DLNG Options History — September 2014

In September 2014, DLNG traded between $22.81 and $24.39. ATM implied volatility averaged 25.1%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 3.4% (HV 20d: 21.7%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 6.37.

Notable Days

  • 2014-09-19: Highest Volume — 579 contracts
  • 2014-09-26: Largest IV drop — 36.7% change
  • 2014-09-16: Highest IV Rank — 9.2%
  • 2014-09-22: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.71$22.81$24.39$24.39$23.61
Max Pain$19.88$17.50$22.50$17.50$22.50
ATM IV25.1%18.3%33.0%22.7%26.9%
Expected Move7.9%6.3%10.0%7.7%7.9%
HV 20d21.7%19.2%26.4%26.4%19.2%
HV 60d26.9%23.1%32.5%32.5%23.1%
IV Rank4.6%0.5%9.2%3.2%5.6%
IV Percentile28.9%0.5%63.1%12.4%42.0%
Term Structure1.1%-4.0%11.7%-4.0%11.1%
VWIV29.1%26.3%34.8%27.7%26.3%
Skew 25d5.2%-2.1%16.3%3.4%16.3%
Skew 10d9.9%-14.6%41.4%-5.9%2.8%
Call IV 25d23.2%16.3%30.8%23.1%18.9%
Put IV 25d28.5%23.9%35.2%26.5%35.2%
Bid-Ask Spread %93.5171.15117.88110.1276.53
Gamma HHI0.590.460.850.480.65
Net GEX1.4K-31.6K40.4K-4.5K32.8K
Net DEX-241.1K-743.7K180.8K-288.2K-607.7K
Net VEX-4.1K-4.9K-2.8K-2.8K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.370.0032.500.000.30
Total Volume44.0950579213
Total OI1,373.2381,0441,7351,0441,735

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$24.39$17.5022.7%7.7%26.4%3.2%0.0%3.4%-4.0%-4.5K-288.2K-2.8K0.00110.12N/AN/A20596448
2014-09-03$24.00$17.5024.9%7.5%25.7%4.4%0.0%0.2%-1.9%-8.0K-225.0K-3.1K0.00115.81N/AN/A010598448
2014-09-04$24.10$17.5021.9%7.4%24.5%2.7%0.0%7.6%8.1%-2.0K-258.6K-3.1K32.50112.74N/AN/A4130598458
2014-09-05$23.99$17.5022.3%7.0%24.4%2.9%0.0%2.3%0.7%-12.5K-121.7K-3.8K10.0086.46N/AN/A550602578
2014-09-08$23.77$17.5019.3%7.1%24.7%1.1%0.0%2.6%-1.8%-13.0K-51.4K-4.0K0.0086.11N/AN/A00607628
2014-09-09$23.86$17.5020.9%7.2%20.9%2.1%0.0%1.6%-1.7%-14.7K-48.1K-4.0K0.4071.15N/AN/A104607628
2014-09-10$23.76$17.5023.9%7.3%20.1%3.9%0.0%3.6%-0.1%-13.8K-24.2K-4.0K0.0076.66N/AN/A012597624
2014-09-11$23.88$17.5020.0%6.3%20.0%1.5%0.0%2.6%0.4%-24.4K-9.2K-3.7K0.00115.45N/AN/A00597632
2014-09-12$23.73$17.5024.7%7.5%20.0%4.3%0.0%3.3%2.8%-16.8K1.4K-3.9K0.0083.54N/AN/A00597632
2014-09-15$22.81$17.5025.7%7.6%23.0%4.9%27.7%5.1%-0.6%-31.6K180.8K-3.8K1.91101.96N/AN/A1121597632
2014-09-16$23.12$20.0033.0%9.8%22.2%9.2%0.0%6.1%-2.4%-24.2K161.2K-4.0K0.0095.99N/AN/A00597653
2014-09-17$23.61$20.0032.7%8.7%21.6%9.1%29.2%14.7%-1.6%-19.0K65.1K-4.0K10.0091.78N/AN/A110597653
2014-09-18$23.50$22.5030.1%8.4%21.2%7.5%0.0%6.1%-1.9%-23.7K109.2K-4.0K0.0087.94N/AN/A00590663
2014-09-19$23.60$22.5031.4%8.0%20.9%8.3%27.6%1.0%-1.5%-19.8K74.0K-4.0K0.0079.09N/AN/A5790590663
2014-09-22$23.63$22.5026.1%10.0%20.9%5.2%34.8%0.3%-0.2%36.6K-660.8K-4.9K0.0097.45N/AN/A071,110623
2014-09-23$23.58$22.5027.7%9.0%20.4%6.1%0.0%-2.1%-2.6%39.0K-624.4K-4.7K1.6794.81N/AN/A351,110625
2014-09-24$23.59$22.5025.8%9.2%20.1%5.0%0.0%3.5%0.6%35.3K-626.1K-4.8K13.3391.35N/AN/A3401,107625
2014-09-25$23.74$22.5028.9%6.9%20.3%6.8%0.0%6.6%-1.1%35.9K-660.6K-4.7K0.00117.88N/AN/A001,104625
2014-09-26$23.86$22.5018.3%8.3%20.0%0.5%0.0%10.5%11.7%40.4K-743.7K-4.6K0.0095.89N/AN/A601,104625
2014-09-29$23.77$22.5021.1%7.5%19.4%2.2%0.0%14.5%8.7%36.8K-705.1K-4.6K0.0075.06N/AN/A001,110625
2014-09-30$23.61$22.5026.9%7.9%19.2%5.6%26.3%16.3%11.1%32.8K-607.7K-4.6K0.3076.53N/AN/A1031,110625