DLNG Options History — March 2015

In March 2015, DLNG traded between $19.17 and $20.66. ATM implied volatility averaged 32.8%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 3.1% (HV 20d: 29.7%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.48.

Notable Days

  • 2015-03-06: Highest Volume — 414 contracts
  • 2015-03-26: Largest IV spike — 22.1% change
  • 2015-03-04: Highest IV Rank — 12.9%
  • 2015-03-04: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.00$19.17$20.66$20.16$19.34
Max Pain$19.20$15.00$20.00$17.50$20.00
ATM IV32.8%27.2%36.6%33.3%35.0%
Expected Move9.4%7.8%10.5%9.5%10.0%
HV 20d29.7%21.7%35.6%24.1%35.6%
HV 60d41.7%35.7%46.8%46.8%35.7%
IV Rank10.2%6.2%12.9%10.5%11.7%
IV Percentile56.3%31.3%69.0%59.5%65.5%
Term Structure-0.5%-8.3%11.7%-2.2%-2.4%
VWIV34.2%27.3%40.8%34.2%40.8%
Skew 25d5.1%-5.2%22.1%5.7%-3.3%
Skew 10d7.3%-2.3%36.0%8.4%-2.3%
Call IV 25d29.2%18.7%40.5%27.7%40.5%
Put IV 25d34.4%26.4%54.5%33.4%37.2%
Bid-Ask Spread %107.7198.17113.23107.28109.09
Gamma HHI0.300.270.360.270.32
Net GEX4.8K-36711.7K7.7K824
Net DEX-42.2K-246.4K96.1K-220.6K5.3K
Net VEX-2.0K-2.2K-1.7K-2.0K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.005.001.851.72
Total Volume125.5910414331310
Total OI737.545668778746775

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$20.16$17.5033.3%9.5%24.1%10.5%34.2%5.7%-2.2%7.7K-220.6K-2.0K1.85107.28N/AN/A116215461285
2015-03-03$20.18$17.5035.5%10.2%21.7%12.1%37.3%11.0%-2.9%7.5K-225.4K-2.0K1.91111.99N/AN/A116221462285
2015-03-04$19.92$17.5036.6%10.5%22.5%12.9%39.6%10.6%-5.5%7.2K-216.3K-2.0K1.91112.22N/AN/A116221457291
2015-03-05$20.35$15.0031.8%9.0%23.2%9.4%27.3%3.1%2.1%8.0K-214.1K-1.9K1.51101.71N/AN/A146221457291
2015-03-06$20.35$15.0029.8%9.1%22.9%8.1%30.9%-3.1%0.1%9.1K-246.4K-2.1K1.8498.17N/AN/A146268487291
2015-03-09$19.85$20.0031.9%9.5%24.7%9.6%0.0%0.4%-8.3%4.5K-6.2K-2.2K0.00106.90N/AN/A00407341
2015-03-10$19.17$20.0035.4%8.8%27.4%12.0%0.0%-5.2%-3.4%5.0K71.1K-2.0K0.00106.57N/AN/A150407341
2015-03-11$19.90$20.0031.8%9.1%30.3%9.5%31.8%7.5%0.9%4.5K53.1K-1.9K0.00108.05N/AN/A01407341
2015-03-12$19.66$20.0033.6%9.6%30.1%10.7%0.0%4.5%-0.2%6.7K-14.7K-2.1K0.00106.63N/AN/A00407340
2015-03-13$19.88$20.0031.9%9.1%30.2%9.5%0.0%3.6%1.7%5.6K33.3K-2.0K0.00106.38N/AN/A00407340
2015-03-16$19.72$20.0032.1%9.2%30.0%9.7%0.0%0.0%-4.0%5.9K41.8K-1.9K0.00107.40N/AN/A00407340
2015-03-17$20.26$20.0032.5%9.3%29.7%10.0%0.0%22.1%0.5%7.3K-20.4K-2.0K0.00107.56N/AN/A00407340
2015-03-18$20.20$20.0036.2%10.4%29.7%12.6%0.0%11.8%-2.8%6.7K-43.4K-2.0K0.00112.07N/AN/A90407340
2015-03-19$19.69$20.0033.3%9.5%30.1%10.5%0.0%-1.3%-3.7%11.7K8.7K-2.0K0.00108.00N/AN/A10415340
2015-03-20$20.66$20.0031.3%9.0%34.0%9.1%0.0%18.7%11.7%2.1K-99.2K-1.9K0.00105.84N/AN/A00416340
2015-03-23$20.29$20.0032.4%9.3%34.6%9.9%0.0%6.3%-3.3%30356.5K-2.0K0.00113.23N/AN/A00340328
2015-03-24$20.09$20.0027.2%7.8%34.7%6.2%0.0%3.9%6.7%896.1K-1.8K0.00107.36N/AN/A00340328
2015-03-25$20.13$20.0027.7%7.9%34.7%6.6%27.7%4.4%4.4%-36775.8K-1.9K0.00104.42N/AN/A100340328
2015-03-26$20.00$20.0033.8%9.7%34.0%10.9%35.3%1.8%-7.1%1.0K-75.2K-1.9K1.79113.14N/AN/A113202430328
2015-03-27$20.25$20.0035.9%10.3%33.9%12.4%35.6%8.6%-1.9%2.3K86.4K-1.8K5.00107.40N/AN/A15350328
2015-03-30$19.90$20.0032.2%9.2%34.2%9.8%35.6%1.7%7.6%1.2K-75.6K-1.8K1.72108.20N/AN/A114196431323
2015-03-31$19.34$20.0035.0%10.0%35.6%11.7%40.8%-3.3%-2.4%8245.3K-1.7K1.72109.09N/AN/A114196431344