NGL Options History — June 2013

In June 2013, NGL traded between $27.50 and $30.37. ATM implied volatility averaged 33.5%. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 3.5% (HV 20d: 30.0%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.14.

Notable Days

  • 2013-06-17: Highest Volume — 246 contracts
  • 2013-06-10: Largest IV spike — 69.7% change
  • 2013-06-10: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.10$27.50$30.37$28.00$30.19
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV33.5%24.5%61.1%39.7%24.5%
Expected Move9.1%7.0%16.6%11.4%7.0%
HV 20d30.0%24.7%33.2%26.9%24.7%
HV 60d26.9%25.9%28.1%25.9%26.4%
Term Structure-3.0%-27.3%9.5%-11.2%0.7%
VWIV34.4%22.6%52.4%32.5%22.6%
Skew 25d8.8%-11.6%39.9%8.8%7.4%
Skew 10d8.6%-2.0%46.1%10.1%10.2%
Call IV 25d34.1%20.2%54.0%34.4%26.7%
Put IV 25d42.9%22.2%90.3%43.2%34.0%
Bid-Ask Spread %126.3440.16159.45128.87146.32
Gamma HHI0.930.810.990.820.99
Net GEX18.4K3.3K42.8K3.5K25.8K
Net DEX-251.0K-585.6K-10.3K-27.8K-585.6K
Net VEX-1.4K-2.8K-232-321-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.001.360.001.36
Total Volume27.6502462052
Total OI263.7103456103427

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$28.00$30.0039.7%11.4%26.9%0.0%32.5%8.8%-11.2%3.5K-27.8K-3210.00128.87N/AN/A2006637
2013-06-04$27.50$30.0040.1%11.5%27.3%0.0%52.4%5.5%-14.3%3.3K-10.3K-2840.00132.49N/AN/A016637
2013-06-05$27.90$30.0039.1%11.2%28.0%0.0%34.1%9.2%-12.5%4.2K-19.0K-3090.00124.07N/AN/A506638
2013-06-06$27.95$30.0039.0%11.2%27.9%0.0%0.0%18.6%-3.8%4.6K-21.0K-2510.00134.68N/AN/A006638
2013-06-07$28.87$30.0036.0%9.1%30.6%0.0%0.0%10.9%-5.5%6.4K-52.5K-2320.00121.08N/AN/A006638
2013-06-10$28.80$30.0061.1%16.6%30.5%0.0%0.0%0.8%-27.3%4.4K-53.6K-3180.00159.45N/AN/A006638
2013-06-11$28.20$30.0039.5%8.0%31.3%0.0%0.0%8.4%-8.9%4.9K-20.7K-2620.00121.43N/AN/A1006638
2013-06-12$29.00$30.0046.5%9.2%31.7%0.0%0.0%39.9%-6.3%7.1K-52.6K-3000.00108.46N/AN/A8307638
2013-06-13$29.40$30.0028.8%8.3%31.8%0.0%30.5%36.3%-11.9%12.2K-164.2K-9330.00101.93N/AN/A55015938
2013-06-14$29.75$30.0028.1%8.1%32.1%0.0%0.0%25.7%0.6%22.2K-194.7K-9800.00125.65N/AN/A1016838
2013-06-17$29.64$30.0026.1%7.5%32.1%0.0%0.0%-11.6%0.8%25.3K-188.3K-9560.00138.24N/AN/A246016938
2013-06-18$29.71$30.0026.9%7.7%32.1%0.0%0.0%2.9%0.7%40.1K-452.2K-2.4K0.0040.16N/AN/A0039338
2013-06-19$29.59$30.0027.7%7.9%31.7%0.0%0.0%1.7%1.3%42.8K-429.5K-2.3K0.00126.32N/AN/A0039338
2013-06-20$28.83$30.0031.2%8.9%33.0%0.0%0.0%-6.1%9.5%25.7K-393.8K-2.3K0.00139.92N/AN/A50039338
2013-06-21$29.04$30.0028.8%8.3%33.2%0.0%0.0%-6.3%9.3%29.5K-424.6K-2.5K0.00135.99N/AN/A0041838
2013-06-24$29.15$30.0025.5%7.3%33.1%0.0%0.0%5.0%7.4%17.4K-412.4K-2.5K0.00140.91N/AN/A0036037
2013-06-25$29.97$30.0027.0%7.8%31.1%0.0%22.6%5.5%4.0%25.8K-452.8K-2.5K0.00131.12N/AN/A30036037
2013-06-26$30.37$30.0026.8%7.7%25.9%0.0%0.0%5.6%5.6%31.7K-540.3K-2.6K0.00134.56N/AN/A0039037
2013-06-27$30.19$30.0026.7%7.6%25.2%0.0%0.0%7.0%2.4%31.4K-523.6K-2.6K0.00135.19N/AN/A0039037
2013-06-28$30.19$30.0024.5%7.0%24.7%0.0%0.0%7.4%0.7%25.8K-585.6K-2.8K1.36146.32N/AN/A223039037