NGL Options History — February 2014

In February 2014, NGL traded between $34.77 and $36.78. ATM implied volatility averaged 22.9%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 4.9% (HV 20d: 18.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.24.

Notable Days

2014-02-10: Highest Volume — 285 contracts
2014-02-13: Largest IV spike — 24.3% change
2014-02-03: Highest IV Rank — 10.6%
2014-02-03: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.07	$34.77	$36.78	$34.77	$36.26
Max Pain	$33.42	$30.00	$35.00	$35.00	$35.00
ATM IV	22.9%	19.9%	25.6%	25.6%	23.5%
Expected Move	6.8%	5.8%	7.3%	7.3%	6.7%
HV 20d	18.0%	16.6%	20.7%	18.9%	17.2%
HV 60d	18.5%	17.6%	19.0%	18.7%	18.8%
IV Rank	8.2%	5.5%	10.6%	10.6%	8.7%
IV Percentile	23.4%	10.0%	38.0%	38.0%	25.0%
Term Structure	-0.0%	-2.0%	3.4%	-0.8%	-2.0%
VWIV	23.0%	20.3%	24.3%	20.3%	23.4%
Skew 25d	6.1%	0.5%	20.3%	1.4%	3.8%
Skew 10d	17.5%	1.8%	35.3%	1.8%	9.0%
Call IV 25d	20.3%	17.1%	27.1%	27.1%	20.2%
Put IV 25d	26.4%	21.2%	44.2%	28.5%	24.0%
Bid-Ask Spread %	98.44	96.04	102.15	98.01	100.68
Gamma HHI	0.89	0.86	0.92	0.88	0.86
Net GEX	376.4K	310.2K	459.0K	310.2K	396.5K
Net DEX	-7.3M	-9.1M	-4.5M	-4.5M	-8.1M
Net VEX	-26.2K	-28.1K	-24.1K	-25.3K	-28.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.24	0.00	2.00	0.20	2.00
Total Volume	99.842	0	285	5	30
Total OI	4,382.316	3,890	4,802	3,890	4,730

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2014-02-03	$34.77	$35.00	25.6%	7.3%	18.9%	10.6%	0.0%	1.4%	-0.8%	310.2K	-4.5M	-25.3K	0.00	98.01	N/A	N/A	0	5	3,090	800
2014-02-04	$35.04	$35.00	22.1%	6.3%	19.0%	7.4%	0.0%	20.3%	3.4%	331.6K	-4.8M	-24.6K	0.20	98.34	N/A	N/A	25	5	3,090	800
2014-02-05	$35.62	$35.00	20.3%	5.8%	19.3%	5.8%	20.3%	0.5%	3.4%	333.3K	-5.9M	-25.3K	0.00	100.56	N/A	N/A	258	0	3,112	799
2014-02-06	$35.90	$35.00	24.1%	6.9%	19.4%	9.3%	0.0%	9.7%	0.7%	333.6K	-6.3M	-25.2K	0.00	102.15	N/A	N/A	30	0	3,191	799
2014-02-07	$36.25	$35.00	21.7%	7.2%	18.9%	7.1%	0.0%	6.2%	-0.1%	330.5K	-6.7M	-24.8K	0.01	98.40	N/A	N/A	168	1	3,201	799
2014-02-10	$36.39	$35.00	20.2%	6.7%	17.3%	5.8%	0.0%	13.0%	0.1%	381.6K	-7.3M	-24.1K	0.08	98.45	N/A	N/A	265	20	3,326	800
2014-02-11	$35.30	$35.00	19.9%	6.7%	20.7%	5.5%	23.3%	1.3%	0.8%	459.0K	-5.9M	-27.5K	0.00	97.41	N/A	N/A	165	0	3,541	820
2014-02-12	$35.84	$30.00	20.1%	7.1%	19.7%	5.6%	24.3%	4.8%	-0.0%	413.8K	-7.0M	-27.1K	0.01	98.86	N/A	N/A	95	1	3,675	820
2014-02-13	$35.99	$30.00	24.9%	7.1%	18.0%	10.0%	23.2%	4.4%	-1.4%	434.9K	-7.8M	-27.6K	0.14	96.11	N/A	N/A	7	1	3,763	821
2014-02-14	$35.98	$30.00	22.7%	6.5%	18.0%	8.0%	22.7%	4.3%	0.2%	431.3K	-8.0M	-27.2K	0.00	96.04	N/A	N/A	60	0	3,765	820
2014-02-18	$36.32	$30.00	23.8%	6.8%	17.1%	9.0%	0.0%	12.2%	-0.3%	402.5K	-8.4M	-25.5K	0.23	96.25	N/A	N/A	90	21	3,785	820
2014-02-19	$36.57	$30.00	23.9%	6.8%	16.6%	9.0%	23.7%	5.3%	-0.7%	360.7K	-8.9M	-26.2K	0.00	98.47	N/A	N/A	237	0	3,830	841
2014-02-20	$36.28	$30.00	24.0%	6.9%	16.9%	9.1%	0.0%	4.5%	-1.2%	412.8K	-8.8M	-27.2K	0.00	97.54	N/A	N/A	0	4	3,966	836
2014-02-21	$36.58	$35.00	24.2%	6.9%	17.1%	9.4%	0.0%	6.7%	-0.8%	367.9K	-9.1M	-26.8K	0.00	98.19	N/A	N/A	0	20	3,959	840
2014-02-24	$36.29	$35.00	23.4%	6.7%	17.3%	8.6%	23.4%	4.1%	-0.6%	353.2K	-7.5M	-26.6K	0.75	97.84	N/A	N/A	55	41	3,564	819
2014-02-25	$36.53	$35.00	24.3%	7.0%	17.0%	9.5%	0.0%	5.4%	-1.2%	355.6K	-7.9M	-26.7K	0.00	99.06	N/A	N/A	0	0	3,609	838
2014-02-26	$36.78	$35.00	24.7%	7.1%	17.1%	9.8%	0.0%	5.8%	-0.6%	357.9K	-8.1M	-26.0K	0.11	99.96	N/A	N/A	92	10	3,609	838
2014-02-27	$36.59	$35.00	21.7%	6.2%	16.9%	7.1%	0.0%	2.5%	0.5%	383.9K	-8.3M	-26.7K	0.02	98.07	N/A	N/A	188	3	3,700	848
2014-02-28	$36.26	$35.00	23.5%	6.7%	17.2%	8.7%	0.0%	3.8%	-2.0%	396.5K	-8.1M	-28.1K	2.00	100.68	N/A	N/A	10	20	3,879	851