DLNG Options History — October 2015

In October 2015, DLNG traded between $13.42 and $14.92. ATM implied volatility averaged 49.1%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 1.4% (HV 20d: 47.7%). Max pain ranged from $10.00 to $17.50. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.91.

Notable Days

  • 2015-10-16: Highest Volume — 408 contracts
  • 2015-10-30: Largest IV drop — 65.2% change
  • 2015-10-29: Highest IV Rank — 100.0%
  • 2015-10-29: Largest Expected Move — 29.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.28$13.42$14.92$13.72$14.12
Max Pain$12.39$10.00$17.50$17.50$12.50
ATM IV49.1%35.6%102.4%67.7%35.6%
Expected Move14.3%10.2%29.4%19.4%10.2%
HV 20d47.7%40.2%58.1%53.6%42.8%
HV 60d56.6%54.2%58.2%55.4%54.2%
IV Rank41.0%15.7%100.0%57.3%15.7%
IV Percentile77.9%44.8%100.0%99.2%44.8%
Term Structure-2.9%-15.9%18.4%-8.5%2.2%
VWIV59.4%40.0%109.2%44.6%40.0%
Skew 25d-0.7%-49.0%24.4%24.4%-13.0%
Skew 10d8.9%-32.6%48.9%33.4%-6.7%
Call IV 25d47.8%36.3%79.3%45.0%46.7%
Put IV 25d47.1%19.8%69.4%69.4%33.7%
Bid-Ask Spread %107.3393.72140.39101.2394.84
Gamma HHI0.490.390.710.710.50
Net GEX1.8K-2.1K6.0K-1.2K5.8K
Net DEX136.3K-70.9K358.6K358.6K-2.4K
Net VEX-1.3K-1.6K-789-789-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.001.340.421.12
Total Volume32149408190339
Total OI878.9556281,135830787

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$13.72$17.5067.7%19.4%53.6%57.3%44.6%24.4%-8.5%-1.2K358.6K-7890.42101.23N/AN/A13456376454
2015-10-02$13.42$17.5043.1%12.3%54.1%25.6%58.0%-39.3%5.1%-1.1K311.8K-9460.28104.33N/AN/A14440398454
2015-10-05$14.02$10.0037.0%14.6%56.6%17.8%49.8%7.8%-5.9%-1.6K310.7K-8930.0097.10N/AN/A490407454
2015-10-06$13.73$10.0042.8%14.2%56.9%25.2%43.8%-0.3%-4.2%-252316.8K-9330.91101.13N/AN/A178162447454
2015-10-07$14.40$15.0045.6%13.1%58.1%28.8%42.6%16.6%-5.1%-1.7K281.0K-1.5K1.0699.19N/AN/A172182491564
2015-10-08$14.63$12.5041.1%13.6%56.2%23.1%55.1%13.6%-5.0%-1.6K221.6K-1.5K0.9797.16N/AN/A173168527564
2015-10-09$14.63$10.0038.5%13.2%53.5%19.7%44.9%-2.0%-4.6%-1.8K173.2K-1.6K0.9794.15N/AN/A173168530564
2015-10-12$14.65$10.0043.5%12.6%50.0%26.1%48.0%11.0%-4.6%-2.1K202.6K-1.5K0.9998.79N/AN/A169168531564
2015-10-13$14.33$10.0059.2%12.9%50.6%46.3%56.7%8.0%-4.6%-1.5K224.1K-1.4K0.84110.22N/AN/A199168532558
2015-10-14$14.23$10.0043.5%12.5%40.7%26.1%57.2%8.5%-2.3%160256.6K-1.4K0.95105.90N/AN/A193184566558
2015-10-15$14.13$12.5040.3%11.6%40.7%22.1%49.4%13.5%0.4%2.7K332.9K-1.3K0.93104.20N/AN/A204190565568
2015-10-16$14.79$12.5042.0%12.1%43.8%38.2%44.5%6.3%-2.8%4.1K277.5K-1.4K1.0693.72N/AN/A198210577558
2015-10-19$14.83$12.5041.2%11.8%43.7%36.4%55.9%14.9%-0.6%4.0K-52.2K-1.4K1.34118.69N/AN/A125167355273
2015-10-20$14.92$12.5043.0%12.3%43.8%40.0%43.7%-1.6%-2.0%4.0K-70.9K-1.3K1.01105.01N/AN/A170172359273
2015-10-21$14.79$12.5041.7%12.0%40.2%37.6%52.8%-10.2%-1.5%4.8K-68.3K-1.4K1.13102.28N/AN/A152172389278
2015-10-22$14.05$12.5057.6%16.5%43.6%69.7%94.8%-8.6%-6.5%3.4K-3.9K-1.3K1.10132.52N/AN/A157172391278
2015-10-23$14.03$12.5042.4%12.2%43.3%38.9%56.8%4.4%-1.0%3.7K16.0K-1.3K1.26117.21N/AN/A137172400278
2015-10-26$14.64$12.5041.3%11.8%43.4%36.7%55.5%21.0%0.9%5.6K-53.8K-1.4K0.88115.57N/AN/A196172410278
2015-10-27$14.06$12.5061.7%17.7%46.1%78.0%98.8%-49.0%-15.9%6.0K-6.4K-1.3K0.93111.18N/AN/A185172492278
2015-10-28$13.92$12.5068.5%19.6%44.2%91.7%109.2%-26.8%-14.9%4.4K26.8K-1.2K0.99116.50N/AN/A181179492278
2015-10-29$14.03$12.50102.4%29.4%43.7%100.0%103.9%-15.6%18.4%3.5K-54.4K-1.4K0.99140.39N/AN/A181179499288
2015-10-30$14.12$12.5035.6%10.2%42.8%15.7%40.0%-13.0%2.2%5.8K-2.4K-1.3K1.1294.84N/AN/A160179499288