DLNG Options History — January 2017

In January 2017, DLNG traded between $16.17 and $17.18. ATM implied volatility averaged 26.5%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 3.4% (HV 20d: 23.1%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.27.

Notable Days

  • 2017-01-13: Highest Volume — 2,395 contracts
  • 2017-01-09: Largest IV spike — 65.9% change
  • 2017-01-03: Highest IV Rank — 20.7%
  • 2017-01-03: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.63$16.17$17.18$16.61$16.33
Max Pain$16.63$15.00$17.50$15.00$17.50
ATM IV26.5%16.4%39.9%39.9%30.0%
Expected Move7.8%5.3%11.4%11.4%8.6%
HV 20d23.1%20.2%26.0%20.4%25.8%
HV 60d34.3%30.9%35.6%35.3%30.9%
IV Rank10.8%0.0%20.7%20.7%15.8%
IV Percentile15.4%0.0%48.0%48.0%26.6%
Term Structure2.0%-12.0%15.4%-12.0%4.5%
VWIV27.3%18.1%39.1%39.1%23.5%
Skew 25d5.3%-9.5%27.6%8.3%5.9%
Skew 10d5.4%-9.9%24.4%4.2%4.2%
Call IV 25d25.6%17.4%33.7%26.9%23.3%
Put IV 25d30.9%22.0%49.0%35.1%29.2%
Bid-Ask Spread %94.0359.15113.9392.8270.67
Gamma HHI0.680.530.870.560.67
Net GEX77.7K23.6K148.9K113.3K82.9K
Net DEX-2.3M-4.1M-613.6K-4.1M-693.1K
Net VEX-10.6K-13.2K-7.9K-7.9K-11.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.051.110.630.14
Total Volume1,525.952172,3953661,426
Total OI6,121.253,2737,6337,1164,817

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$16.61$15.0039.9%11.4%20.4%20.7%39.1%8.3%-12.0%113.3K-4.1M-7.9K0.6392.82N/AN/A2241424,4042,712
2017-01-04$17.01$15.0024.1%6.9%21.6%6.2%24.7%27.6%14.1%108.3K-4.0M-10.9K1.1196.82N/AN/A4004454,4152,724
2017-01-05$17.04$15.0020.1%8.2%21.4%2.5%30.5%7.2%2.1%86.0K-3.2M-12.0K0.59106.73N/AN/A3582114,1522,999
2017-01-06$17.18$15.0016.4%6.5%20.2%0.0%31.4%6.4%3.7%85.1K-3.3M-12.1K0.05107.14N/AN/A2,1881194,1373,058
2017-01-09$16.75$15.0027.3%7.1%22.3%9.9%27.5%14.5%2.8%134.3K-3.3M-8.9K0.07102.58N/AN/A2,1171503,8643,062
2017-01-10$16.45$15.0022.8%7.0%23.7%5.7%26.7%-5.3%3.0%76.0K-2.7M-8.9K0.11101.87N/AN/A2,1552373,8923,061
2017-01-11$16.58$15.0023.9%6.9%23.5%6.8%24.2%5.7%3.8%91.8K-2.8M-10.3K0.08103.69N/AN/A2,1321733,9273,152
2017-01-12$16.58$17.5028.6%8.2%23.5%14.2%28.8%3.9%0.4%92.2K-2.9M-10.3K0.06110.39N/AN/A2,2091383,9603,203
2017-01-13$16.61$17.5018.5%5.3%22.7%2.4%18.1%11.9%9.3%94.2K-3.0M-10.0K0.07108.84N/AN/A2,2481474,0733,213
2017-01-17$16.40$17.5022.9%6.6%23.5%7.5%23.6%9.9%10.4%81.2K-2.8M-9.9K0.09103.48N/AN/A2,1091834,2353,213
2017-01-18$16.29$17.5032.6%9.3%23.9%18.8%33.1%-9.5%-8.8%50.4K-2.6M-9.6K0.11106.25N/AN/A1,7011804,2343,264
2017-01-19$16.38$17.5031.9%9.1%23.8%18.0%32.3%3.8%-2.5%23.6K-2.7M-9.8K0.11105.11N/AN/A1,7572004,2583,314
2017-01-20$16.52$17.5029.4%8.4%23.4%15.2%28.3%-6.7%-2.4%27.3K-2.8M-10.1K0.09102.54N/AN/A1,7721674,3163,317
2017-01-23$16.61$17.5023.0%6.6%23.4%7.7%26.2%6.0%5.2%34.1K-613.6K-10.1K0.32113.93N/AN/A3451111,8951,378
2017-01-24$16.72$17.5023.3%6.7%23.3%8.0%27.0%11.8%15.4%45.1K-948.7K-11.3K0.9777.24N/AN/A1101072,1601,378
2017-01-25$16.71$17.5025.7%7.4%23.2%10.9%25.7%-0.3%3.4%44.5K-870.8K-11.3K0.4179.24N/AN/A209852,1851,378
2017-01-26$16.91$17.5026.0%7.4%22.6%11.1%26.0%2.5%-3.2%55.2K-1.1M-11.2K0.0766.01N/AN/A1,315982,2181,371
2017-01-27$16.73$17.5030.0%8.6%22.9%15.9%29.6%0.9%-6.5%148.9K-1.7M-13.2K0.0766.09N/AN/A1,314873,3281,381
2017-01-30$16.17$17.5032.6%9.3%26.0%18.9%20.0%1.3%-2.1%78.9K-763.8K-11.6K0.1459.15N/AN/A1,2701803,3961,381
2017-01-31$16.33$17.5030.0%8.6%25.8%15.8%23.5%5.9%4.5%82.9K-693.1K-11.7K0.1470.67N/AN/A1,2461803,3471,470