NGL Options History — September 2013

In September 2013, NGL traded between $30.30 and $33.73. ATM implied volatility averaged 28.5%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 4.1% (HV 20d: 24.4%). 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 1.59.

Notable Days

  • 2013-09-20: Highest Volume — 616 contracts
  • 2013-09-16: Largest IV spike — 76.7% change
  • 2013-09-16: Highest IV Rank — 23.1%
  • 2013-09-16: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.52$30.30$33.73$30.78$30.84
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV28.5%18.7%40.4%33.5%32.4%
Expected Move8.4%6.6%11.6%9.6%9.3%
HV 20d24.4%20.4%30.7%21.7%30.0%
HV 60d26.7%24.8%28.6%25.9%27.7%
IV Rank12.2%3.2%23.1%16.8%15.7%
IV Percentile45.4%6.3%81.9%70.7%68.6%
Term Structure0.2%-9.9%9.2%-9.9%6.3%
VWIV26.9%22.5%30.5%22.5%30.5%
Skew 25d8.8%-0.7%40.2%2.5%19.0%
Skew 10d20.1%-2.8%38.1%10.1%38.1%
Call IV 25d27.9%13.6%41.6%36.8%30.9%
Put IV 25d36.7%26.2%53.8%39.3%49.8%
Bid-Ask Spread %91.9923.57140.42112.21109.15
Gamma HHI0.750.480.940.910.65
Net GEX131.4K81.6K208.5K137.5K113.2K
Net DEX-2.4M-4.2M-1.2M-1.9M-1.2M
Net VEX-7.5K-11.3K-4.4K-6.3K-11.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.0015.800.000.00
Total Volume96.3061613046
Total OI1,897.71,5202,3291,5202,329

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$30.78$30.0033.5%9.6%21.7%16.8%0.0%2.5%-9.9%137.5K-1.9M-6.3K0.00112.21N/AN/A13001,215305
2013-09-04$31.00$30.0027.8%8.0%21.6%11.6%22.5%1.5%4.0%186.7K-2.3M-6.4K1.92109.92N/AN/A26501,334305
2013-09-05$31.10$30.0035.3%10.1%21.3%18.4%0.0%5.2%-5.9%151.2K-2.3M-6.6K0.00108.75N/AN/A001,355305
2013-09-06$31.25$30.0024.1%7.3%20.5%8.1%0.0%6.9%2.6%185.5K-2.5M-6.1K0.00108.31N/AN/A021,355305
2013-09-09$31.14$30.0018.7%7.5%20.4%3.2%0.0%12.1%3.0%175.9K-2.6M-5.8K0.0099.73N/AN/A001,355307
2013-09-10$30.30$30.0026.4%7.8%21.2%10.2%27.1%21.1%-0.1%208.5K-1.8M-6.3K0.0088.10N/AN/A2001,355307
2013-09-11$31.19$30.0023.6%8.0%22.2%7.7%27.8%16.4%1.1%200.7K-2.6M-5.7K0.09102.10N/AN/A5751,355307
2013-09-12$31.47$30.0027.1%7.8%21.3%11.0%0.0%3.5%0.4%139.0K-2.8M-5.4K0.0057.29N/AN/A001,328312
2013-09-13$32.49$30.0022.9%6.6%22.6%7.0%0.0%3.7%9.2%111.1K-3.3M-4.4K0.0086.30N/AN/A18801,328312
2013-09-16$32.36$30.0040.4%11.6%21.3%23.1%0.0%40.2%-9.1%107.6K-3.2M-6.9K15.80140.42N/AN/A101581,499312
2013-09-17$32.46$30.0028.8%8.3%20.5%12.5%0.0%3.7%-1.0%81.6K-3.5M-6.0K0.0042.13N/AN/A001,509442
2013-09-18$32.95$30.0030.9%8.8%20.8%14.4%0.0%4.5%-0.7%92.7K-3.6M-6.2K0.00114.02N/AN/A20701,509442
2013-09-19$33.73$30.0024.1%6.9%21.4%8.2%0.0%-0.7%-2.5%87.3K-4.2M-6.0K0.0040.95N/AN/A301,655442
2013-09-20$32.19$30.0028.1%8.1%28.7%11.8%27.4%0.9%-1.1%103.3K-3.5M-6.8K0.9080.97N/AN/A3242921,653442
2013-09-23$31.35$30.0026.2%7.5%30.1%10.1%26.1%5.9%1.5%93.5K-1.5M-9.9K0.00104.15N/AN/A23301,266732
2013-09-24$30.86$30.0023.5%6.7%30.7%7.6%23.4%4.7%8.4%121.0K-1.6M-11.2K1.50115.23N/AN/A20301,473732
2013-09-25$31.00$30.0030.3%8.7%30.7%13.9%30.4%5.3%0.3%109.8K-1.4M-10.6K2.0023.57N/AN/A20401,473761
2013-09-26$30.89$30.0029.5%8.4%30.5%13.1%0.0%8.6%3.0%103.1K-1.4M-11.2K0.0093.62N/AN/A1001,473791
2013-09-27$31.01$30.0035.9%10.3%30.0%19.0%0.0%11.7%-5.0%119.5K-1.4M-10.6K0.00102.89N/AN/A0551,483791
2013-09-30$30.84$30.0032.4%9.3%30.0%15.7%30.5%19.0%6.3%113.2K-1.2M-11.3K0.00109.15N/AN/A4601,483846