NGL Options History — May 2013 In May 2013, NGL traded between $27.50 and $29.97. ATM implied volatility averaged 29.2%. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 7.2% (HV 20d: 22.1%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2013-05-24 : Highest Volume — 30 contracts2013-05-09 : Largest IV spike — 86.1% change2013-05-31 : Largest Expected Move — 10.6%Monthly Statistics Metric Avg Min Max Open Close Price $29.31 $27.50 $29.97 $29.10 $27.84 Max Pain $30.00 $30.00 $30.00 $30.00 $30.00 ATM IV 29.2% 16.7% 52.0% 31.3% 37.0% Expected Move 6.8% 5.1% 10.6% 9.0% 10.6% HV 20d 22.1% 14.7% 27.9% 27.9% 26.8% HV 60d 23.7% 21.8% 26.0% 25.4% 26.0% Term Structure 5.4% -17.6% 23.3% -9.4% -8.3% VWIV 24.9% 19.3% 28.6% 24.7% 28.6% Skew 25d 12.7% 4.0% 24.6% 13.0% 7.6% Skew 10d 9.5% 1.8% 27.3% 3.5% 7.6% Call IV 25d 24.1% 16.8% 34.6% 31.1% 30.6% Put IV 25d 36.8% 26.2% 51.6% 44.0% 38.3% Bid-Ask Spread % 126.42 23.74 142.12 133.71 136.18 Gamma HHI 0.73 0.43 0.91 0.55 0.76 Net GEX 4.2K 1.1K 8.6K 2.2K 4.2K Net DEX -39.5K -82.4K -9.3K -82.4K -25.1K Net VEX -242 -324 -131 -276 -289 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 3.273 0 30 2 0 Total OI 74.227 49 103 77 103
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 2013-05-01 $29.10 $30.00 31.3% 9.0% 27.9% 0.0% 0.0% 13.0% -9.4% 2.2K -82.4K -276 0.00 133.71 N/A N/A 0 2 51 26 2013-05-02 $29.37 $30.00 27.2% 7.8% 27.4% 0.0% 0.0% 11.9% -11.3% 1.1K -14.9K -200 0.00 134.26 N/A N/A 0 0 21 28 2013-05-03 $29.49 $30.00 28.2% 8.1% 26.4% 0.0% 24.7% 10.1% -17.6% 1.6K -23.4K -131 0.00 129.13 N/A N/A 1 0 21 28 2013-05-06 $29.60 $0.00 28.7% 5.4% 24.9% 0.0% 0.0% 24.6% 15.6% 1.5K -19.4K -177 0.00 129.13 N/A N/A 0 0 21 28 2013-05-07 $29.67 $0.00 27.6% 5.9% 24.9% 0.0% 19.3% 18.0% 11.2% 1.6K -18.2K -192 0.00 121.24 N/A N/A 25 0 21 28 2013-05-08 $29.82 $30.00 16.7% 5.2% 23.4% 0.0% 0.0% 8.4% 1.1% 8.6K -49.1K -227 0.00 23.74 N/A N/A 0 0 46 28 2013-05-09 $29.92 $30.00 31.1% 5.3% 23.1% 0.0% 0.0% 12.2% 22.9% 5.1K -59.7K -284 0.00 140.67 N/A N/A 0 0 46 28 2013-05-10 $29.76 $30.00 33.2% 5.2% 18.5% 0.0% 0.0% 12.2% 22.9% 6.1K -56.1K -270 0.00 141.31 N/A N/A 0 0 46 28 2013-05-13 $29.79 $30.00 39.2% 5.3% 18.3% 0.0% 0.0% 12.7% 23.3% 6.5K -57.6K -239 0.00 142.12 N/A N/A 0 0 46 28 2013-05-14 $29.00 $30.00 47.0% 6.4% 21.1% 0.0% 0.0% 13.3% 20.8% 4.4K -38.0K -250 0.00 138.97 N/A N/A 0 0 46 28 2013-05-15 $29.33 $30.00 52.0% 6.4% 21.2% 0.0% 0.0% 12.3% 19.9% 4.4K -51.4K -217 0.00 130.12 N/A N/A 0 0 46 28 2013-05-16 $29.45 $30.00 20.6% 5.9% 20.4% 0.0% 0.0% 13.6% 21.5% 5.8K -50.5K -217 0.00 139.25 N/A N/A 0 0 46 28 2013-05-17 $29.38 $30.00 20.9% 6.0% 19.5% 0.0% 0.0% 13.6% 21.1% 5.5K -49.1K -211 0.00 138.84 N/A N/A 0 0 46 28 2013-05-20 $29.48 $30.00 21.1% 6.1% 19.5% 0.0% 0.0% 14.1% 5.3% 3.9K -39.3K -196 0.00 140.40 N/A N/A 0 9 36 28 2013-05-21 $29.88 $30.00 17.6% 5.1% 18.7% 0.0% 0.0% 12.2% 1.6% 4.8K -40.6K -256 0.00 140.22 N/A N/A 0 0 36 37 2013-05-22 $29.80 $30.00 17.9% 5.1% 18.0% 0.0% 0.0% 12.3% 6.1% 4.6K -38.2K -255 0.00 139.82 N/A N/A 0 0 36 37 2013-05-23 $29.80 $30.00 21.8% 6.3% 17.8% 0.0% 0.0% 18.1% 5.2% 3.5K -32.1K -234 0.00 56.18 N/A N/A 0 0 36 37 2013-05-24 $29.97 $30.00 29.0% 8.3% 14.7% 0.0% 27.1% 19.5% -9.0% 3.3K -39.5K -251 0.00 129.64 N/A N/A 30 0 36 37 2013-05-28 $28.76 $30.00 26.9% 7.7% 20.9% 0.0% 0.0% 8.0% -4.9% 5.9K -45.1K -321 0.00 130.71 N/A N/A 0 0 66 37 2013-05-29 $27.50 $30.00 36.4% 10.4% 25.4% 0.0% 0.0% 4.0% -12.0% 3.2K -9.3K -324 0.00 132.68 N/A N/A 0 0 66 37 2013-05-30 $28.14 $30.00 31.8% 9.1% 26.9% 0.0% 28.6% 8.2% -7.5% 4.4K -30.6K -312 0.00 132.88 N/A N/A 5 0 66 37 2013-05-31 $27.84 $30.00 37.0% 10.6% 26.8% 0.0% 0.0% 7.6% -8.3% 4.2K -25.1K -289 0.00 136.18 N/A N/A 0 0 66 37
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