NGL Options History — November 2013

In November 2013, NGL traded between $31.00 and $32.61. ATM implied volatility averaged 25.1%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 4.5% (HV 20d: 20.6%). 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 9 of 20 days. Put/call ratio averaged 3.42.

Notable Days

  • 2013-11-20: Highest Volume — 2,348 contracts
  • 2013-11-06: Largest IV drop — 33.2% change
  • 2013-11-13: Highest IV Rank — 15.5%
  • 2013-11-01: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.99$31.00$32.61$31.00$32.48
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV25.1%19.4%32.1%29.4%23.0%
Expected Move7.5%5.6%8.4%8.4%6.6%
HV 20d20.6%18.1%25.2%25.2%18.1%
HV 60d25.2%24.9%25.8%25.8%25.0%
IV Rank9.1%3.9%15.5%13.0%7.2%
IV Percentile29.0%5.5%66.0%53.0%17.3%
Term Structure2.2%-2.0%11.1%-0.5%8.0%
VWIV26.3%17.8%29.2%28.3%17.8%
Skew 25d8.0%0.4%16.3%3.7%11.4%
Skew 10d11.7%0.5%21.1%21.1%11.6%
Call IV 25d20.5%12.8%31.3%31.3%15.4%
Put IV 25d28.5%25.5%35.0%35.0%26.8%
Bid-Ask Spread %78.4323.6097.9897.9858.78
Gamma HHI0.560.480.710.520.53
Net GEX77.3K13.4K198.7K13.5K194.8K
Net DEX-2.0M-5.6M-224.5K-224.5K-5.4M
Net VEX-14.7K-26.5K-9.0K-9.3K-26.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.420.0013.2311.752.00
Total Volume176.5512,348130
Total OI3,022.22,0284,9042,0284,904

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$31.00$30.0029.4%8.4%25.2%13.0%0.0%3.7%-0.5%13.5K-224.5K-9.3K0.0097.98N/AN/A011,048980
2013-11-04$31.20$30.0024.7%8.1%20.9%8.7%28.3%2.4%-1.0%16.6K-339.2K-9.0K11.7586.72N/AN/A8941,048981
2013-11-05$31.53$30.0029.8%8.1%21.3%13.4%28.2%8.5%-2.0%13.4K-334.1K-9.1K4.6093.28N/AN/A5231,0511,075
2013-11-06$31.51$30.0019.9%7.8%21.2%4.3%0.0%8.0%0.1%14.4K-400.6K-9.7K0.0393.63N/AN/A19351,0561,098
2013-11-07$32.33$30.0022.3%8.1%22.0%6.6%0.0%4.3%-0.0%40.4K-845.0K-10.3K0.4187.20N/AN/A34141,2291,103
2013-11-08$31.68$30.0022.1%8.1%23.4%6.4%29.0%0.6%-0.5%29.3K-512.8K-10.6K0.0084.10N/AN/A041,2201,117
2013-11-11$31.91$30.0025.5%8.2%22.7%9.5%28.8%7.8%-0.6%32.1K-608.6K-10.1K0.6092.59N/AN/A1061,2201,115
2013-11-12$31.50$30.0028.9%8.1%22.4%12.6%28.3%6.1%-0.6%25.9K-438.9K-10.2K9.0091.41N/AN/A191,2261,121
2013-11-13$31.79$30.0032.1%8.3%21.7%15.5%29.2%0.4%-1.5%34.1K-546.7K-9.9K0.2089.26N/AN/A1021,2271,130
2013-11-14$31.95$30.0028.3%8.1%20.4%12.0%28.3%11.9%-0.4%35.3K-599.1K-9.7K3.5392.40N/AN/A15531,2251,131
2013-11-15$32.40$30.0027.0%7.7%19.0%10.8%26.1%11.7%1.3%36.6K-763.9K-9.9K3.5782.73N/AN/A14501,2201,184
2013-11-18$32.16$30.0028.8%8.3%19.2%12.5%29.2%12.3%-0.2%30.9K-657.7K-10.1K3.0981.79N/AN/A11341,2091,138
2013-11-19$32.19$30.0028.0%8.0%19.1%11.7%24.2%2.8%-0.1%29.2K-667.7K-9.9K0.7671.48N/AN/A54411,2201,157
2013-11-20$31.80$30.0025.5%7.3%19.4%9.5%24.2%7.9%0.3%26.3K-506.7K-10.4K0.0283.68N/AN/A2,303451,2741,188
2013-11-21$32.29$30.0022.5%6.4%20.2%6.7%27.5%11.6%9.2%188.6K-5.2M-26.3K0.0084.63N/AN/A093,4371,229
2013-11-22$32.58$30.0020.8%6.0%20.2%5.2%0.0%16.3%11.1%198.7K-5.5M-25.6K0.0086.53N/AN/A2003,4371,220
2013-11-25$32.61$30.0019.4%5.6%19.3%3.9%21.8%4.4%2.1%194.5K-5.6M-25.7K0.2838.15N/AN/A119333,4511,220
2013-11-26$32.52$30.0020.6%5.9%18.2%5.0%28.7%14.0%8.9%196.5K-5.6M-25.6K13.2348.75N/AN/A131723,4981,218
2013-11-27$32.39$30.0022.4%6.4%18.1%6.6%21.6%13.3%10.4%194.4K-5.3M-26.5K5.0023.60N/AN/A16803,5111,328
2013-11-29$32.48$30.0023.0%6.6%18.1%7.2%17.8%11.4%8.0%194.8K-5.4M-26.5K2.0058.78N/AN/A10203,5261,378