DLNG Options History — August 2015

In August 2015, DLNG traded between $12.05 and $14.90. ATM implied volatility averaged 45.0%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 10.9% (HV 20d: 55.9%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2015-08-17: Highest Volume — 445 contracts
  • 2015-08-24: Largest IV spike — 53.3% change
  • 2015-08-24: Highest IV Rank — 53.0%
  • 2015-08-24: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.72$12.05$14.90$14.22$14.38
Max Pain$15.36$15.00$17.50$17.50$15.00
ATM IV45.0%35.7%62.1%47.3%37.0%
Expected Move12.1%9.5%17.8%13.6%10.6%
HV 20d55.9%30.2%76.0%30.2%75.1%
HV 60d40.9%31.9%50.3%31.9%50.3%
IV Rank32.3%21.1%53.0%35.1%22.6%
IV Percentile84.2%62.7%98.8%92.9%65.1%
Term Structure-2.2%-13.8%18.0%-5.1%4.0%
VWIV44.4%32.6%88.3%88.3%36.4%
Skew 25d4.6%-5.6%21.8%-4.9%-1.8%
Skew 10d10.8%-4.0%33.5%14.9%-0.8%
Call IV 25d42.5%31.9%68.0%47.0%37.6%
Put IV 25d47.0%34.0%77.4%42.1%35.7%
Bid-Ask Spread %104.8096.88125.44114.36105.00
Gamma HHI0.460.270.620.500.30
Net GEX-3.4K-6.8K263-4.8K-179
Net DEX358.4K190.4K475.4K414.4K201.5K
Net VEX-1.0K-1.4K-494-1.1K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.000.860.520.46
Total Volume281.66704451275
Total OI939.6198701,058902956

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$14.22$17.5047.3%13.6%30.2%35.1%88.3%-4.9%-5.1%-4.8K414.4K-1.1K0.00114.36N/AN/A01461441
2015-08-04$13.60$17.5044.8%12.8%33.4%32.1%40.6%-1.7%-13.8%-5.1K428.9K-9410.52106.62N/AN/A224117461440
2015-08-05$12.53$17.5051.4%14.7%42.9%40.1%59.2%6.1%-10.9%-3.2K455.1K-5500.5397.29N/AN/A224118461426
2015-08-06$12.05$15.0052.5%10.1%43.2%41.4%40.2%2.8%1.4%-2.6K448.1K-4940.64104.74N/AN/A225143461433
2015-08-07$12.83$15.0046.5%9.5%48.5%34.1%33.0%-1.5%2.5%-3.8K475.4K-5180.61102.88N/AN/A228140462458
2015-08-10$12.95$15.0054.7%11.7%48.8%44.1%39.9%0.5%-8.2%-4.6K465.2K-6200.65103.26N/AN/A216141454463
2015-08-11$13.45$15.0053.9%10.4%51.4%43.1%0.0%0.4%-4.7%-5.4K456.4K-6750.00104.38N/AN/A00461456
2015-08-12$13.79$15.0040.5%11.6%52.5%26.8%36.5%7.8%-6.7%-5.0K439.5K-8700.65104.25N/AN/A216141461464
2015-08-13$13.94$15.0035.7%10.2%52.0%21.1%35.2%9.9%-4.4%-6.6K434.8K-8490.54101.98N/AN/A261141461464
2015-08-14$13.80$15.0037.6%10.8%52.0%23.4%33.8%10.0%-6.2%-4.3K390.4K-1.1K0.43105.14N/AN/A271117500464
2015-08-17$14.25$15.0041.3%11.8%53.4%27.8%37.0%9.3%-0.8%-5.8K366.4K-1.2K0.40103.32N/AN/A318127510470
2015-08-18$14.90$15.0043.0%12.3%56.1%29.9%35.7%21.0%-6.2%-6.8K291.9K-1.4K0.48102.92N/AN/A265127565479
2015-08-19$14.73$15.0040.7%11.7%55.9%27.1%0.0%3.7%-2.9%-4.5K269.3K-1.4K0.00102.71N/AN/A130565471
2015-08-20$14.77$15.0038.2%10.9%56.0%24.1%32.6%4.6%0.7%-5.0K279.2K-1.4K0.58108.66N/AN/A211123565479
2015-08-21$13.96$15.0040.5%11.6%59.0%26.9%35.8%7.5%-0.4%-52353.0K-1.2K0.56103.59N/AN/A220123580478
2015-08-24$12.53$15.0062.1%17.8%69.5%53.0%78.3%21.8%-8.2%-640304.7K-9810.81125.44N/AN/A11896482397
2015-08-25$12.87$15.0057.5%16.5%70.5%47.5%58.0%-1.3%-0.7%-1.1K321.5K-9650.86103.55N/AN/A11296473397
2015-08-26$13.46$15.0046.3%13.3%72.4%33.8%52.3%-5.6%18.0%-1.4K292.6K-1.2K0.85103.02N/AN/A11396476402
2015-08-27$14.29$15.0036.2%10.4%76.0%21.7%36.9%11.8%7.3%-1.6K248.7K-1.3K0.5396.88N/AN/A18296483402
2015-08-28$14.75$15.0037.6%10.8%74.8%23.4%34.1%-4.6%-1.3%263190.4K-1.3K0.52100.86N/AN/A18496548402
2015-08-31$14.38$15.0037.0%10.6%75.1%22.6%36.4%-1.8%4.0%-179201.5K-1.3K0.46105.00N/AN/A18986554402