NGL Options History — January 2014

In January 2014, NGL traded between $33.45 and $35.68. ATM implied volatility averaged 21.8%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 0.8% (HV 20d: 20.9%). Max pain ranged from $22.50 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2014-01-02: Highest Volume — 1,825 contracts
  • 2014-01-13: Largest IV spike — 34.9% change
  • 2014-01-17: Highest IV Rank — 9.4%
  • 2014-01-15: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.74$33.45$35.68$33.73$34.99
Max Pain$27.50$22.50$35.00$30.00$35.00
ATM IV21.8%13.9%24.3%20.2%22.7%
Expected Move6.7%5.6%7.3%5.8%6.5%
HV 20d20.9%18.9%22.9%21.0%18.9%
HV 60d19.2%18.7%19.6%19.5%18.8%
IV Rank6.8%0.0%9.4%4.6%8.0%
IV Percentile16.2%0.0%27.2%9.4%18.4%
Term Structure0.4%-1.8%2.5%2.5%1.7%
VWIV33.0%22.0%55.4%23.5%22.0%
Skew 25d4.0%-2.1%22.1%0.3%21.7%
Skew 10d6.7%-4.7%32.0%-3.9%32.0%
Call IV 25d23.0%21.1%26.7%23.5%24.8%
Put IV 25d27.0%20.1%46.7%23.7%46.5%
Bid-Ask Spread %90.5942.6499.5692.8397.08
Gamma HHI0.680.500.900.500.88
Net GEX457.4K270.2K970.9K270.2K326.8K
Net DEX-9.6M-13.7M-4.6M-6.8M-4.6M
Net VEX-33.0K-38.3K-23.4K-23.4K-25.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.003.000.003.00
Total Volume172.33301,8251,82520
Total OI6,062.9053,8906,9735,1033,890

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$33.73$30.0020.2%5.8%21.0%4.6%23.5%0.3%2.5%270.2K-6.8M-23.4K0.0092.83N/AN/A1,81963,7511,352
2014-01-03$34.05$30.0024.1%6.9%21.0%8.2%0.0%0.3%0.1%411.8K-9.4M-38.3K0.1190.51N/AN/A142165,4121,350
2014-01-06$33.97$30.0024.0%7.0%20.8%8.1%0.0%2.5%-1.8%426.8K-9.9M-37.7K0.2989.92N/AN/A1445,5311,350
2014-01-07$33.66$30.0018.4%7.1%19.2%3.0%0.0%2.4%-1.7%453.4K-9.3M-36.7K0.0082.41N/AN/A005,5351,354
2014-01-08$33.76$30.0022.7%6.9%19.2%6.9%0.0%5.9%1.6%427.0K-9.2M-37.4K0.2088.96N/AN/A3065,5351,354
2014-01-09$33.45$30.0015.9%5.6%19.6%0.7%0.0%-0.7%0.7%373.0K-8.6M-36.1K0.0091.03N/AN/A105,5451,355
2014-01-10$34.28$30.0013.9%6.8%20.9%0.0%23.9%3.9%0.4%542.2K-9.7M-36.0K0.0089.97N/AN/A4205,5441,355
2014-01-13$34.03$30.0018.7%6.8%20.3%4.4%0.0%-2.1%1.4%469.9K-9.5M-35.9K0.0095.40N/AN/A7405,5471,355
2014-01-14$34.85$30.0017.8%6.7%20.9%3.6%23.5%-1.0%0.4%736.6K-11.0M-35.5K0.1442.64N/AN/A74105,5671,355
2014-01-15$35.67$22.5024.0%7.3%21.6%9.2%25.5%1.5%-1.0%610.4K-13.7M-31.2K0.0091.71N/AN/A24705,5911,325
2014-01-16$35.68$22.5024.1%6.9%21.3%9.3%0.0%1.8%-1.2%590.4K-13.4M-34.2K0.0694.13N/AN/A3225,6481,325
2014-01-17$35.10$22.5024.3%7.0%22.9%9.4%0.0%-0.1%0.0%970.9K-12.2M-35.0K0.0093.34N/AN/A23205,6491,323
2014-01-21$35.59$22.5024.0%6.9%22.3%9.2%0.0%1.7%0.2%355.1K-11.2M-32.7K0.0496.56N/AN/A408154,843767
2014-01-22$35.47$22.5023.8%6.8%21.5%9.0%51.3%1.7%0.1%385.9K-12.1M-32.6K0.4095.42N/AN/A525,169767
2014-01-23$35.48$22.5023.5%6.7%21.2%8.7%49.0%2.0%0.7%425.5K-11.5M-33.5K0.1195.95N/AN/A5765,169766
2014-01-24$35.36$22.5023.3%6.7%21.3%8.5%23.2%0.7%0.6%423.6K-11.4M-34.0K1.9096.27N/AN/A10195,220767
2014-01-27$35.06$22.5023.8%6.8%21.6%9.0%55.4%-0.3%0.4%423.1K-10.5M-34.7K0.0095.40N/AN/A1505,220782
2014-01-28$35.17$22.5022.0%6.3%21.4%7.3%22.0%19.7%1.8%326.6K-5.9M-27.6K0.8585.20N/AN/A33283,519782
2014-01-29$34.90$35.0023.3%6.7%21.3%8.5%0.0%0.1%0.1%316.9K-5.6M-27.9K0.5098.07N/AN/A20103,511810
2014-01-30$35.20$35.0022.2%6.4%20.7%7.5%0.0%22.1%1.6%338.9K-5.7M-27.4K0.0099.56N/AN/A22003,531800
2014-01-31$34.99$35.0022.7%6.5%18.9%8.0%0.0%21.7%1.7%326.8K-4.6M-25.4K3.0097.08N/AN/A5153,090800