NGL Options History — October 2013

In October 2013, NGL traded between $30.43 and $32.25. ATM implied volatility averaged 31.9%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 3.1% (HV 20d: 28.8%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 0.92.

Notable Days

  • 2013-10-17: Highest Volume — 76 contracts
  • 2013-10-10: Largest IV spike — 44.0% change
  • 2013-10-28: Highest IV Rank — 19.6%
  • 2013-10-28: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.54$30.43$32.25$31.45$31.46
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV31.9%21.7%36.6%27.0%31.1%
Expected Move9.5%7.7%10.5%7.7%8.9%
HV 20d28.8%24.8%34.6%30.8%25.3%
HV 60d25.3%23.2%27.9%27.9%25.9%
IV Rank15.3%6.0%19.6%10.8%14.6%
IV Percentile63.8%11.4%79.9%40.0%59.9%
Term Structure-3.4%-6.8%11.9%11.9%-5.0%
VWIV32.6%29.3%34.2%33.5%34.1%
Skew 25d10.4%3.2%17.2%14.7%5.5%
Skew 10d14.2%5.0%38.7%31.0%26.4%
Call IV 25d22.4%17.3%31.7%17.4%25.4%
Put IV 25d32.8%27.0%47.0%32.1%30.9%
Bid-Ask Spread %52.3819.4699.1737.3270.50
Gamma HHI0.550.400.740.610.64
Net GEX70.7K20.9K187.3K104.4K20.9K
Net DEX-1.5M-2.8M-442.8K-1.7M-486.7K
Net VEX-9.9K-10.8K-8.7K-10.7K-9.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.0010.000.001.00
Total Volume27.56507605
Total OI2,291.131,9592,6492,3532,023

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$31.45$30.0027.0%7.7%30.8%10.8%0.0%14.7%11.9%104.4K-1.7M-10.7K0.0037.32N/AN/A001,507846
2013-10-02$31.22$30.0030.1%8.6%30.8%13.7%0.0%6.5%3.3%102.0K-1.6M-10.8K0.0066.85N/AN/A2801,507846
2013-10-03$30.93$30.0035.3%10.1%31.0%18.4%0.0%15.2%-2.5%101.2K-1.4M-10.7K0.0099.17N/AN/A201,524846
2013-10-04$30.43$30.0032.7%9.4%31.4%16.0%0.0%3.5%-5.2%113.0K-1.1M-10.8K0.0067.20N/AN/A0161,525846
2013-10-07$31.65$30.0029.8%9.9%34.6%13.4%0.0%3.2%-6.8%142.9K-2.0M-9.7K0.2495.53N/AN/A2561,525862
2013-10-08$31.60$30.0024.2%9.6%33.0%8.2%33.5%10.7%-4.1%88.9K-2.1M-9.9K0.2460.69N/AN/A2151,519868
2013-10-09$31.76$30.0021.7%9.3%31.4%6.0%32.6%11.5%-4.4%68.2K-2.3M-9.8K0.0741.43N/AN/A6751,538870
2013-10-10$31.19$30.0031.2%9.0%32.0%14.7%0.0%7.0%-3.4%128.1K-1.9M-10.3K0.0057.76N/AN/A0101,596870
2013-10-11$31.25$30.0032.8%9.4%29.6%16.1%32.8%7.5%-5.3%104.8K-2.2M-9.8K0.3743.55N/AN/A30111,596879
2013-10-14$31.78$30.0034.0%9.7%30.4%17.2%0.0%13.5%-5.3%68.8K-2.4M-9.8K10.0086.13N/AN/A1101,616890
2013-10-15$31.26$30.0033.3%9.5%30.8%16.6%0.0%10.8%-4.8%102.5K-2.2M-9.7K0.0082.93N/AN/A0361,617900
2013-10-16$30.76$30.0031.7%9.1%30.5%15.1%31.7%5.0%-3.8%187.3K-1.9M-10.1K0.3358.91N/AN/A30101,617936
2013-10-17$31.46$30.0034.2%9.8%30.4%17.4%34.2%12.1%-6.1%49.8K-2.4M-9.6K0.6520.03N/AN/A46301,642946
2013-10-18$32.25$30.0034.8%10.0%27.4%18.0%0.0%17.2%-6.7%31.8K-2.8M-9.4K0.0622.39N/AN/A3121,673976
2013-10-21$32.20$30.0032.4%9.3%25.6%15.8%32.4%13.5%-0.9%24.1K-796.7K-9.5K0.0041.12N/AN/A1401,044915
2013-10-22$32.09$30.0032.8%9.4%24.8%16.1%29.3%14.1%-3.1%24.8K-760.6K-9.8K1.4719.46N/AN/A17251,050915
2013-10-23$31.85$30.0034.9%10.0%25.0%18.1%0.0%14.5%-3.4%21.9K-601.5K-9.8K0.1423.36N/AN/A5881,067940
2013-10-24$31.88$30.0033.2%9.5%25.0%16.5%0.0%11.9%-4.2%25.8K-571.8K-9.8K0.0020.88N/AN/A0111,090947
2013-10-25$31.66$30.0034.1%9.8%25.1%17.3%34.1%9.2%-4.8%24.1K-442.8K-9.7K0.0045.07N/AN/A3001,090958
2013-10-28$32.22$30.0036.6%10.5%25.7%19.6%0.0%15.8%-5.3%34.0K-776.1K-8.7K1.0026.75N/AN/A15151,110958
2013-10-29$31.69$30.0033.8%9.7%25.6%17.1%0.0%10.2%-4.8%27.9K-503.6K-9.8K0.0019.96N/AN/A1001,125973
2013-10-30$31.47$30.0031.8%9.1%25.6%15.2%0.0%5.9%-3.0%27.7K-462.6K-9.7K1.0097.73N/AN/A221,135973
2013-10-31$31.46$30.0031.1%8.9%25.3%14.6%0.0%5.5%-5.0%20.9K-486.7K-9.1K0.0070.50N/AN/A051,048975