NGL Options History — August 2013

In August 2013, NGL traded between $28.21 and $30.99. ATM implied volatility averaged 23.9%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.0% (HV 20d: 21.9%). 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 17 of 22 days. Put/call ratio averaged 0.21.

Notable Days

  • 2013-08-20: Highest Volume — 156 contracts
  • 2013-08-12: Largest IV spike — 96.9% change
  • 2013-08-14: Highest IV Rank — 20.7%
  • 2013-08-12: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.44$28.21$30.99$28.50$30.88
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV23.9%15.2%37.8%27.1%15.2%
Expected Move6.8%4.4%8.5%7.8%4.4%
HV 20d21.9%14.6%31.8%31.8%22.3%
HV 60d28.2%26.6%29.9%28.4%26.7%
IV Rank8.3%0.1%20.7%9.0%0.1%
IV Percentile23.2%0.7%74.0%19.8%0.7%
Term Structure4.0%-2.2%16.9%16.9%9.5%
VWIV23.3%13.1%32.7%13.1%15.0%
Skew 25d3.9%-5.7%15.4%15.4%-0.9%
Skew 10d5.3%-6.6%17.2%4.1%10.7%
Call IV 25d24.9%14.7%31.5%14.7%17.0%
Put IV 25d28.8%16.1%43.9%30.1%16.1%
Bid-Ask Spread %78.5819.11133.1137.8253.73
Gamma HHI0.920.890.960.910.92
Net GEX119.9K71.4K212.4K83.3K162.3K
Net DEX-891.0K-2.2M-191.3K-427.4K-2.2M
Net VEX-5.6K-6.7K-4.5K-5.2K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.001.600.000.15
Total Volume36.54501562323
Total OI1,356.9551,1121,4971,3231,497

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$28.50$30.0027.1%7.8%31.8%0.0%13.1%15.4%16.9%83.3K-427.4K-5.2K0.0037.82N/AN/A2301,046277
2013-08-02$28.50$30.0018.4%5.3%29.7%0.0%32.7%5.1%10.5%86.9K-374.3K-5.3K0.0048.19N/AN/A401,063277
2013-08-05$29.06$30.0028.5%6.7%30.6%0.0%23.4%1.7%4.8%108.7K-605.0K-5.5K0.0097.62N/AN/A1201,063277
2013-08-06$28.99$30.0021.8%5.9%15.6%0.0%22.3%-2.9%5.9%117.5K-631.8K-5.6K0.00100.20N/AN/A4001,075277
2013-08-07$28.80$30.0019.9%6.2%14.6%0.0%24.4%-3.0%2.8%105.3K-513.7K-5.4K0.00107.33N/AN/A201,095277
2013-08-08$29.35$30.0025.5%7.4%16.3%0.0%25.5%-3.4%-2.2%121.7K-843.9K-5.6K0.5771.22N/AN/A21121,095277
2013-08-09$29.68$30.0015.2%8.1%16.7%0.0%0.0%6.8%-0.8%212.4K-919.8K-5.7K0.00110.16N/AN/A061,105282
2013-08-12$29.01$30.0029.8%8.5%18.5%0.0%0.0%-0.4%-1.9%120.9K-662.4K-5.3K0.00109.16N/AN/A001,105282
2013-08-13$28.57$30.0025.0%7.1%19.2%9.0%0.0%-5.7%-0.0%79.7K-343.0K-4.9K0.0040.12N/AN/A001,105282
2013-08-14$28.21$30.0037.8%6.7%19.5%20.7%0.0%-5.2%-1.1%71.4K-191.3K-4.5K0.0062.02N/AN/A001,105282
2013-08-15$28.81$30.0021.8%6.2%21.1%6.0%0.0%11.8%2.6%114.0K-439.8K-4.8K0.00111.27N/AN/A031,105279
2013-08-16$29.63$30.0029.3%8.4%23.3%12.9%30.3%0.4%0.7%180.6K-934.6K-5.3K0.0439.13N/AN/A14461,105282
2013-08-19$29.30$30.0022.7%6.5%23.0%6.9%22.8%2.9%2.5%77.3K-638.6K-5.3K0.6922.06N/AN/A2618841271
2013-08-20$29.55$30.0025.6%7.3%22.3%9.6%26.2%7.7%2.2%78.1K-688.6K-5.5K0.1096.83N/AN/A14214857280
2013-08-21$29.45$30.0024.9%7.1%22.2%9.0%27.5%7.2%2.4%86.0K-741.8K-5.8K1.6099.41N/AN/A58955294
2013-08-22$29.61$30.0019.6%5.6%22.2%4.0%18.7%13.7%6.8%115.6K-823.6K-5.9K0.00113.98N/AN/A1470960299
2013-08-23$30.15$30.0022.5%6.5%23.0%6.8%19.7%12.5%11.6%169.4K-1.3M-6.2K0.25133.11N/AN/A2051,107299
2013-08-26$30.01$30.0020.3%5.8%22.9%4.7%0.0%1.6%8.8%150.6K-1.4M-6.5K0.00112.17N/AN/A001,127302
2013-08-27$30.14$30.0024.2%6.9%22.4%8.3%24.2%6.2%1.9%130.1K-1.4M-6.5K0.0019.11N/AN/A6001,127302
2013-08-28$30.51$30.0027.0%7.7%22.1%10.8%0.0%7.7%2.2%123.3K-1.6M-6.7K0.00109.16N/AN/A201,157302
2013-08-29$30.99$30.0023.5%6.7%22.2%7.7%23.6%5.7%3.1%143.5K-1.9M-6.1K0.0034.94N/AN/A6101,156302
2013-08-30$30.88$30.0015.2%4.4%22.3%0.1%15.0%-0.9%9.5%162.3K-2.2M-6.0K0.1553.73N/AN/A2031,195302