NGL Options History — April 2013 In April 2013, NGL traded between $26.65 and $29.60. ATM implied volatility averaged 42.2%. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 15.2% (HV 20d: 27.0%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2013-04-01 : Highest Volume — 18 contracts2013-04-02 : Largest IV spike — 112.1% change2013-04-02 : Largest Expected Move — 19.8%Monthly Statistics Metric Avg Min Max Open Close Price $28.06 $26.65 $29.60 $27.44 $29.40 Max Pain $27.73 $25.00 $30.00 $25.00 $30.00 ATM IV 42.2% 24.9% 85.4% 32.5% 31.9% Expected Move 9.9% 7.1% 19.8% 9.3% 9.1% HV 20d 27.0% 19.8% 30.7% 19.8% 28.7% HV 60d 25.5% 25.1% 25.8% 25.6% 25.5% Term Structure -7.0% -56.6% 9.4% -14.6% -8.2% VWIV 32.9% 31.6% 34.2% 31.6% 34.2% Skew 25d 5.3% -5.6% 33.1% 1.8% 11.9% Skew 10d 5.3% -1.3% 13.1% 6.6% 3.9% Call IV 25d 26.8% 11.2% 32.7% 27.7% 32.7% Put IV 25d 32.1% 23.9% 44.6% 29.6% 44.6% Bid-Ask Spread % 133.60 56.01 175.52 129.14 134.56 Gamma HHI 0.53 0.37 0.78 0.48 0.52 Net GEX 2.0K 305 3.1K 305 2.1K Net DEX -86.3K -125.2K -58.3K -66.8K -86.3K Net VEX -286 -364 -92 -321 -283 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 2.182 0 18 18 0 Total OI 77.909 67 91 71 77
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2013-04-01 $27.44 $25.00 32.5% 9.3% 19.8% 0.0% 0.0% 1.8% -14.6% 305 -66.8K -321 0.00 129.14 N/A N/A 18 0 41 30 2013-04-02 $27.95 $25.00 69.0% 19.8% 20.2% 0.0% 0.0% 9.9% -37.4% 1.1K -93.8K -338 0.00 174.40 N/A N/A 0 0 51 30 2013-04-03 $27.40 $25.00 55.1% 15.8% 22.0% 0.0% 0.0% -0.6% -45.2% 1.6K -84.4K -326 0.00 173.78 N/A N/A 0 0 51 30 2013-04-04 $27.05 $25.00 57.2% 16.4% 23.0% 0.0% 0.0% -0.0% -56.6% 1.4K -73.7K -362 0.00 175.52 N/A N/A 0 0 51 30 2013-04-05 $26.65 $25.00 55.9% 7.6% 24.0% 0.0% 0.0% -1.9% 8.6% 1.4K -69.2K -364 0.00 133.55 N/A N/A 0 0 51 30 2013-04-08 $27.42 $25.00 65.5% 8.5% 25.1% 0.0% 0.0% -0.8% 1.8% 1.7K -85.4K -311 0.00 131.17 N/A N/A 0 0 51 30 2013-04-09 $27.63 $25.00 78.1% 9.8% 24.9% 0.0% 31.6% -5.6% -3.6% 1.7K -89.5K -298 0.00 124.93 N/A N/A 10 0 51 30 2013-04-10 $28.37 $25.00 85.4% 8.3% 24.7% 0.0% 0.0% 7.8% 3.6% 2.6K -106.8K -310 0.00 130.31 N/A N/A 0 0 61 30 2013-04-11 $28.15 $25.00 28.1% 8.1% 25.3% 0.0% 0.0% 3.9% 3.2% 2.6K -102.3K -312 0.00 132.48 N/A N/A 0 0 61 30 2013-04-12 $27.18 $25.00 35.4% 10.2% 29.3% 0.0% 34.2% 7.3% 9.4% 2.2K -72.3K -350 0.00 124.54 N/A N/A 10 0 61 30 2013-04-15 $27.07 $30.00 32.9% 9.4% 29.2% 0.0% 0.0% -4.0% -0.3% 1.1K -58.3K -312 0.00 133.97 N/A N/A 0 0 51 30 2013-04-16 $27.45 $30.00 32.7% 9.4% 29.2% 0.0% 0.0% -2.1% -1.5% 1.6K -66.1K -287 0.00 132.56 N/A N/A 0 0 51 30 2013-04-17 $27.38 $30.00 35.7% 10.2% 29.2% 0.0% 0.0% -4.0% -6.6% 1.6K -65.0K -279 0.00 134.23 N/A N/A 0 0 51 30 2013-04-18 $27.91 $30.00 34.0% 9.8% 29.6% 0.0% 0.0% 2.4% 0.2% 2.8K -81.6K -253 0.00 130.10 N/A N/A 0 0 51 30 2013-04-19 $28.45 $30.00 32.4% 9.3% 30.0% 0.0% 0.0% 7.4% 1.3% 2.6K -91.0K -263 0.00 130.94 N/A N/A 0 0 51 30 2013-04-22 $28.55 $30.00 30.1% 8.6% 29.9% 0.0% 0.0% 10.2% -6.1% 2.7K -92.3K -248 0.00 130.64 N/A N/A 0 0 51 16 2013-04-23 $29.16 $30.00 27.1% 7.8% 30.4% 0.0% 0.0% 12.3% -4.7% 3.1K -99.9K -230 0.00 128.62 N/A N/A 0 0 51 16 2013-04-24 $29.60 $30.00 24.9% 7.1% 30.6% 0.0% 0.0% 8.4% 8.5% 1.8K -125.2K -92 0.00 56.01 N/A N/A 0 0 51 16 2013-04-25 $29.42 $30.00 29.5% 8.5% 30.7% 0.0% 0.0% 10.3% -6.1% 2.6K -98.9K -268 0.00 139.05 N/A N/A 0 0 51 16 2013-04-26 $28.65 $30.00 28.2% 8.1% 29.5% 0.0% 0.0% 9.6% -8.7% 2.7K -93.1K -241 0.00 128.54 N/A N/A 0 0 51 16 2013-04-29 $29.00 $30.00 26.6% 7.6% 29.0% 0.0% 0.0% 33.1% 7.9% 3.0K -95.7K -234 0.00 130.04 N/A N/A 0 10 51 16 2013-04-30 $29.40 $30.00 31.9% 9.1% 28.7% 0.0% 0.0% 11.9% -8.2% 2.1K -86.3K -283 0.00 134.56 N/A N/A 0 0 51 26
« Mar 2013 | All History | May 2013 » Home NGL History April 2013