 0 2018-09-19 $28.29 $29.00 13.8% 4.0% 8.2% 5.5% 12.8% -0.0% -3.8% 1.5K -21.2K -50 0.00 136.28 N/A N/A 11 0 11 0 2018-09-20 $28.53 $29.00 12.4% 3.6% 8.8% 4.6% 10.7% 0.8% 1.6% 1.6K -21.6K -51 0.00 143.58 N/A N/A 11 0 11 0 2018-09-21 $28.68 $29.00 12.8% 3.7% 9.0% 4.8% 12.3% 0.2% -2.0% 1.4K -24.4K -41 0.00 126.95 N/A N/A 11 0 11 0 2018-09-24 $28.55 $29.00 13.9% 4.0% 9.1% 5.6% 13.1% 4.0% -2.0% 1.4K -23.8K -40 0.00 137.24 N/A N/A 11 0 11 0 2018-09-25 $28.64 $29.00 13.8% 4.0% 8.4% 5.5% 13.8% 2.1% -2.3% 1.4K -24.5K -38 0.36 144.50 N/A N/A 11 4 11 0 2018-09-26 $28.72 $29.00 14.1% 4.1% 8.5% 5.8% 14.7% 0.4% -2.3% 796 -22.2K -43 0.36 138.82 N/A N/A 11 4 11 4 2018-09-27 $28.80 $29.00 12.7% 3.7% 8.6% 4.8% 13.5% 1.0% -0.7% 849 -21.6K -49 0.36 136.17 N/A N/A 11 4 11 4 2018-09-28 $28.55 $29.00 15.1% 4.3% 8.6% 6.5% 14.9% -1.0% -2.8% 774 -20.9K -45 0.36 138.13 N/A N/A 11 4 11 4
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