DBEU Options History — August 2021

In August 2021, DBEU traded between $34.66 and $35.64. ATM implied volatility averaged 17.3%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 8.1% (HV 20d: 9.1%). Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2021-08-17: Highest Volume — 1 contracts
  • 2021-08-09: Largest IV spike — 64.9% change
  • 2021-08-09: Highest IV Rank — 33.5%
  • 2021-08-18: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.28$34.66$35.64$34.66$35.30
ATM IV17.3%11.5%30.7%14.9%12.0%
Expected Move4.5%3.3%6.3%4.3%3.4%
HV 20d9.1%5.5%14.5%14.3%5.5%
HV 60d10.7%10.3%11.6%11.6%10.5%
IV Rank15.2%7.4%33.5%12.0%8.0%
IV Percentile24.7%7.1%59.9%16.3%9.1%
Term Structure-0.1%-5.4%7.6%4.0%4.2%
Skew 25d1.6%-12.5%12.4%-6.8%-0.9%
Skew 10d1.4%-5.1%8.3%-4.7%-5.1%
Call IV 25d17.5%11.7%39.6%23.1%14.1%
Put IV 25d19.1%11.0%27.1%16.4%13.1%
Bid-Ask Spread %135.53117.20159.54130.12128.22
Gamma HHI0.810.501.001.000.52
Net GEX266146439172271
Net DEX-7.1K-9.4K-5.0K-5.1K-8.7K
Net VEX-12-17-6-15-15
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.0450100
Total OI2.4092323

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$34.66$0.0014.9%4.3%14.3%12.0%0.0%-6.8%4.0%172-5.1K-150.00130.12N/AN/A0020
2021-08-03$34.92$0.0018.0%5.1%14.5%16.2%0.0%12.4%-5.4%250-5.8K-110.00142.71N/AN/A0020
2021-08-04$35.00$0.0017.9%5.1%14.3%16.1%0.0%1.2%1.6%160-5.0K-150.00130.84N/AN/A0020
2021-08-05$35.12$0.0021.9%4.9%12.6%21.5%0.0%1.9%2.2%221-5.7K-120.00117.20N/AN/A0020
2021-08-06$35.15$0.0018.6%3.9%12.0%17.1%0.0%2.4%-2.1%242-5.9K-100.00131.46N/AN/A0020
2021-08-09$35.25$0.0030.7%3.7%11.8%33.5%0.0%1.4%6.7%188-5.7K-120.00151.30N/AN/A0020
2021-08-10$35.40$0.0022.8%4.6%11.9%22.8%0.0%0.4%-4.2%219-6.0K-100.00132.11N/AN/A0020
2021-08-11$35.53$0.0019.3%5.5%11.8%18.0%0.0%-0.4%-5.4%146-5.8K-120.00130.68N/AN/A0020
2021-08-12$35.61$0.0013.6%3.9%11.2%10.3%0.0%6.3%7.6%226-5.9K-110.00131.76N/AN/A0020
2021-08-13$35.64$0.0019.4%5.6%10.9%18.1%0.0%7.6%-3.6%248-5.9K-100.00128.61N/AN/A0020
2021-08-16$35.51$0.0012.2%3.5%7.6%8.4%0.0%1.9%-0.5%261-6.5K-60.00128.38N/AN/A0020
2021-08-17$35.41$0.0013.7%3.9%7.2%10.4%0.0%5.0%0.7%172-5.8K-120.00124.76N/AN/A1020
2021-08-18$35.38$0.0021.9%6.3%6.1%21.5%0.0%3.9%0.2%209-5.6K-120.00143.89N/AN/A0020
2021-08-19$35.09$0.0015.2%4.4%7.1%12.4%0.0%2.6%-2.2%439-9.4K-90.00149.19N/AN/A0030
2021-08-20$35.19$0.0015.1%4.3%6.3%12.3%0.0%2.7%-2.3%411-9.4K-90.00151.15N/AN/A0030
2021-08-23$35.34$0.0015.9%4.6%6.4%13.4%0.0%-0.3%-2.9%284-8.9K-140.00150.05N/AN/A0030
2021-08-24$35.33$0.0015.5%4.4%5.9%12.9%0.0%-12.5%-3.4%368-9.3K-110.00159.54N/AN/A0030
2021-08-25$35.31$0.0011.5%3.3%5.7%7.4%0.0%0.6%5.6%328-8.3K-170.00122.23N/AN/A0030
2021-08-26$35.20$0.0018.4%5.3%5.9%16.8%0.0%5.1%0.6%316-8.4K-160.00124.47N/AN/A0030
2021-08-27$35.41$0.0015.6%4.5%5.9%13.0%0.0%-6.4%-2.6%390-9.4K-110.00139.09N/AN/A0030
2021-08-30$35.42$0.0015.4%4.4%5.8%12.7%0.0%7.6%-1.2%320-9.1K-120.00133.86N/AN/A0030
2021-08-31$35.30$0.0012.0%3.4%5.5%8.0%0.0%-0.9%4.2%271-8.7K-150.00128.22N/AN/A0030