NGL Options History — July 2013

In July 2013, NGL traded between $28.70 and $31.41. ATM implied volatility averaged 25.6%. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 6.3% (HV 20d: 31.9%). 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 11 of 22 days. Put/call ratio averaged 3.44.

Notable Days

  • 2013-07-09: Highest Volume — 1,590 contracts
  • 2013-07-25: Largest IV spike — 46.7% change
  • 2013-07-16: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.50$28.70$31.41$30.49$28.70
Max Pain$29.47$25.00$30.00$30.00$30.00
ATM IV25.6%18.4%31.2%26.5%23.8%
Expected Move7.3%5.3%8.9%7.6%6.8%
HV 20d31.9%24.1%36.9%24.8%32.2%
HV 60d28.1%25.9%29.5%26.2%28.3%
Term Structure1.7%-5.4%16.4%-3.9%6.7%
VWIV26.4%12.1%36.4%36.4%26.4%
Skew 25d7.7%-7.7%23.3%7.8%19.1%
Skew 10d4.6%-12.5%14.7%4.2%11.8%
Call IV 25d25.5%13.7%32.8%25.1%20.5%
Put IV 25d33.2%22.7%45.4%32.9%39.5%
Bid-Ask Spread %106.7249.83147.80147.80117.54
Gamma HHI0.920.861.000.920.92
Net GEX61.9K22.1K101.6K22.3K80.3K
Net DEX-273.5K-724.8K3.5M-638.5K-409.4K
Net VEX-4.7K-5.8K-3.0K-3.2K-5.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.440.0047.001.250.00
Total Volume126.63601,59000
Total OI1,0734792,0024791,334

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$30.49$30.0026.5%7.6%24.8%0.0%0.0%7.8%-3.9%22.3K-638.5K-3.2K0.00147.80N/AN/A0041267
2013-07-02$29.93$30.0027.8%8.0%24.9%0.0%0.0%5.0%-5.1%24.5K-610.4K-3.1K0.00146.58N/AN/A0041267
2013-07-03$30.27$30.0026.9%7.7%24.7%0.0%0.0%7.4%0.3%28.3K-582.7K-3.1K1.25136.05N/AN/A202541267
2013-07-05$31.12$0.0027.9%7.4%26.1%0.0%0.0%7.0%5.9%22.1K-724.8K-3.5K1.88134.79N/AN/A81543292
2013-07-08$31.41$0.0030.0%6.8%24.1%0.0%0.0%5.1%-3.3%37.2K-674.2K-3.1K0.00120.28N/AN/A110424107
2013-07-09$29.16$0.0028.9%8.2%36.9%0.0%36.4%-7.7%-1.3%27.1K-351.1K-3.3K7.15109.26N/AN/A1951,395434107
2013-07-10$29.61$25.0024.9%8.1%36.3%0.0%31.1%4.0%-3.4%32.5K3.5M-3.0K0.0297.89N/AN/A23145051,497
2013-07-11$29.59$25.0027.4%7.9%35.0%0.0%27.4%-0.3%-0.5%76.6K-245.4K-4.3K0.4788.83N/AN/A15070725296
2013-07-12$29.45$30.0028.4%8.2%34.7%0.0%0.0%0.5%-1.3%85.5K-468.1K-5.1K47.0094.53N/AN/A294856266
2013-07-15$29.30$30.0028.5%8.2%34.5%0.0%28.6%1.1%-2.9%83.7K-229.8K-5.2K0.0094.56N/AN/A220858351
2013-07-16$29.11$30.0031.2%8.9%34.6%0.0%31.3%-0.3%-5.4%69.8K-216.8K-5.2K0.3992.67N/AN/A3815880351
2013-07-17$28.93$30.0026.1%7.5%34.6%0.0%26.5%3.0%0.2%63.3K-152.3K-5.2K0.0092.04N/AN/A730892366
2013-07-18$28.97$30.0027.0%7.7%34.6%0.0%27.1%-3.0%-1.9%68.7K-182.6K-5.5K0.0066.78N/AN/A650962366
2013-07-19$28.95$30.0026.0%7.5%33.3%0.0%28.7%8.6%-1.6%70.5K-169.0K-5.3K0.0090.53N/AN/A790979366
2013-07-22$29.42$30.0025.9%7.4%33.7%0.0%24.9%17.5%0.1%59.6K-641.9K-5.8K0.02117.88N/AN/A832859262
2013-07-23$28.92$30.0019.3%5.5%34.2%0.0%15.8%5.0%1.4%64.4K-562.7K-5.6K0.05100.42N/AN/A935902264
2013-07-24$29.15$30.0018.4%5.3%32.8%0.0%12.1%18.5%14.7%88.7K-483.2K-5.5K0.00116.13N/AN/A220995262
2013-07-25$29.04$30.0027.0%7.7%32.3%0.0%26.4%16.6%0.6%78.4K-564.7K-5.7K3.7596.43N/AN/A4151,011262
2013-07-26$29.10$30.0018.6%5.3%32.3%0.0%0.0%9.0%9.8%87.4K-520.6K-5.8K0.0049.83N/AN/A001,010277
2013-07-29$29.40$30.0020.1%5.7%32.6%0.0%0.0%23.3%11.7%101.6K-551.8K-5.6K0.00115.81N/AN/A4801,010277
2013-07-30$29.06$30.0022.9%6.6%32.5%0.0%0.0%22.6%16.4%89.0K-580.4K-5.8K0.00121.16N/AN/A201,055277
2013-07-31$28.70$30.0023.8%6.8%32.2%0.0%0.0%19.1%6.7%80.3K-409.4K-5.3K0.00117.54N/AN/A001,057277