DLNG Options History — May 2016

In May 2016, DLNG traded between $12.76 and $14.77. ATM implied volatility averaged 51.6%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 2.5% (HV 20d: 54.1%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.30.

Notable Days

  • 2016-05-18: Highest Volume — 1,306 contracts
  • 2016-05-09: Largest IV spike — 41.9% change
  • 2016-05-09: Highest IV Rank — 24.5%
  • 2016-05-13: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.59$12.76$14.77$14.77$14.33
Max Pain$14.76$12.50$15.00$12.50$15.00
ATM IV51.6%34.3%70.0%56.7%36.2%
Expected Move14.5%9.8%17.5%16.3%10.4%
HV 20d54.1%42.5%68.2%58.8%42.5%
HV 60d63.3%59.0%69.9%67.1%59.0%
IV Rank14.8%5.2%24.5%17.5%5.2%
IV Percentile52.7%12.3%86.1%68.3%14.7%
Term Structure0.2%-8.5%12.6%-4.2%0.7%
VWIV51.3%37.4%86.8%86.8%39.0%
Skew 25d5.1%-7.7%21.1%15.5%-7.3%
Skew 10d13.3%-9.7%43.3%43.3%-9.7%
Call IV 25d51.1%36.7%65.7%50.4%40.0%
Put IV 25d56.2%32.7%79.4%65.9%32.7%
Bid-Ask Spread %98.9478.97106.5078.97101.89
Gamma HHI0.480.260.720.500.72
Net GEX23.8K4.7K42.4K41.9K42.4K
Net DEX-703.1K-1.4M-80.8K-1.4M-1.2M
Net VEX-8.9K-9.6K-8.0K-9.2K-9.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.150.600.160.47
Total Volume747.196161,306985752
Total OI5,468.0485,0336,2645,4415,376

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$14.77$12.5056.7%16.3%58.8%17.5%86.8%15.5%-4.2%41.9K-1.4M-9.2K0.1678.97N/AN/A8471382,7592,682
2016-05-03$13.53$12.5060.7%17.4%67.5%19.6%66.5%21.1%9.1%21.6K-651.6K-9.0K0.3489.93N/AN/A5791972,7312,694
2016-05-04$13.38$15.0057.5%16.5%67.9%18.0%63.0%5.6%8.4%22.0K-581.1K-8.9K0.3089.11N/AN/A5521662,5982,734
2016-05-05$13.13$15.0063.4%15.3%68.2%21.1%48.9%-4.6%3.4%16.9K-394.9K-8.7K0.2896.33N/AN/A5981662,6082,744
2016-05-06$13.01$15.0049.3%16.5%67.4%13.7%46.9%3.2%-4.1%15.9K-329.4K-8.5K0.30100.06N/AN/A6061792,7002,744
2016-05-09$12.76$15.0070.0%16.5%62.5%24.5%54.5%-7.7%-3.0%8.3K-80.8K-8.1K0.60101.14N/AN/A4882942,7082,724
2016-05-10$13.20$15.0062.4%15.7%57.1%20.5%54.0%10.9%6.2%4.7K-279.9K-8.4K0.4798.90N/AN/A4962342,7172,754
2016-05-11$13.57$15.0058.2%16.7%55.1%18.3%48.2%13.0%-1.5%26.7K-688.1K-8.7K0.26106.19N/AN/A5161352,7272,761
2016-05-12$13.22$15.0054.7%15.7%55.0%16.5%52.4%-3.9%0.5%15.5K-406.0K-8.5K0.2099.14N/AN/A5961182,7412,774
2016-05-13$13.00$15.0061.1%17.5%55.1%19.8%58.1%5.7%-3.0%16.6K-342.9K-8.4K0.2594.39N/AN/A4941252,7462,778
2016-05-16$13.23$15.0059.1%17.0%51.1%18.8%57.8%-3.4%-1.3%8.1K-320.5K-8.0K0.2097.58N/AN/A5321062,7602,781
2016-05-17$13.30$15.0048.5%13.9%50.8%13.3%50.4%-5.8%5.5%20.0K-410.8K-8.2K0.20105.19N/AN/A5251062,8162,783
2016-05-18$13.75$15.0058.1%16.7%52.5%18.3%52.0%2.2%-4.3%31.3K-811.8K-8.4K0.1998.62N/AN/A1,0962102,8442,815
2016-05-19$13.83$15.0053.6%15.4%52.3%15.9%51.2%8.9%-7.3%24.5K-926.4K-9.5K0.3699.38N/AN/A5211853,3202,898
2016-05-20$13.91$15.0047.4%13.6%45.8%12.7%49.6%8.4%-7.7%25.4K-966.8K-9.6K0.30106.50N/AN/A5611673,3652,899
2016-05-23$13.76$15.0039.3%11.3%45.7%8.4%41.7%3.9%6.5%27.6K-846.8K-9.3K0.2098.81N/AN/A5501112,8272,206
2016-05-24$13.81$15.0035.9%10.3%45.5%6.7%37.4%7.5%12.6%26.1K-847.4K-9.2K0.15104.37N/AN/A609932,8022,231
2016-05-25$13.90$15.0034.3%9.8%44.9%5.8%37.5%12.4%1.0%35.6K-1.1M-9.4K0.28105.05N/AN/A5321482,9452,229
2016-05-26$13.95$15.0036.1%10.4%44.7%6.8%38.3%9.1%-4.2%33.6K-1.0M-9.3K0.30101.08N/AN/A4741422,9632,289
2016-05-27$14.05$15.0041.5%11.9%44.9%9.6%43.7%11.8%-8.5%35.0K-1.1M-9.6K0.52105.22N/AN/A4932542,9632,293
2016-05-31$14.33$15.0036.2%10.4%42.5%5.2%39.0%-7.3%0.7%42.4K-1.2M-9.3K0.47101.89N/AN/A5102422,9852,391