DLNG Options History — August 2016

In August 2016, DLNG traded between $13.55 and $15.28. ATM implied volatility averaged 28.7%, placing in the 2.8% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 4.0% (HV 20d: 32.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.06.

Notable Days

  • 2016-08-19: Highest Volume — 830 contracts
  • 2016-08-24: Largest IV spike — 42.8% change
  • 2016-08-03: Highest IV Rank — 7.0%
  • 2016-08-03: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.61$13.55$15.28$13.71$14.74
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV28.7%17.4%40.5%30.2%29.2%
Expected Move8.1%5.0%11.6%8.7%8.4%
HV 20d32.7%26.2%35.9%30.8%26.2%
HV 60d35.5%33.8%36.2%35.9%33.8%
IV Rank2.8%0.0%7.0%1.5%6.0%
IV Percentile4.1%0.0%19.8%1.2%6.0%
Term Structure4.1%-12.4%14.4%-12.4%4.4%
VWIV28.5%17.4%42.0%36.0%28.4%
Skew 25d4.1%-20.9%88.9%-20.9%1.5%
Skew 10d6.7%-15.4%137.4%-15.4%-3.0%
Call IV 25d29.9%22.4%45.8%43.8%29.7%
Put IV 25d34.0%17.3%118.0%22.9%31.3%
Bid-Ask Spread %80.6129.76110.97102.4229.76
Gamma HHI0.650.510.840.590.65
Net GEX80.4K33.8K198.5K40.0K90.7K
Net DEX-1.0M-2.0M-158.1K-308.7K-1.1M
Net VEX-13.0K-13.6K-11.5K-11.5K-13.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.263.861.000.58
Total Volume477.26147830591569
Total OI5,557.9135,0505,9925,0505,992

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$13.71$15.0030.2%8.7%30.8%1.5%36.0%-20.9%-12.4%40.0K-308.7K-11.5K1.00102.42N/AN/A2962952,9422,108
2016-08-02$13.55$15.0033.7%9.7%29.5%3.3%38.3%-18.7%-8.1%34.4K-174.6K-11.9K1.0896.99N/AN/A2482692,9982,238
2016-08-03$13.76$15.0040.5%11.6%30.2%7.0%42.0%-0.3%-8.4%33.8K-158.1K-12.1K1.1388.12N/AN/A2332643,0142,349
2016-08-04$13.70$15.0039.4%10.1%30.2%6.4%31.6%4.5%14.4%34.9K-228.6K-12.2K0.60100.11N/AN/A2781683,0162,354
2016-08-05$14.16$15.0039.2%9.5%31.9%6.3%33.5%8.7%2.8%52.8K-621.8K-13.0K0.75102.26N/AN/A2231683,0392,368
2016-08-08$14.85$15.0031.8%8.8%35.9%2.3%30.8%14.0%3.2%98.7K-1.5M-13.2K1.0793.83N/AN/A2502683,0682,363
2016-08-09$14.73$15.0028.8%7.4%34.8%0.7%26.2%3.0%7.9%100.1K-1.1M-13.4K1.3978.29N/AN/A1752433,1082,490
2016-08-10$14.75$15.0027.9%8.0%34.6%0.2%28.1%3.3%5.8%98.9K-1.1M-13.5K1.1380.12N/AN/A1842073,1262,525
2016-08-11$14.86$15.0026.5%7.6%34.4%0.0%26.7%4.0%6.1%113.0K-1.3M-13.4K1.0282.45N/AN/A2302353,0882,517
2016-08-12$14.89$15.0028.9%8.3%34.4%1.3%29.0%3.1%4.9%106.9K-1.3M-13.6K1.19101.18N/AN/A2002373,1352,517
2016-08-15$15.18$15.0031.3%9.0%34.9%2.5%31.3%4.3%2.0%112.3K-1.9M-13.0K2.81105.34N/AN/A1333743,1352,520
2016-08-16$15.28$15.0023.2%6.6%34.4%0.0%25.2%2.1%11.1%150.6K-2.0M-12.7K2.74106.66N/AN/A1223343,1612,487
2016-08-17$14.91$15.0030.4%8.7%35.9%3.8%30.4%88.9%4.0%143.0K-1.4M-12.9K3.8673.23N/AN/A281083,1452,472
2016-08-18$14.99$15.0024.4%7.0%35.6%0.7%26.8%-0.0%8.0%198.5K-1.5M-12.8K0.2682.31N/AN/A3961043,1552,500
2016-08-19$14.92$15.0025.9%7.4%35.7%1.4%26.1%-2.9%6.6%39.0K-957.8K-13.0K0.8575.52N/AN/A4483823,3372,549
2016-08-22$14.84$15.0022.9%6.6%35.3%0.0%22.9%-2.7%9.0%39.1K-889.6K-12.9K0.4765.18N/AN/A3831802,7172,504
2016-08-23$15.02$15.0017.4%5.0%34.4%0.0%17.4%-5.1%13.6%45.6K-1.1M-12.9K0.4050.37N/AN/A4731912,7902,550
2016-08-24$14.75$15.0024.8%7.1%35.0%3.8%25.0%1.4%5.8%56.4K-948.8K-13.2K0.2738.33N/AN/A37103,0892,520
2016-08-25$14.61$15.0024.9%7.1%35.0%3.8%24.7%1.8%4.6%60.0K-889.6K-13.3K0.5535.84N/AN/A2781523,1192,529
2016-08-26$14.51$15.0025.6%7.3%29.1%4.2%23.7%7.4%4.4%63.6K-783.3K-13.5K0.47110.97N/AN/A2961383,1922,530
2016-08-29$14.70$15.0024.6%7.1%27.0%3.7%24.4%-5.9%1.6%68.0K-979.5K-13.3K0.5544.02N/AN/A2931623,2142,523
2016-08-30$14.67$15.0028.8%8.3%26.5%5.8%27.2%3.0%2.7%69.2K-1.1M-13.5K0.28110.76N/AN/A5591563,2502,489
2016-08-31$14.74$15.0029.2%8.4%26.2%6.0%28.4%1.5%4.4%90.7K-1.1M-13.1K0.5829.76N/AN/A3612083,5032,489