DLNG Options History — November 2016

In November 2016, DLNG traded between $12.89 and $15.49. ATM implied volatility averaged 37.9%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 7.1% (HV 20d: 45.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2016-11-16: Highest Volume — 1,628 contracts
  • 2016-11-04: Largest IV spike — 68.0% change
  • 2016-11-07: Highest IV Rank — 23.4%
  • 2016-11-07: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.31$12.89$15.49$14.66$15.49
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV37.9%26.9%63.5%32.8%33.8%
Expected Move10.2%7.7%14.5%9.4%9.7%
HV 20d45.0%32.6%50.3%32.6%46.5%
HV 60d30.9%23.7%34.0%23.7%34.0%
IV Rank10.4%4.8%23.4%7.9%8.4%
IV Percentile32.0%7.1%82.1%24.2%28.6%
Term Structure-0.8%-16.9%15.5%-6.0%15.5%
VWIV37.4%26.6%59.3%34.9%34.4%
Skew 25d5.3%-10.8%17.8%-4.4%17.8%
Skew 10d8.1%-6.0%31.7%-3.1%13.3%
Call IV 25d35.4%23.6%46.2%34.5%28.2%
Put IV 25d40.7%28.3%54.5%30.1%46.0%
Bid-Ask Spread %103.5194.46117.79100.27103.27
Gamma HHI0.370.320.500.330.38
Net GEX6.5K-34.4K63.1K-18.9K55.6K
Net DEX488.2K-1.5M1.8M721.1K-1.3M
Net VEX-11.3K-15.1K-8.5K-10.8K-13.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.262.720.460.98
Total Volume678.3812921,628432340
Total OI6,267.9525,2117,4915,2117,460

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$14.66$15.0032.8%9.4%32.6%7.9%34.9%-4.4%-6.0%-18.9K721.1K-10.8K0.46100.27N/AN/A2951372,6442,567
2016-11-02$14.00$15.0044.3%12.7%35.4%13.7%46.8%-10.8%-16.9%-13.2K1.2M-10.2K1.21102.56N/AN/A1982402,7112,579
2016-11-03$13.86$15.0031.6%8.7%35.1%7.3%26.6%6.6%-6.4%-12.4K1.3M-10.7K1.09104.58N/AN/A1401522,7352,678
2016-11-04$12.89$15.0053.2%12.7%41.5%18.2%42.6%1.7%-2.4%-13.6K1.7M-8.8K0.73105.37N/AN/A2932132,7352,663
2016-11-07$13.26$15.0063.5%14.5%43.7%23.4%40.3%8.1%-7.7%-13.3K1.6M-9.2K0.7194.46N/AN/A3542522,7992,735
2016-11-08$13.24$15.0062.3%11.3%43.8%22.9%36.4%7.3%-0.2%-15.5K1.8M-8.5K0.8199.28N/AN/A2532052,7672,709
2016-11-09$13.92$15.0032.9%9.4%48.3%7.9%32.7%5.0%0.4%-17.4K1.4M-9.5K0.5197.17N/AN/A2751392,7792,713
2016-11-10$13.74$15.0047.3%13.5%47.7%15.2%36.7%9.9%2.4%-9.3K1.2M-10.2K0.53100.81N/AN/A2771462,8042,713
2016-11-11$13.73$15.0045.9%13.2%47.2%14.5%33.9%10.7%-8.1%-16.0K1.5M-9.3K0.5298.80N/AN/A2831482,8722,713
2016-11-14$13.92$15.0033.5%9.6%47.7%8.2%45.0%5.9%-1.0%-7.8K1.1M-10.1K2.47101.26N/AN/A3258042,8802,713
2016-11-15$14.26$15.0032.4%9.3%48.3%7.7%56.3%15.7%-2.1%-34.4K1.1M-9.7K2.25106.75N/AN/A3547962,9713,369
2016-11-16$14.22$15.0034.5%9.9%44.9%8.7%59.3%17.8%-0.1%-18.4K916.6K-11.2K1.24115.82N/AN/A7289003,0103,380
2016-11-17$14.11$15.0033.6%9.6%44.9%8.2%37.0%3.0%-1.3%-7.6K946.2K-11.4K2.72117.79N/AN/A2978083,4063,380
2016-11-18$14.22$15.0041.1%11.8%45.2%12.1%44.2%3.0%-6.9%-672800.0K-11.9K2.35115.48N/AN/A3508243,4183,348
2016-11-21$14.81$15.0028.4%8.1%48.1%5.6%28.4%0.8%3.6%28.2K-385.5K-12.2K0.2698.59N/AN/A7972093,3383,185
2016-11-22$15.39$15.0027.8%8.0%50.3%5.3%28.2%4.7%3.1%50.3K-1.4M-13.7K0.4699.60N/AN/A6142803,7773,267
2016-11-23$15.40$15.0026.9%7.7%49.6%4.8%28.6%3.8%8.6%54.7K-1.5M-15.1K0.76102.19N/AN/A3232454,1113,380
2016-11-25$15.30$15.0028.1%8.1%48.7%5.5%29.6%2.4%0.3%63.1K-1.1M-13.3K0.44100.86N/AN/A3421524,1023,387
2016-11-28$15.07$15.0029.9%8.6%48.4%6.4%30.9%-2.1%3.9%46.2K-789.8K-14.2K0.76103.83N/AN/A2091583,9963,384
2016-11-29$14.97$15.0031.8%9.1%46.5%7.3%32.9%4.8%5.2%37.4K-543.1K-14.0K0.71105.06N/AN/A2291624,0543,395
2016-11-30$15.49$15.0033.8%9.7%46.5%8.4%34.4%17.8%15.5%55.6K-1.3M-13.8K0.98103.27N/AN/A1721684,0553,405