DBEU Options History — October 2018

In October 2018, DBEU traded between $26.39 and $28.68. ATM implied volatility averaged 17.0%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 4.5% (HV 20d: 12.5%). Max pain ranged from $26.00 to $29.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 0.48.

Notable Days

  • 2018-10-25: Highest Volume — 18 contracts
  • 2018-10-11: Largest IV spike — 41.9% change
  • 2018-10-12: Highest IV Rank — 11.5%
  • 2018-10-12: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.31$26.39$28.68$28.61$27.17
Max Pain$27.13$26.00$29.00$29.00$26.00
ATM IV17.0%13.5%22.3%15.4%19.9%
Expected Move4.6%3.7%6.4%4.4%5.7%
HV 20d12.5%7.4%17.3%8.2%17.3%
HV 60d10.3%8.6%12.5%8.7%12.5%
IV Rank7.8%5.3%11.5%6.7%9.8%
IV Percentile72.8%42.5%92.9%66.7%86.9%
Term Structure-3.6%-11.9%2.3%-2.8%1.0%
VWIV18.1%15.5%23.0%15.5%18.1%
Skew 25d0.9%-6.1%4.4%1.7%0.2%
Skew 10d-0.6%-7.9%5.5%-0.0%1.6%
Call IV 25d16.4%12.7%23.6%14.6%18.5%
Put IV 25d17.2%13.8%23.3%16.3%18.8%
Bid-Ask Spread %144.28124.55157.78131.53141.22
Gamma HHI0.630.411.000.420.50
Net GEX524-2.3K1.7K786226
Net DEX-10.5K-22.1K-2.6K-21.6K-10.1K
Net VEX-52-66-39-42-56
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.001.000.361.00
Total Volume14.3049181518
Total OI14.3489181518

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-10-01$28.61$29.0015.4%4.4%8.2%6.7%15.5%1.7%-2.8%786-21.6K-420.36131.53N/AN/A114114
2018-10-02$28.53$29.0016.8%4.8%8.1%7.6%16.1%1.8%-3.5%827-20.6K-440.36124.55N/AN/A114114
2018-10-03$28.68$29.0014.8%4.2%7.4%6.3%15.6%1.4%-1.5%783-22.1K-390.40139.86N/AN/A104114
2018-10-04$28.32$0.0018.4%3.9%8.6%8.7%0.0%0.8%-3.7%602-18.2K-430.40149.49N/AN/A104104
2018-10-05$28.03$0.0016.8%3.7%9.3%7.6%0.0%1.7%2.3%620-13.0K-560.40148.54N/AN/A104104
2018-10-08$27.88$0.0018.7%3.8%9.2%9.0%0.0%2.1%-2.4%704-12.9K-530.40147.50N/AN/A104104
2018-10-09$27.84$0.0018.2%3.7%9.2%8.6%0.0%1.6%-1.9%711-12.7K-520.40147.47N/AN/A104104
2018-10-10$27.21$0.0014.1%4.0%12.2%5.7%0.0%-2.4%-5.6%629-9.5K-530.40142.99N/AN/A104104
2018-10-11$26.79$0.0020.0%5.7%13.1%9.9%0.0%-1.3%-10.4%759-8.3K-530.40152.18N/AN/A104104
2018-10-12$26.86$0.0022.3%6.4%13.1%11.5%0.0%-0.3%-5.3%512-5.5K-550.40157.78N/AN/A104104
2018-10-15$26.92$0.0014.7%4.2%13.2%6.2%0.0%2.6%-2.7%734-5.3K-510.40142.31N/AN/A104104
2018-10-16$27.32$0.0014.6%4.2%14.1%6.1%0.0%3.4%-2.4%695-8.5K-510.40149.27N/AN/A104104
2018-10-17$27.21$0.0015.2%4.4%14.1%6.5%0.0%2.6%-5.3%702-8.0K-500.40155.08N/AN/A104104
2018-10-18$26.94$0.0013.5%3.9%13.8%5.3%0.0%0.6%-2.9%752-6.5K-490.40137.70N/AN/A104104
2018-10-19$27.05$0.0015.2%4.3%13.7%6.5%0.0%1.5%-3.8%-2.3K-7.7K-470.40147.48N/AN/A104104
2018-10-22$27.01$0.0016.6%4.7%13.7%7.5%0.0%2.2%-4.4%1.6K-12.7K-470.00136.62N/AN/A9090
2018-10-23$26.84$0.0014.5%4.1%13.6%6.0%0.0%1.6%-1.4%1.6K-10.9K-460.00147.49N/AN/A9090
2018-10-24$26.42$0.0018.7%5.4%14.1%9.0%0.0%-4.3%-7.6%1.7K-10.8K-450.00143.76N/AN/A9090
2018-10-25$26.72$26.0015.5%4.5%14.9%6.7%20.0%2.9%-1.7%-188-5.2K-651.00143.58N/AN/A9999
2018-10-26$26.50$26.0017.9%5.1%14.9%8.4%19.8%1.4%-3.8%-443-2.9K-661.00139.39N/AN/A9999
2018-10-29$26.39$26.0021.9%6.3%14.7%11.2%17.0%-6.1%-11.9%234-2.6K-661.00142.56N/AN/A9999
2018-10-30$26.91$26.0016.7%4.8%16.9%7.5%23.0%4.4%-1.2%-145-5.8K-601.00150.13N/AN/A9999
2018-10-31$27.17$26.0019.9%5.7%17.3%9.8%18.1%0.2%1.0%226-10.1K-561.00141.22N/AN/A9999