DLNG Options History — September 2015

In September 2015, DLNG traded between $12.37 and $14.71. ATM implied volatility averaged 48.6%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 13.8% (HV 20d: 62.3%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2015-09-10: Highest Volume — 316 contracts
  • 2015-09-21: Largest IV spike — 45.2% change
  • 2015-09-30: Highest IV Rank — 49.5%
  • 2015-09-30: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.73$12.37$14.71$14.71$13.43
Max Pain$16.43$15.00$17.50$15.00$17.50
ATM IV48.6%34.1%61.7%52.4%61.7%
Expected Move13.7%9.8%17.7%15.0%17.7%
HV 20d62.3%51.1%73.5%73.5%52.9%
HV 60d52.4%49.1%55.2%50.2%55.2%
IV Rank36.4%19.2%49.5%41.2%49.5%
IV Percentile88.1%46.8%98.4%95.2%98.4%
Term Structure-3.1%-16.6%22.4%-5.7%-1.4%
VWIV46.6%39.2%55.7%44.2%49.8%
Skew 25d4.2%-10.6%20.9%-2.0%20.9%
Skew 10d3.9%-15.8%19.8%-0.7%9.2%
Call IV 25d45.9%33.8%59.3%43.5%54.8%
Put IV 25d50.1%37.4%75.6%41.5%75.6%
Bid-Ask Spread %98.2390.57110.2798.70103.44
Gamma HHI0.490.300.690.480.50
Net GEX395-1.9K2.7K1.9K-1.5K
Net DEX262.4K154.5K358.2K154.5K318.6K
Net VEX-1.1K-1.5K-784-1.5K-929
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.250.840.430.46
Total Volume221.42910316288178
Total OI946.4298081,072965830

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$14.71$15.0052.4%15.0%73.5%41.2%44.2%-2.0%-5.7%1.9K154.5K-1.5K0.4398.70N/AN/A20286559406
2015-09-02$14.54$15.0043.8%12.6%66.5%30.9%40.9%-5.2%-2.1%1.7K172.6K-1.4K0.43102.22N/AN/A20286582406
2015-09-03$14.48$17.5046.2%12.4%64.4%33.7%41.6%10.9%-3.0%2.7K162.2K-1.4K0.43100.30N/AN/A20086582406
2015-09-04$14.46$17.5054.8%12.8%61.3%44.2%42.1%3.3%-1.6%1.7K176.2K-1.4K0.4390.57N/AN/A20086582406
2015-09-08$14.59$17.5047.5%13.0%61.3%35.3%49.2%16.8%-5.0%782156.4K-1.3K0.0095.92N/AN/A015581406
2015-09-09$14.05$17.5045.8%13.1%61.9%33.3%46.3%-1.3%-5.4%1.2K205.2K-1.3K0.4894.33N/AN/A20096582421
2015-09-10$13.50$17.5051.6%14.8%63.0%40.3%48.5%3.1%-6.5%433275.6K-1.1K0.4492.21N/AN/A22096582426
2015-09-11$12.94$15.0049.4%14.2%64.5%37.6%49.0%-3.0%-3.1%512295.3K-1.1K0.39110.27N/AN/A22086632426
2015-09-14$12.37$15.0051.8%14.9%66.1%40.6%52.5%-10.6%-6.7%376343.3K-8400.36100.79N/AN/A21578632428
2015-09-15$12.72$15.0050.8%14.6%65.8%39.3%51.4%9.9%-5.3%712314.4K-9380.2599.17N/AN/A82631430
2015-09-16$13.87$15.0040.3%11.6%71.5%26.7%41.5%3.3%-3.8%1.7K247.6K-1.2K0.5195.12N/AN/A15378640432
2015-09-17$14.00$15.0046.7%13.4%71.6%34.4%42.5%6.6%-3.2%1.4K239.5K-1.2K0.5192.67N/AN/A15378632432
2015-09-18$14.09$15.0034.1%9.8%71.6%19.2%39.2%10.1%-3.3%1.7K258.3K-1.1K0.54101.00N/AN/A15483632432
2015-09-21$14.16$15.0049.6%14.2%68.8%37.8%48.0%2.8%-0.5%653237.0K-1.1K0.5597.38N/AN/A15083416422
2015-09-22$14.20$17.5045.5%13.1%55.5%33.0%46.2%9.7%-8.2%-1.9K261.9K-1.1K0.84100.92N/AN/A10588366442
2015-09-23$13.57$17.5047.9%13.7%57.8%35.8%44.0%8.6%22.4%-1.3K320.7K-9450.6991.14N/AN/A12788371442
2015-09-24$13.22$17.5047.9%13.7%56.4%35.8%46.0%-9.0%2.9%-1.1K339.8K-8810.6391.44N/AN/A12780371442
2015-09-25$13.45$17.5048.1%13.8%52.2%36.1%46.4%-1.4%-8.3%-1.2K327.9K-9090.5298.98N/AN/A12263371442
2015-09-28$13.00$17.5051.5%14.8%51.6%40.2%55.7%5.2%-1.8%-1.1K346.1K-8240.46104.00N/AN/A12256376448
2015-09-29$12.88$17.5052.9%15.2%51.1%39.9%53.4%9.2%-16.6%-1.0K358.2K-7840.46102.33N/AN/A12256376454
2015-09-30$13.43$17.5061.7%17.7%52.9%49.5%49.8%20.9%-1.4%-1.5K318.6K-9290.46103.44N/AN/A12256376454