NGL Options History — December 2013

In December 2013, NGL traded between $30.97 and $34.50. ATM implied volatility averaged 24.1%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 7.9% (HV 20d: 16.2%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2013-12-31: Highest Volume — 255 contracts
  • 2013-12-03: Largest IV spike — 43.9% change
  • 2013-12-16: Highest IV Rank — 11.1%
  • 2013-12-09: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.16$30.97$34.50$32.52$34.50
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV24.1%17.0%27.3%17.0%24.4%
Expected Move6.9%4.9%7.9%4.9%7.0%
HV 20d16.2%14.3%19.1%17.0%19.1%
HV 60d22.0%19.8%25.0%25.0%20.4%
IV Rank8.2%1.7%11.1%1.7%8.4%
IV Percentile24.9%1.5%44.6%1.5%24.2%
Term Structure4.3%-3.8%15.1%10.2%1.0%
VWIV22.8%12.0%29.1%18.1%24.4%
Skew 25d9.6%-1.1%21.4%14.1%-1.1%
Skew 10d11.4%-2.6%19.2%13.8%-1.5%
Call IV 25d18.5%12.1%25.2%13.7%24.1%
Put IV 25d28.1%23.0%33.4%27.8%23.0%
Bid-Ask Spread %82.5625.28103.4228.8525.28
Gamma HHI0.570.500.650.530.52
Net GEX199.2K166.7K259.8K195.0K259.8K
Net DEX-5.0M-7.8M-3.7M-5.4M-7.8M
Net VEX-24.3K-26.4K-20.9K-26.2K-21.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.001.500.670.02
Total Volume43.524025510255
Total OI4,963.6194,7655,0864,9224,916

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$32.52$30.0017.0%4.9%17.0%1.7%0.0%14.1%10.2%195.0K-5.4M-26.2K0.6728.85N/AN/A643,5241,398
2013-12-03$32.41$30.0024.5%7.0%17.1%8.5%0.0%13.7%-3.8%200.8K-5.3M-26.4K1.50103.42N/AN/A14213,5301,399
2013-12-04$32.27$30.0025.5%7.3%16.9%9.5%18.1%12.9%0.2%189.6K-5.1M-25.9K0.0093.16N/AN/A1903,5431,420
2013-12-05$32.05$30.0025.7%7.4%17.1%9.6%26.3%9.0%1.9%193.8K-4.8M-25.5K0.9460.43N/AN/A34323,5311,420
2013-12-06$31.35$30.0023.3%7.5%16.3%7.4%26.5%9.2%3.6%168.4K-4.0M-25.7K0.2389.56N/AN/A91213,5341,425
2013-12-09$31.58$30.0027.2%7.9%15.0%11.0%27.6%9.8%0.5%191.2K-4.2M-25.5K0.0087.73N/AN/A0113,5901,446
2013-12-10$31.79$30.0026.4%6.4%15.0%10.3%0.0%10.0%9.8%190.7K-4.5M-25.2K0.0088.08N/AN/A013,5901,455
2013-12-11$31.66$30.0027.0%7.8%14.3%10.9%0.0%9.4%0.6%193.9K-4.4M-25.2K0.0062.56N/AN/A0433,5901,455
2013-12-12$31.23$30.0026.3%7.5%14.7%10.2%23.4%7.6%2.1%175.7K-4.0M-25.8K1.1990.32N/AN/A16193,5901,478
2013-12-13$30.97$30.0027.2%7.8%14.7%11.0%0.0%5.9%1.2%166.7K-3.7M-25.5K0.0087.55N/AN/A003,5931,470
2013-12-16$31.41$30.0027.3%7.8%14.7%11.1%16.2%9.9%1.5%182.5K-4.1M-25.0K0.0087.66N/AN/A3803,5931,470
2013-12-17$31.27$30.0025.2%7.2%14.6%9.2%24.8%6.9%3.0%181.4K-3.9M-24.2K0.7788.11N/AN/A13103,5921,470
2013-12-18$31.48$30.0024.5%7.0%14.9%8.5%0.0%5.1%3.7%177.6K-4.3M-24.1K0.0095.35N/AN/A053,5991,480
2013-12-19$31.19$30.0025.7%7.4%14.6%9.6%25.8%7.2%2.5%176.1K-4.0M-24.0K0.0087.09N/AN/A0263,5881,474
2013-12-20$31.97$30.0023.3%6.7%16.3%7.4%29.1%11.7%10.4%214.6K-4.8M-23.4K0.0093.24N/AN/A053,5881,498
2013-12-23$32.47$30.0023.7%6.8%17.0%7.8%13.8%17.3%15.1%212.4K-5.2M-23.3K1.0095.26N/AN/A26263,4271,338
2013-12-24$32.83$30.0018.7%5.4%17.4%3.3%24.5%14.1%6.1%200.4K-5.8M-23.6K0.2094.53N/AN/A1533,4301,364
2013-12-26$33.12$30.0019.2%5.5%17.6%3.7%12.0%21.4%12.4%228.2K-6.0M-22.0K0.0081.79N/AN/A1203,4351,364
2013-12-27$33.47$30.0019.8%5.7%17.8%4.2%25.1%7.7%6.9%241.4K-6.5M-20.9K0.53101.14N/AN/A1583,4471,364
2013-12-30$33.90$30.0024.4%7.0%18.3%8.4%24.4%-0.5%1.2%242.1K-7.0M-21.2K0.0492.73N/AN/A12053,4621,356
2013-12-31$34.50$30.0024.4%7.0%19.1%8.4%24.4%-1.1%1.0%259.8K-7.8M-21.9K0.0225.28N/AN/A24963,5651,351