DLNG Options History — June 2014

In June 2014, DLNG traded between $22.79 and $25.27. ATM implied volatility averaged 25.1%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 9.9% (HV 20d: 34.9%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 4.68.

Notable Days

  • 2014-06-12: Highest Volume — 628 contracts
  • 2014-06-27: Largest IV spike — 38.2% change
  • 2014-06-27: Highest IV Rank — 6.5%
  • 2014-06-04: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.09$22.79$25.27$23.88$24.25
Max Pain$22.02$20.00$22.50$20.00$22.50
ATM IV25.1%20.5%29.8%25.0%23.4%
Expected Move7.1%5.9%8.6%7.2%6.7%
HV 20d34.9%25.3%43.5%25.6%43.5%
HV 60d28.1%24.5%32.1%25.0%32.1%
IV Rank4.0%1.9%6.5%4.3%3.5%
IV Percentile11.7%0.7%37.1%9.5%9.2%
Term Structure-1.5%-11.5%7.3%2.4%-9.1%
VWIV23.5%12.6%31.7%12.6%21.7%
Skew 25d2.7%-2.8%34.1%0.4%0.5%
Skew 10d6.8%-13.9%78.9%-6.0%0.6%
Call IV 25d27.5%19.6%35.4%26.5%29.6%
Put IV 25d30.2%20.0%65.7%26.9%30.1%
Bid-Ask Spread %108.1297.28118.55117.37106.11
Gamma HHI0.620.300.960.800.32
Net GEX2.1K-34.5K14.2K10.8K2.7K
Net DEX-250.4K-481.5K997.6K-377.1K-396.5K
Net VEX-1.2K-2.4K-527-784-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.680.0040.500.002.36
Total Volume74.3810628137
Total OI572.667293914368914

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$23.88$20.0025.0%7.2%25.6%0.0%0.0%0.4%2.4%10.8K-377.1K-7840.00117.37N/AN/A10236132
2014-06-03$23.58$20.0028.0%8.0%26.3%0.0%0.0%-0.5%-6.6%14.2K-333.8K-7690.00118.18N/AN/A010227132
2014-06-04$23.66$20.0029.8%8.6%26.2%0.0%0.0%-0.6%-11.1%10.7K-314.3K-8820.00118.22N/AN/A00227142
2014-06-05$23.69$20.0027.8%8.0%25.5%0.0%0.0%-1.0%-5.4%11.6K-305.5K-8930.00115.96N/AN/A00227142
2014-06-06$23.79$22.5029.1%7.8%25.3%0.0%0.0%3.9%-1.5%11.9K-329.4K-8360.00111.03N/AN/A00227142
2014-06-09$24.54$22.5024.6%7.7%27.3%4.3%12.6%0.4%-1.0%9.1K-409.1K-6450.14102.16N/AN/A10715227142
2014-06-10$24.27$22.5026.9%6.3%27.1%5.6%23.4%7.7%-0.5%5.6K-323.8K-5790.00107.60N/AN/A1120187157
2014-06-11$24.41$22.5026.6%7.5%26.1%5.5%0.0%0.8%-1.8%3.1K-203.0K-5270.00109.75N/AN/A00136157
2014-06-12$22.79$22.5025.8%7.4%36.4%5.0%25.8%34.1%1.1%6.2K-63.4K-60918.6398.92N/AN/A32596136157
2014-06-13$23.26$22.5021.3%6.1%37.1%2.3%21.8%-2.8%7.3%-34.5K997.6K-1.1K1.33104.32N/AN/A6080160753
2014-06-16$24.04$22.5024.1%6.9%38.7%3.9%0.0%2.5%-2.2%-5.8K-173.8K-1.0K0.00118.55N/AN/A140179313
2014-06-17$23.74$22.5023.4%6.7%39.1%3.6%27.9%2.6%6.7%-5.6K-151.1K-1.1K0.86104.41N/AN/A5043183313
2014-06-18$24.20$22.5025.9%7.4%39.4%5.1%31.7%-0.7%3.0%-3.0K-179.6K-1.4K0.07103.33N/AN/A604226356
2014-06-19$25.27$22.5025.2%7.2%41.7%4.6%25.2%3.9%-1.6%-1.5K-481.5K-8370.5997.28N/AN/A2213270360
2014-06-20$24.74$22.5023.8%6.8%39.9%3.8%26.7%0.4%3.1%2.2K-402.1K-1.5K0.10102.58N/AN/A14615292367
2014-06-23$24.00$22.5021.8%6.3%40.9%2.6%0.0%-0.2%3.5%2.6K-315.2K-1.9K0.09105.92N/AN/A111428363
2014-06-24$24.59$22.5023.0%6.6%41.1%3.3%0.0%-0.3%1.7%5.1K-408.1K-1.9K0.24109.95N/AN/A174439364
2014-06-25$23.96$22.5021.7%6.2%42.0%2.6%0.0%2.1%-8.2%1.8K-316.8K-2.0K40.50109.90N/AN/A281455360
2014-06-26$24.29$22.5020.5%5.9%42.3%1.9%18.2%2.0%0.2%-288-317.4K-2.4K10.00109.57N/AN/A220457433
2014-06-27$24.95$22.5028.4%8.1%42.2%6.5%0.0%2.3%-11.5%-3.1K-454.9K-1.8K0.0099.47N/AN/A70459449
2014-06-30$24.25$22.5023.4%6.7%43.5%3.5%21.7%0.5%-9.1%2.7K-396.5K-2.2K2.36106.11N/AN/A1126465449