DLNG Options History — December 2016

In December 2016, DLNG traded between $14.92 and $15.98. ATM implied volatility averaged 30.0%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 1.1% (HV 20d: 29.0%). Max pain ranged from $15.00 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 0.74.

Notable Days

  • 2016-12-30: Highest Volume — 516 contracts
  • 2016-12-12: Largest IV spike — 72.8% change
  • 2016-12-12: Highest IV Rank — 14.1%
  • 2016-12-12: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.28$14.92$15.98$15.10$15.98
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV30.0%20.3%45.0%28.1%25.4%
Expected Move8.4%5.8%9.8%8.1%7.3%
HV 20d29.0%18.2%44.7%44.2%18.2%
HV 60d34.5%33.9%34.7%33.9%34.6%
IV Rank8.3%2.6%14.1%5.5%7.4%
IV Percentile18.1%0.4%48.8%10.3%6.3%
Term Structure3.6%-2.8%10.8%7.4%-0.1%
VWIV30.4%21.8%36.2%29.3%23.2%
Skew 25d13.4%-6.8%90.0%7.2%12.7%
Skew 10d22.8%-11.3%147.0%12.5%12.9%
Call IV 25d27.1%18.9%38.6%26.9%18.9%
Put IV 25d40.5%22.0%111.5%34.1%31.7%
Bid-Ask Spread %89.8583.59102.87100.7784.82
Gamma HHI0.470.380.710.380.48
Net GEX64.9K45.2K92.8K48.2K92.8K
Net DEX-1.1M-2.7M-401.7K-878.1K-2.7M
Net VEX-12.2K-14.2K-10.3K-13.9K-10.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.381.240.920.38
Total Volume356.286222516354516
Total OI7,287.6676,7507,7547,4616,992

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$15.10$15.0028.1%8.1%44.2%5.5%29.3%7.2%7.4%48.2K-878.1K-13.9K0.92100.77N/AN/A1841704,0753,386
2016-12-02$15.53$15.0029.0%8.3%44.7%5.9%33.5%7.4%9.1%58.3K-1.6M-14.2K0.92102.87N/AN/A2302124,0653,401
2016-12-05$15.55$15.0037.9%9.5%33.9%10.5%32.9%55.7%2.7%65.3K-1.6M-13.5K0.7591.63N/AN/A1981484,1233,402
2016-12-06$15.48$15.0033.5%9.1%33.5%8.2%32.0%58.3%4.1%65.9K-1.5M-13.6K0.7186.95N/AN/A1901354,1403,400
2016-12-07$15.26$15.0022.4%9.3%34.3%2.6%33.1%-1.1%3.5%58.2K-1.1M-13.2K0.9386.23N/AN/A1671564,1463,388
2016-12-08$15.09$15.0032.3%9.3%30.8%7.6%32.2%5.8%0.9%54.5K-754.6K-12.9K0.6586.28N/AN/A2661744,1743,408
2016-12-09$15.10$15.0026.0%8.7%30.2%4.4%31.0%90.0%4.9%52.8K-799.2K-13.0K0.6886.51N/AN/A2161474,1913,448
2016-12-12$15.01$15.0045.0%9.8%30.3%14.1%36.2%14.9%1.6%45.2K-672.6K-12.7K0.6486.96N/AN/A2111364,2023,475
2016-12-13$15.11$15.0043.4%9.6%30.2%13.3%35.2%-1.8%0.5%50.9K-782.1K-12.5K0.7683.59N/AN/A1901454,1983,469
2016-12-14$14.92$15.0031.7%9.1%29.7%7.3%34.1%-3.5%4.7%45.4K-401.7K-12.1K0.6993.67N/AN/A1901324,2163,481
2016-12-15$15.00$15.0031.8%9.1%29.7%7.4%33.4%-6.8%3.2%53.0K-488.6K-11.9K0.7884.38N/AN/A1731354,2163,483
2016-12-16$15.08$15.0032.0%9.2%29.4%13.4%32.2%8.1%3.3%66.8K-990.7K-12.1K0.8386.32N/AN/A2422014,2463,508
2016-12-19$15.22$15.0020.3%5.8%29.5%2.7%21.8%1.4%10.6%92.1K-833.0K-10.8K1.2496.63N/AN/A1451804,0852,665
2016-12-20$15.09$15.0027.8%8.0%26.2%9.5%27.7%3.8%-1.5%65.0K-745.1K-11.8K0.9385.87N/AN/A1981844,1102,680
2016-12-21$15.11$15.0028.1%8.1%22.2%9.9%27.9%3.8%2.1%65.0K-711.9K-11.7K0.7192.59N/AN/A1461034,1352,713
2016-12-22$15.10$15.0024.9%7.1%22.2%6.9%25.2%3.5%2.0%67.6K-659.2K-11.3K0.8285.80N/AN/A1221004,1572,708
2016-12-23$15.28$15.0026.9%7.7%22.5%8.8%27.1%5.1%5.8%73.1K-1.0M-11.4K0.5591.44N/AN/A173954,1622,707
2016-12-27$15.61$15.0032.0%9.2%23.0%13.5%32.3%-3.3%-2.8%80.3K-1.8M-11.4K0.4384.68N/AN/A2761194,1772,699
2016-12-28$15.52$15.0027.6%7.9%23.0%9.4%30.8%10.6%2.4%76.4K-1.7M-10.9K0.7590.30N/AN/A2121604,1732,682
2016-12-29$15.77$15.0024.6%7.1%20.3%6.7%26.8%9.7%10.8%86.4K-2.3M-10.3K0.5298.49N/AN/A2671384,1932,762
2016-12-30$15.98$15.0025.4%7.3%18.2%7.4%23.2%12.7%-0.1%92.8K-2.7M-10.4K0.3884.82N/AN/A3751414,2502,742