DBEU Options History — May 2020 In May 2020, DBEU traded between $25.19 and $27.21. ATM implied volatility averaged 43.5%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 17.3% (HV 20d: 26.2%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days.
Notable Days 2020-05-12 : Largest IV spike — 81.3% change2020-05-12 : Highest IV Rank — 47.2%2020-05-14 : Largest Expected Move — 14.4%Monthly Statistics Metric Avg Min Max Open Close Price $25.94 $25.19 $27.21 $25.22 $27.00 Max Pain $24.10 $24.00 $26.00 $26.00 $24.00 ATM IV 43.5% 29.0% 95.9% 47.0% 45.1% Expected Move 10.2% 7.5% 14.4% 13.5% 12.9% HV 20d 26.2% 21.3% 33.5% 33.5% 22.8% HV 60d 55.7% 55.2% 56.4% 55.5% 55.2% IV Rank 20.7% 13.3% 47.2% 22.5% 21.5% IV Percentile 38.7% 23.0% 79.8% 48.0% 42.1% Term Structure 2.3% -19.1% 27.8% -13.2% 4.5% Skew 25d 8.0% 0.7% 26.0% 16.9% 3.4% Skew 10d 6.2% -13.8% 27.6% 2.3% 12.5% Call IV 25d 31.5% 25.0% 49.7% 39.6% 49.7% Put IV 25d 39.5% 28.4% 56.5% 56.5% 53.1% Bid-Ask Spread % 148.69 117.67 168.49 119.99 167.49 Gamma HHI 0.75 0.50 1.00 0.50 1.00 Net GEX 219 105 349 255 119 Net DEX -4.5K -5.4K -3.4K -4.3K -4.6K Net VEX -5 -9 -2 -9 -3 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 2.55 2 3 3 2
Daily Data (20 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 2020-05-01 $25.22 $26.00 47.0% 13.5% 33.5% 22.5% 0.0% 16.9% -13.2% 255 -4.3K -9 0.00 119.99 N/A N/A 0 0 3 0 2020-05-04 $25.22 $24.00 41.6% 8.1% 32.6% 19.7% 0.0% 1.7% 27.8% 337 -4.3K -8 0.00 158.77 N/A N/A 0 0 3 0 2020-05-05 $25.33 $24.00 42.7% 8.1% 27.3% 20.3% 0.0% 2.7% 27.0% 312 -4.5K -8 0.00 158.94 N/A N/A 0 0 3 0 2020-05-06 $25.35 $24.00 43.4% 8.3% 27.3% 20.6% 0.0% 3.3% -3.4% 315 -4.5K -7 0.00 157.41 N/A N/A 0 0 3 0 2020-05-07 $25.68 $24.00 40.7% 7.5% 27.5% 19.3% 0.0% 3.5% -4.6% 338 -5.0K -7 0.00 154.61 N/A N/A 0 0 3 0 2020-05-08 $25.98 $24.00 41.8% 7.6% 26.7% 19.8% 0.0% 3.5% -3.8% 348 -5.4K -6 0.00 159.58 N/A N/A 0 0 3 0 2020-05-11 $26.03 $24.00 52.9% 8.0% 26.0% 25.4% 0.0% 5.0% -2.1% 323 -5.3K -6 0.00 156.12 N/A N/A 0 0 3 0 2020-05-12 $25.78 $24.00 95.9% 9.3% 26.0% 47.2% 0.0% 2.2% 9.5% 265 -5.0K -6 0.00 168.49 N/A N/A 0 0 3 0 2020-05-13 $25.32 $24.00 41.9% 12.0% 23.9% 19.9% 0.0% 15.7% -14.0% 349 -4.1K -6 0.00 120.09 N/A N/A 0 0 3 0 2020-05-14 $25.19 $24.00 50.3% 14.4% 24.0% 24.1% 0.0% 18.5% 8.4% 255 -4.0K -6 0.00 146.78 N/A N/A 0 0 3 0 2020-05-15 $25.23 $24.00 39.4% 11.3% 21.3% 18.6% 0.0% 26.0% -19.1% 134 -3.4K -6 0.00 139.17 N/A N/A 0 0 3 0 2020-05-18 $26.28 $24.00 39.6% 11.4% 25.6% 18.7% 0.0% 9.1% 2.2% 112 -4.1K -5 0.00 146.83 N/A N/A 0 0 2 0 2020-05-19 $25.90 $24.00 29.0% 8.3% 25.5% 13.4% 0.0% 7.9% 9.2% 127 -3.7K -5 0.00 148.67 N/A N/A 0 0 2 0 2020-05-20 $26.26 $24.00 42.5% 12.2% 25.6% 20.2% 0.0% 3.7% 9.1% 125 -4.0K -5 0.00 151.95 N/A N/A 0 0 2 0 2020-05-21 $26.11 $24.00 39.5% 11.3% 25.7% 18.6% 0.0% 10.0% -3.9% 149 -4.3K -4 0.00 117.67 N/A N/A 0 0 2 0 2020-05-22 $26.09 $24.00 29.0% 8.3% 25.4% 13.3% 0.0% 12.2% 18.1% 168 -4.4K -3 0.00 145.82 N/A N/A 0 0 2 0 2020-05-26 $26.65 $24.00 33.8% 9.7% 26.1% 15.8% 0.0% 7.5% -2.6% 110 -4.6K -3 0.00 146.31 N/A N/A 0 0 2 0 2020-05-27 $26.97 $24.00 33.6% 9.6% 26.3% 15.7% 0.0% 0.7% 5.8% 135 -4.8K -2 0.00 158.80 N/A N/A 0 0 2 0 2020-05-28 $27.21 $24.00 41.0% 11.7% 25.1% 19.4% 0.0% 6.6% -8.2% 105 -4.9K -2 0.00 150.32 N/A N/A 0 0 2 0 2020-05-29 $27.00 $24.00 45.1% 12.9% 22.8% 21.5% 0.0% 3.4% 4.5% 119 -4.6K -3 0.00 167.49 N/A N/A 0 0 2 0
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