DLNG Options History — March 2016

In March 2016, DLNG traded between $9.11 and $11.47. ATM implied volatility averaged 50.3%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 8.6% (HV 20d: 58.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.19.

Notable Days

  • 2016-03-31: Highest Volume — 1,372 contracts
  • 2016-03-31: Largest IV spike — 63.8% change
  • 2016-03-02: Highest IV Rank — 22.8%
  • 2016-03-02: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.65$9.11$11.47$9.12$11.47
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV50.3%31.1%66.7%53.6%50.9%
Expected Move14.8%8.9%19.1%15.4%14.6%
HV 20d58.9%43.3%74.3%69.0%74.3%
HV 60d84.6%77.6%89.1%88.3%85.4%
IV Rank14.2%4.1%22.8%15.9%14.5%
IV Percentile60.0%13.9%84.9%69.8%60.7%
Term Structure6.1%-10.3%29.3%9.4%2.2%
VWIV53.1%33.7%63.4%54.7%53.8%
Skew 25d21.4%-4.7%69.0%13.9%6.7%
Skew 10d30.0%-5.8%88.4%68.3%2.0%
Call IV 25d48.5%38.8%56.8%54.0%53.4%
Put IV 25d70.0%49.4%118.2%67.9%60.1%
Bid-Ask Spread %67.2536.29103.3565.51102.27
Gamma HHI0.530.310.870.490.34
Net GEX7.7K-2.1K23.5K4.5K-2.1K
Net DEX107.2K-139.4K274.8K221.5K-139.4K
Net VEX-2.2K-2.6K-1.8K-2.2K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.451.531.420.45
Total Volume616.9094801,3726221,372
Total OI2,1611,9122,3462,0542,142

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$9.12$10.0053.6%15.4%69.0%15.9%54.7%13.9%9.4%4.5K221.5K-2.2K1.4265.51N/AN/A2573659171,137
2016-03-02$9.55$10.0066.7%19.1%69.5%22.8%63.4%25.1%-10.3%5.3K150.3K-2.2K1.3962.86N/AN/A2623658981,143
2016-03-03$9.97$10.0054.6%18.1%70.9%16.5%59.8%23.8%-1.6%8.9K55.7K-2.3K1.2289.62N/AN/A3033719001,143
2016-03-04$9.69$10.0048.5%17.4%71.7%13.3%58.7%22.3%-1.0%9.6K44.5K-2.4K1.2667.40N/AN/A3033831,0071,143
2016-03-07$10.23$10.0057.3%16.8%73.8%17.8%57.3%29.0%4.9%13.7K-97.7K-2.4K1.3489.85N/AN/A2963961,0381,163
2016-03-08$9.67$10.0058.0%18.2%71.7%18.2%61.7%13.0%-0.7%10.8K44.0K-2.6K1.4295.55N/AN/A2783961,0961,203
2016-03-09$9.72$10.0050.9%14.6%69.2%14.5%50.1%17.5%8.6%12.3K17.8K-2.2K1.5363.88N/AN/A2593961,0981,203
2016-03-10$9.59$10.0058.5%16.8%69.6%18.5%57.2%17.1%2.7%13.2K65.3K-2.5K1.2160.43N/AN/A2493011,1011,203
2016-03-11$9.71$10.0055.7%16.0%66.4%17.0%55.2%16.9%-0.2%13.7K16.3K-2.4K1.1754.47N/AN/A2502931,0971,210
2016-03-14$9.68$10.0052.9%15.2%64.4%15.6%56.4%18.3%6.1%16.4K-21.3K-2.2K1.10103.35N/AN/A2602861,1031,208
2016-03-15$9.66$10.0052.8%15.1%60.4%15.5%55.3%6.7%2.9%18.1K76.0K-2.2K1.0960.21N/AN/A2572801,1181,228
2016-03-16$9.58$10.0044.1%12.6%55.4%10.9%45.8%69.0%6.7%23.5K105.0K-1.9K1.0970.93N/AN/A2572801,1181,224
2016-03-17$9.76$10.0045.6%13.1%47.5%11.7%46.8%63.1%18.6%15.6K12.5K-2.1K1.0983.22N/AN/A2572801,1081,224
2016-03-18$9.49$10.0047.2%13.5%49.0%12.6%50.6%20.8%4.7%-111182.5K-2.0K1.2662.18N/AN/A2963741,1211,224
2016-03-21$9.39$10.0040.6%11.6%48.0%9.1%42.7%25.2%12.1%1.5K175.0K-1.9K1.4737.47N/AN/A2353467591,153
2016-03-22$9.49$10.0050.0%14.3%43.5%14.1%52.9%16.4%3.8%104196.4K-1.9K1.0161.45N/AN/A2392417741,153
2016-03-23$9.24$10.0036.5%10.5%44.8%7.0%38.3%24.6%8.8%2.7K214.2K-1.8K0.9837.34N/AN/A2462428041,173
2016-03-24$9.11$10.0044.9%12.9%44.9%11.4%56.0%16.9%7.2%-413256.6K-1.9K1.2436.29N/AN/A2463048131,179
2016-03-28$9.22$10.0054.4%15.6%45.0%16.4%55.5%-4.7%1.9%698274.8K-1.9K1.1045.56N/AN/A2302528131,224
2016-03-29$9.33$10.0051.8%14.9%43.3%15.0%61.7%18.8%29.3%-1.5K263.5K-2.0K1.3787.69N/AN/A2303168131,240
2016-03-30$9.63$10.0031.1%8.9%44.2%4.1%33.7%10.5%17.5%2.1K244.5K-2.2K1.0341.88N/AN/A2572668131,313
2016-03-31$11.47$10.0050.9%14.6%74.3%14.5%53.8%6.7%2.2%-2.1K-139.4K-2.4K0.45102.27N/AN/A9464268281,314