DBEU Options History — December 2019 In December 2019, DBEU traded between $30.14 and $31.42. ATM implied volatility averaged 48.2%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 39.0% (HV 20d: 9.2%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days.
Notable Days 2019-12-23 : Largest IV spike — 132.0% change2019-12-09 : Highest IV Rank — 36.8%2019-12-02 : Largest Expected Move — 17.5%Monthly Statistics Metric Avg Min Max Open Close Price $30.88 $30.14 $31.42 $30.35 $31.04 Max Pain $30.00 $30.00 $30.00 $30.00 $30.00 ATM IV 48.2% 11.8% 79.0% 61.0% 45.3% Expected Move 12.4% 3.4% 17.5% 17.5% 13.0% HV 20d 9.2% 7.0% 10.5% 7.4% 9.4% HV 60d 10.1% 8.6% 10.6% 9.9% 8.7% IV Rank 20.7% 1.7% 36.8% 27.4% 19.2% IV Percentile 68.9% 21.0% 82.1% 79.4% 66.7% Term Structure -4.9% -30.5% 87.6% -25.7% -3.8% Skew 25d 3.3% -64.0% 39.1% 1.9% -9.0% Skew 10d -1.3% -64.5% 49.1% 1.9% -41.4% Call IV 25d 49.2% 15.6% 79.2% 75.0% 70.2% Put IV 25d 52.5% 13.5% 77.3% 76.8% 61.3% Bid-Ask Spread % 192.86 178.80 200.00 198.89 187.38 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 640 452 1.8K 548 941 Net DEX -11.3K -15.3K -9.1K -9.5K -11.9K Net VEX -20 -25 -12 -25 -14 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 6 6 6 6 6
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 2019-12-02 $30.35 $0.00 61.0% 17.5% 7.4% 27.4% 0.0% 1.9% -25.7% 548 -9.5K -25 0.00 198.89 N/A N/A 0 0 6 0 2019-12-03 $30.14 $0.00 43.7% 12.5% 7.0% 18.3% 0.0% -64.0% -23.4% 528 -9.1K -25 0.00 200.00 N/A N/A 0 0 6 0 2019-12-04 $30.38 $0.00 48.1% 13.8% 7.6% 20.6% 0.0% -2.7% -30.5% 500 -9.6K -25 0.00 193.66 N/A N/A 0 0 6 0 2019-12-05 $30.30 $30.00 67.4% 12.8% 7.6% 30.7% 0.0% 39.1% -15.5% 545 -9.4K -24 0.00 199.40 N/A N/A 0 0 6 0 2019-12-06 $30.61 $30.00 69.4% 12.6% 8.5% 31.8% 0.0% -33.5% -14.2% 524 -10.1K -24 0.00 196.00 N/A N/A 0 0 6 0 2019-12-09 $30.49 $30.00 79.0% 13.2% 8.6% 36.8% 0.0% 4.3% -18.7% 541 -9.8K -23 0.00 198.82 N/A N/A 0 0 6 0 2019-12-10 $30.44 $30.00 70.2% 13.3% 8.5% 32.2% 0.0% -3.2% -17.3% 591 -9.7K -23 0.00 198.47 N/A N/A 0 0 6 0 2019-12-11 $30.51 $30.00 48.1% 13.8% 8.6% 20.6% 0.0% -10.0% -15.1% 452 -10.5K -22 0.00 196.17 N/A N/A 0 0 6 0 2019-12-12 $30.76 $30.00 46.6% 13.4% 9.1% 19.9% 0.0% 6.8% -16.0% 516 -10.4K -22 0.00 197.57 N/A N/A 0 0 6 0 2019-12-13 $30.97 $30.00 46.6% 13.4% 9.3% 19.8% 0.0% 7.8% -18.8% 524 -10.8K -22 0.00 196.53 N/A N/A 0 0 6 0 2019-12-16 $31.31 $30.00 47.1% 13.5% 9.9% 20.1% 0.0% 8.8% -18.0% 550 -11.6K -21 0.00 194.41 N/A N/A 0 0 6 0 2019-12-17 $31.29 $30.00 47.8% 13.7% 10.0% 20.5% 0.0% 8.2% -18.8% 632 -11.7K -20 0.00 195.65 N/A N/A 0 0 6 0 2019-12-18 $31.03 $30.00 49.3% 14.1% 10.5% 21.3% 0.0% 17.7% -17.2% 471 -11.6K -20 0.00 195.68 N/A N/A 0 0 6 0 2019-12-19 $31.05 $30.00 15.2% 4.4% 10.2% 3.4% 0.0% 6.1% 15.3% 1.8K -15.3K -12 0.00 182.84 N/A N/A 0 0 6 0 2019-12-20 $31.26 $30.00 11.8% 3.4% 10.4% 1.7% 0.0% 12.5% 18.9% 810 -13.5K -17 0.00 178.80 N/A N/A 0 0 6 0 2019-12-23 $31.37 $30.00 27.5% 7.9% 10.3% 9.8% 0.0% 19.6% 87.6% 630 -12.9K -17 0.00 185.69 N/A N/A 0 0 6 0 2019-12-24 $31.35 $30.00 45.7% 13.1% 10.1% 19.4% 0.0% -19.9% 47.1% 600 -12.7K -18 0.00 182.79 N/A N/A 0 0 6 0 2019-12-26 $31.42 $30.00 49.9% 14.3% 10.1% 21.5% 0.0% 36.7% -21.1% 545 -12.6K -17 0.00 185.31 N/A N/A 0 0 6 0 2019-12-27 $31.31 $30.00 45.3% 13.0% 10.3% 19.1% 0.0% 11.7% 6.9% 571 -12.5K -17 0.00 190.00 N/A N/A 0 0 6 0 2019-12-30 $31.05 $30.00 47.8% 13.7% 10.4% 20.5% 0.0% 31.0% -5.1% 619 -12.0K -15 0.00 195.95 N/A N/A 0 0 6 0 2019-12-31 $31.04 $30.00 45.3% 13.0% 9.4% 19.2% 0.0% -9.0% -3.8% 941 -11.9K -14 0.00 187.38 N/A N/A 0 0 6 0
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