DLNG Options History — September 2017

In September 2017, DLNG traded between $13.20 and $14.38. ATM implied volatility averaged 35.2%, placing in the 39.8% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 3.5% (HV 20d: 31.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.33.

Notable Days

  • 2017-09-05: Highest Volume — 1,026 contracts
  • 2017-09-05: Largest IV spike — 89.5% change
  • 2017-09-05: Highest IV Rank — 80.3%
  • 2017-09-11: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.60$13.20$14.38$14.38$13.89
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV35.2%24.6%54.2%28.6%32.3%
Expected Move8.8%7.1%10.4%8.2%9.3%
HV 20d31.7%17.1%33.5%17.1%33.4%
HV 60d24.9%23.3%28.0%24.1%23.3%
IV Rank39.8%17.4%80.3%25.8%33.7%
IV Percentile66.9%17.5%99.2%44.4%66.3%
Term Structure-3.4%-14.4%9.2%-5.7%-13.5%
VWIV30.8%27.2%36.1%32.4%31.6%
Skew 25d-1.3%-17.4%12.4%-7.7%-16.0%
Skew 10d1.7%-11.3%14.0%-11.3%-0.1%
Call IV 25d29.5%16.4%38.2%32.4%36.5%
Put IV 25d28.2%19.9%35.1%24.7%20.5%
Bid-Ask Spread %45.6519.3791.5541.6921.37
Gamma HHI0.610.340.820.340.39
Net GEX-11.2K-24.7K10.8K10.8K9.1K
Net DEX1.7M909.4K2.2M920.6K909.4K
Net VEX-5.6K-8.8K-4.1K-8.8K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.100.880.160.30
Total Volume601.052801,026763280
Total OI5,030.14,3645,3045,2955,142

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$14.38$15.0028.6%8.2%17.1%25.8%32.4%-7.7%-5.7%10.8K920.6K-8.8K0.1641.69N/AN/A6601033,0252,270
2017-09-05$13.36$15.0054.2%9.9%30.4%80.3%31.0%5.0%1.9%-7.6K1.7M-5.9K0.1391.55N/AN/A9091173,0092,288
2017-09-06$13.69$15.0046.6%8.3%32.1%64.1%29.7%12.0%5.1%-12.8K1.8M-5.5K0.1349.20N/AN/A710912,8342,318
2017-09-07$13.68$15.0041.0%9.4%32.0%52.3%27.6%11.2%-1.8%-13.4K1.8M-5.5K0.1635.78N/AN/A7111112,8382,336
2017-09-08$13.74$15.0038.4%7.4%32.1%46.6%27.3%5.5%9.2%-14.5K1.9M-5.3K0.1837.26N/AN/A6101092,8382,355
2017-09-11$13.55$15.0048.5%10.4%32.2%68.2%32.0%-4.0%-9.7%-15.7K1.9M-5.1K0.1046.85N/AN/A598602,8272,363
2017-09-12$13.36$15.0049.8%8.8%32.1%70.9%30.8%9.0%-0.5%-19.7K2.1M-4.4K0.1766.92N/AN/A5991032,8632,383
2017-09-13$13.38$15.0026.9%7.7%32.2%22.3%28.4%12.4%4.9%-18.7K2.0M-4.6K0.3266.74N/AN/A5561762,8762,394
2017-09-14$13.20$15.0029.8%8.5%32.2%28.4%29.1%8.5%-2.0%-21.7K2.2M-4.2K0.2934.73N/AN/A5081472,8842,420
2017-09-15$13.27$15.0032.8%9.4%32.4%34.9%32.4%11.3%-3.1%-19.1K2.0M-4.8K0.3535.55N/AN/A6082152,8902,397
2017-09-18$13.28$15.0026.0%7.4%32.4%20.2%29.0%-3.9%3.0%-24.7K1.9M-4.1K0.7130.12N/AN/A2812002,1282,236
2017-09-19$13.45$15.0028.0%8.0%32.6%24.6%29.8%-5.7%-6.2%-24.0K1.9M-4.6K0.8843.96N/AN/A2272002,1712,267
2017-09-20$13.67$15.0031.1%8.9%32.2%31.2%31.7%-1.9%2.0%-18.7K1.6M-5.5K0.4860.65N/AN/A4081952,2492,267
2017-09-21$13.45$15.0032.1%9.2%32.6%33.3%27.2%-13.1%-7.6%-20.3K1.9M-4.6K0.4429.70N/AN/A2961292,4342,268
2017-09-22$13.55$15.0032.5%9.3%32.8%34.2%32.9%-4.2%-5.6%-13.3K1.7M-5.5K0.3541.13N/AN/A3901382,5822,274
2017-09-25$13.72$15.0032.9%9.4%32.9%35.0%33.3%-2.5%-3.4%-8.6K1.7M-5.6K0.4837.89N/AN/A2841372,6972,280
2017-09-26$13.91$15.0024.6%7.1%33.4%17.4%35.1%-7.4%-7.7%4581.2M-6.8K0.3688.48N/AN/A2951072,7532,281
2017-09-27$13.77$15.0033.3%9.5%33.5%35.8%27.9%-17.0%-12.4%4.3K1.1M-7.2K0.3933.98N/AN/A2641032,8102,261
2017-09-28$13.78$15.0034.1%9.8%33.4%37.5%36.1%-17.4%-14.4%5.0K1.0M-7.3K0.3019.37N/AN/A297892,8332,261
2017-09-29$13.89$15.0032.3%9.3%33.4%33.7%31.6%-16.0%-13.5%9.1K909.4K-7.5K0.3021.37N/AN/A216642,8872,255