DLNG Options History — September 2016

In September 2016, DLNG traded between $14.55 and $15.95. ATM implied volatility averaged 29.3%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 10.5% (HV 20d: 18.8%). 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 18 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2016-09-16: Highest Volume — 770 contracts
  • 2016-09-30: Largest IV spike — 28.1% change
  • 2016-09-12: Highest IV Rank — 10.4%
  • 2016-09-15: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.31$14.55$15.95$14.55$15.59
Max Pain$12.74$12.50$15.00$15.00$12.50
ATM IV29.3%22.6%37.7%26.3%30.9%
Expected Move8.5%6.5%9.9%7.5%8.9%
HV 20d18.8%15.0%26.7%26.7%16.8%
HV 60d29.8%24.7%34.1%33.9%25.1%
IV Rank6.1%2.7%10.4%4.5%6.9%
IV Percentile9.0%0.4%22.2%3.6%14.3%
Term Structure3.8%-1.7%12.1%12.1%-1.7%
VWIV26.1%20.6%33.9%23.8%27.1%
Skew 25d11.4%-0.4%63.3%9.7%7.2%
Skew 10d17.2%-1.2%113.9%7.2%9.5%
Call IV 25d24.3%19.8%33.0%27.0%23.8%
Put IV 25d35.7%25.1%86.1%36.7%31.0%
Bid-Ask Spread %82.9731.36106.6338.9397.05
Gamma HHI0.620.470.700.690.53
Net GEX99.9K68.3K122.0K107.0K84.0K
Net DEX-1.9M-2.5M-1.2M-1.2M-2.0M
Net VEX-13.2K-14.0K-11.8K-13.7K-12.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.501.180.600.62
Total Volume450.381275770556427
Total OI6,250.5716,0886,3466,0886,329

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$14.55$15.0026.3%7.5%26.7%4.5%23.8%9.7%12.1%107.0K-1.2M-13.7K0.6038.93N/AN/A3482083,5792,509
2016-09-02$14.83$15.0028.5%8.2%25.0%5.7%27.5%2.8%3.2%106.6K-1.3M-13.6K0.70106.63N/AN/A2641843,5892,539
2016-09-06$14.91$12.5025.4%8.7%18.5%4.1%23.1%15.1%2.6%113.5K-1.6M-13.7K0.7776.83N/AN/A2071603,5942,562
2016-09-07$15.32$12.5029.6%8.9%20.6%6.2%24.4%63.3%2.6%110.4K-2.2M-13.3K0.6331.36N/AN/A2291443,6522,551
2016-09-08$15.41$12.5025.5%9.3%20.6%4.1%32.6%-0.4%1.1%114.6K-2.4M-13.3K0.6080.41N/AN/A2431473,6462,563
2016-09-09$15.25$12.5030.7%9.4%21.0%6.8%33.9%6.7%2.6%119.2K-2.1M-13.5K0.8680.51N/AN/A2041753,6552,569
2016-09-12$15.35$12.5037.7%9.1%21.0%10.4%23.5%9.2%4.3%122.0K-2.2M-13.3K1.1485.03N/AN/A1842093,6282,604
2016-09-13$15.27$12.5035.1%9.8%20.1%9.0%31.0%15.2%-0.3%121.5K-2.1M-13.2K0.7777.79N/AN/A2682073,6222,605
2016-09-14$15.36$12.5032.4%9.3%20.1%7.7%28.4%14.6%2.5%116.3K-2.2M-13.0K0.9283.12N/AN/A2222043,5692,645
2016-09-15$15.26$12.5034.6%9.9%18.0%8.8%30.4%9.3%-1.0%117.8K-2.0M-12.8K0.7386.88N/AN/A2782043,5822,700
2016-09-16$15.19$12.5034.0%9.7%18.1%8.4%27.4%13.6%0.6%68.3K-2.1M-13.0K0.5684.68N/AN/A4952753,6002,700
2016-09-19$15.20$12.5027.9%8.0%17.9%5.3%25.7%14.7%5.6%84.4K-1.7M-13.4K0.6288.33N/AN/A4402723,4202,670
2016-09-20$15.21$12.5028.8%8.3%17.8%5.8%26.8%5.2%6.6%82.5K-1.5M-14.0K0.5682.96N/AN/A4392473,4552,833
2016-09-21$15.32$12.5030.0%8.6%17.5%6.4%27.7%14.7%0.8%76.1K-1.7M-14.0K0.5072.97N/AN/A4302143,4562,871
2016-09-22$15.37$12.5028.2%8.1%16.0%5.5%21.4%5.6%4.9%84.0K-1.7M-13.7K1.1872.26N/AN/A1261493,4462,876
2016-09-23$15.39$12.5022.6%6.5%15.4%2.7%20.6%4.7%5.1%108.0K-1.7M-13.5K0.78101.74N/AN/A1721343,4492,887
2016-09-26$15.43$12.5027.3%7.8%15.0%5.0%24.4%5.2%3.1%93.0K-1.7M-12.9K0.7697.66N/AN/A1741333,4322,889
2016-09-27$15.66$12.5025.9%7.4%15.1%4.3%23.3%7.6%11.0%92.8K-2.1M-12.8K0.7099.99N/AN/A2141493,4322,899
2016-09-28$15.95$12.5029.9%8.6%15.9%6.4%23.4%10.5%5.1%73.1K-2.5M-11.8K0.9996.67N/AN/A1641633,4602,886
2016-09-29$15.69$12.5024.1%6.9%17.5%3.4%21.8%5.7%8.9%104.0K-2.2M-12.7K0.87100.57N/AN/A1881643,4462,863
2016-09-30$15.59$12.5030.9%8.9%16.8%6.9%27.1%7.2%-1.7%84.0K-2.0M-12.5K0.6297.05N/AN/A2641633,4582,871