DBEU Options History — December 2020

In December 2020, DBEU traded between $29.56 and $30.40. ATM implied volatility averaged 35.0%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 23.2% (HV 20d: 11.7%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2020-12-09: Highest Volume — 3 contracts
  • 2020-12-29: Largest IV spike — 188.0% change
  • 2020-12-07: Highest IV Rank — 36.7%
  • 2020-12-21: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.08$29.56$30.40$29.96$29.87
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV35.0%12.6%60.1%38.7%26.8%
Expected Move8.9%3.6%15.5%11.1%7.7%
HV 20d11.7%8.3%17.6%17.6%11.6%
HV 60d17.2%16.6%17.9%17.9%17.1%
IV Rank20.6%6.4%36.7%23.0%15.4%
IV Percentile26.1%0.8%77.8%26.6%7.1%
Term Structure-6.5%-26.1%71.8%-15.9%2.5%
Skew 25d3.1%-18.1%27.6%-0.7%-10.2%
Skew 10d3.3%-18.5%31.1%-0.7%2.4%
Call IV 25d32.6%14.1%75.1%47.5%51.8%
Put IV 25d35.7%13.1%81.9%46.8%41.6%
Bid-Ask Spread %150.54131.85176.00154.08141.81
Gamma HHI0.910.601.001.001.00
Net GEX2.4K1.0K5.4K1.7K3.1K
Net DEX-22.6K-28.3K-17.5K-19.0K-25.5K
Net VEX-51-59-40-54-51
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.2730300
Total OI14.90913161316

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$29.96$0.0038.7%11.1%17.6%23.0%0.0%-0.7%-15.9%1.7K-19.0K-540.00154.08N/AN/A00130
2020-12-02$30.05$0.0041.4%11.9%15.8%24.7%0.0%-18.1%-17.9%2.1K-18.7K-530.00155.77N/AN/A00130
2020-12-03$29.93$30.0039.2%5.2%15.9%23.4%0.0%0.8%-3.2%2.5K-17.5K-520.00151.88N/AN/A00130
2020-12-04$30.21$30.0053.7%10.3%15.8%32.6%0.0%2.6%-20.3%1.2K-20.4K-520.00170.56N/AN/A00130
2020-12-07$30.07$30.0060.1%10.7%16.1%36.7%0.0%7.7%-17.1%1.3K-19.6K-500.00169.83N/AN/A00130
2020-12-08$30.22$30.0046.5%5.2%11.4%28.0%0.0%1.0%-2.5%2.7K-20.2K-490.00168.16N/AN/A00130
2020-12-09$30.22$30.0021.1%6.1%10.7%11.8%0.0%5.2%-7.5%2.9K-20.2K-480.00136.26N/AN/A30130
2020-12-10$30.21$30.0034.9%10.0%10.5%20.6%0.0%25.9%-22.2%2.0K-23.4K-530.00137.37N/AN/A00160
2020-12-11$30.05$30.0028.4%8.2%9.3%16.5%0.0%27.6%-17.7%2.2K-24.9K-510.00155.04N/AN/A00160
2020-12-14$29.97$30.0037.5%10.8%8.3%22.3%0.0%9.3%-26.1%1.9K-22.1K-490.00151.10N/AN/A00160
2020-12-15$30.24$30.0031.5%9.0%8.6%18.4%0.0%18.3%-8.0%2.3K-23.6K-470.00134.49N/AN/A00160
2020-12-16$30.37$30.0036.4%10.4%8.6%21.6%0.0%-1.7%-21.6%2.1K-24.6K-460.00158.69N/AN/A00160
2020-12-17$30.40$30.0027.5%7.9%8.5%15.9%0.0%-8.9%71.8%2.4K-25.4K-450.00158.28N/AN/A00160
2020-12-18$29.97$30.0034.9%10.0%10.1%20.6%0.0%-4.7%-19.7%1.5K-19.0K-420.00151.97N/AN/A00160
2020-12-21$29.56$30.0054.1%15.5%11.3%32.9%0.0%6.9%-11.7%1.0K-18.6K-400.00176.00N/AN/A30130
2020-12-22$29.71$30.0024.5%7.0%11.4%13.9%0.0%7.6%-5.0%2.7K-21.4K-590.00131.85N/AN/A00160
2020-12-23$29.97$30.0033.9%9.7%11.5%20.0%0.0%22.3%-4.2%2.0K-26.2K-590.00137.24N/AN/A00160
2020-12-24$29.97$30.0013.5%3.9%11.5%6.9%0.0%-0.4%3.5%5.1K-24.4K-580.00145.61N/AN/A00160
2020-12-28$30.24$30.0012.6%3.6%11.9%6.4%0.0%-13.6%25.5%5.4K-28.3K-530.00138.76N/AN/A00160
2020-12-29$30.35$30.0036.3%10.4%11.1%21.5%0.0%5.0%-5.8%2.3K-27.1K-530.00136.23N/AN/A00160
2020-12-30$30.20$30.0035.5%10.2%10.9%21.0%0.0%-14.1%-19.5%2.4K-26.3K-520.00150.81N/AN/A00160
2020-12-31$29.87$30.0026.8%7.7%11.6%15.4%0.0%-10.2%2.5%3.1K-25.5K-510.00141.81N/AN/A00160