DLNG Options History — February 2016

In February 2016, DLNG traded between $7.71 and $9.75. ATM implied volatility averaged 73.1%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 20.0%. IV traded below realized volatility by 20.6% (HV 20d: 93.7%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.49.

Notable Days

  • 2016-02-29: Highest Volume — 772 contracts
  • 2016-02-17: Largest IV drop — 38.9% change
  • 2016-02-09: Highest IV Rank — 41.3%
  • 2016-02-10: Largest Expected Move — 26.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.80$7.71$9.75$9.75$9.26
Max Pain$9.75$7.50$10.00$7.50$10.00
ATM IV73.1%49.9%102.1%69.2%57.2%
Expected Move20.0%14.3%26.1%19.8%16.4%
HV 20d93.7%72.6%110.5%109.3%72.6%
HV 60d85.4%82.9%88.3%82.9%88.3%
IV Rank26.1%14.0%41.3%24.1%17.8%
IV Percentile87.0%67.1%96.4%90.5%73.8%
Term Structure-3.1%-22.9%23.3%-10.7%-3.9%
VWIV69.3%53.3%96.2%66.1%61.0%
Skew 25d10.7%-9.8%39.9%-7.8%21.0%
Skew 10d29.8%-14.1%77.1%0.7%37.8%
Call IV 25d64.8%45.7%83.2%67.9%45.7%
Put IV 25d75.6%56.7%103.4%60.1%66.6%
Bid-Ask Spread %84.6451.71105.2370.9263.10
Gamma HHI0.480.340.710.690.44
Net GEX2.2K-1.3K10.1K5.7K2.0K
Net DEX210.9K107.0K344.4K107.0K164.0K
Net VEX-1.5K-2.1K-1.1K-1.4K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.772.562.560.92
Total Volume492.15299772299772
Total OI1,564.61,2341,8681,2341,860

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$9.75$7.5069.2%19.8%109.3%24.1%66.1%-7.8%-10.7%5.7K107.0K-1.4K2.5670.92N/AN/A84215665569
2016-02-02$9.35$7.5062.0%17.8%110.0%20.3%83.0%20.0%-22.9%4.4K109.1K-1.5K1.0683.37N/AN/A210223678599
2016-02-03$9.25$10.0081.8%23.5%108.9%30.7%96.2%22.6%-3.3%4.6K159.3K-1.6K2.0567.01N/AN/A177363721607
2016-02-04$9.14$10.0072.1%19.4%107.8%25.6%68.2%-9.8%-6.0%3.6K150.4K-1.7K2.2993.43N/AN/A164375721745
2016-02-05$9.09$10.0078.2%19.3%107.6%28.8%65.4%11.2%1.9%3.3K158.2K-1.7K2.2497.85N/AN/A167374754765
2016-02-08$8.45$10.0096.4%21.7%110.5%38.4%78.5%19.3%0.5%324282.1K-1.2K2.5492.42N/AN/A145369748766
2016-02-09$8.09$10.00102.1%21.2%104.5%41.3%67.7%13.9%-4.0%146294.8K-1.1K1.5688.85N/AN/A144224750773
2016-02-10$8.08$10.0091.1%26.1%100.6%35.6%66.0%16.0%-13.1%173273.5K-1.3K1.79105.23N/AN/A139249749778
2016-02-11$7.71$10.0086.7%24.9%95.7%33.3%80.7%2.8%-9.1%-1.3K344.4K-1.1K1.1581.91N/AN/A255294750798
2016-02-12$8.16$10.0084.7%24.3%89.7%32.2%74.1%18.9%-18.2%375289.3K-1.3K1.2098.82N/AN/A198238824854
2016-02-16$8.74$10.0081.7%23.4%91.0%30.7%79.6%-1.0%-8.2%808260.0K-1.4K0.7774.00N/AN/A308238840859
2016-02-17$9.37$10.0049.9%14.3%93.5%14.0%53.3%39.9%4.7%10.1K128.3K-1.6K1.2381.75N/AN/A195239879859
2016-02-18$8.68$10.0068.0%19.5%97.4%23.5%69.6%7.5%12.4%2.1K167.1K-1.5K1.1497.34N/AN/A214244966877
2016-02-19$8.74$10.0064.7%18.6%93.7%21.8%59.5%6.1%5.6%2.5K213.0K-1.4K1.6594.98N/AN/A192317991877
2016-02-22$9.04$10.0062.0%17.8%75.3%20.3%63.9%8.2%-1.5%2.0K219.0K-1.5K1.0288.26N/AN/A240246651712
2016-02-23$8.58$10.0062.3%17.9%77.5%20.5%57.0%14.0%23.3%2.6K173.3K-1.6K1.1694.44N/AN/A206239702712
2016-02-24$8.71$10.0075.5%21.6%77.2%27.4%67.9%14.1%1.1%1.3K241.6K-1.5K1.4989.82N/AN/A219326707796
2016-02-25$8.84$10.0061.7%17.7%76.7%20.1%67.3%-9.4%-3.8%-718263.9K-1.6K0.8477.66N/AN/A248208691969
2016-02-26$8.93$10.0054.1%15.5%74.2%16.2%61.7%7.4%-6.0%637219.1K-1.7K1.1151.71N/AN/A277308746984
2016-02-29$9.26$10.0057.2%16.4%72.6%17.8%61.0%21.0%-3.9%2.0K164.0K-2.1K0.9263.10N/AN/A4023707761,084