NGL Options History — March 2014

In March 2014, NGL traded between $35.61 and $37.72. ATM implied volatility averaged 20.5%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 0.9% (HV 20d: 21.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.50.

Notable Days

  • 2014-03-26: Highest Volume — 1,144 contracts
  • 2014-03-28: Largest IV drop — 33.9% change
  • 2014-03-27: Highest IV Rank — 14.7%
  • 2014-03-03: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.75$35.61$37.72$36.29$37.53
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV20.5%16.1%25.5%25.5%21.3%
Expected Move6.1%4.6%7.3%7.3%6.1%
HV 20d21.4%15.0%28.2%17.0%28.2%
HV 60d20.1%18.6%22.2%18.7%21.6%
IV Rank8.0%2.7%14.7%10.5%10.4%
IV Percentile15.4%1.6%40.9%40.1%18.3%
Term Structure2.9%-7.6%15.7%-2.4%-7.6%
VWIV19.5%8.0%25.0%16.1%25.0%
Skew 25d6.0%-6.3%13.9%7.6%-5.7%
Skew 10d17.7%-1.1%40.6%40.6%3.8%
Call IV 25d17.9%12.0%24.2%22.0%24.2%
Put IV 25d23.9%17.0%33.8%29.6%18.4%
Bid-Ask Spread %90.2982.56105.5898.9386.84
Gamma HHI0.730.480.870.870.48
Net GEX374.8K317.2K486.7K412.2K339.2K
Net DEX-8.5M-10.7M-6.9M-8.0M-8.8M
Net VEX-28.7K-35.3K-25.9K-27.5K-34.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.500.0030.000.434.18
Total Volume113.61901,14410114
Total OI5,388.0484,7556,2104,7556,175

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$36.29$35.0025.5%7.3%17.0%10.5%0.0%7.6%-2.4%412.2K-8.0M-27.5K0.0098.93N/AN/A0103,889866
2014-03-04$37.28$35.0022.4%6.4%18.9%7.7%16.1%11.6%-3.0%356.3K-9.3M-26.2K0.43102.47N/AN/A60263,889876
2014-03-05$36.80$35.0021.5%6.2%19.7%6.9%0.0%6.7%6.2%407.8K-8.6M-26.6K30.00100.74N/AN/A103003,879902
2014-03-06$36.97$35.0017.9%5.1%19.0%3.6%18.2%-0.8%5.6%317.2K-8.9M-27.5K0.00105.58N/AN/A26803,8891,187
2014-03-07$36.42$35.0020.5%6.3%19.7%6.0%22.0%5.9%1.8%381.9K-8.2M-30.5K0.0086.18N/AN/A034,1571,187
2014-03-10$36.51$35.0016.9%6.3%19.5%2.7%0.0%9.1%1.9%377.3K-8.5M-29.8K0.0085.20N/AN/A0104,1571,187
2014-03-11$36.42$35.0020.9%6.5%19.5%6.4%0.0%10.2%0.9%406.2K-8.2M-29.5K1.5086.38N/AN/A10154,1571,197
2014-03-12$36.51$35.0017.7%6.6%15.8%3.5%22.9%9.4%0.6%403.0K-8.4M-28.6K0.0084.74N/AN/A704,1671,212
2014-03-13$36.59$35.0021.7%6.2%15.0%11.0%21.7%6.6%2.3%378.1K-8.7M-28.6K0.0087.12N/AN/A1104,1601,212
2014-03-14$36.80$35.0023.0%6.6%15.0%12.8%0.0%5.7%0.8%373.0K-8.8M-28.2K0.0087.12N/AN/A004,1611,212
2014-03-17$37.72$35.0018.5%5.3%17.2%6.4%21.1%1.2%1.1%326.9K-10.7M-26.3K0.0184.89N/AN/A17714,1611,212
2014-03-18$36.86$35.0020.6%5.9%19.2%9.5%0.0%4.6%4.5%350.8K-9.4M-27.4K0.0091.53N/AN/A904,2631,212
2014-03-19$35.97$35.0022.4%6.4%21.0%12.0%0.0%11.5%2.2%435.2K-7.6M-28.0K0.0085.46N/AN/A004,2661,212
2014-03-20$35.61$35.0022.8%6.5%21.1%12.5%22.8%13.9%1.7%486.7K-6.9M-28.1K0.3985.04N/AN/A46184,2661,208
2014-03-21$37.29$35.0016.9%4.8%26.8%4.2%8.0%13.8%15.7%338.8K-9.3M-27.1K0.0092.03N/AN/A4004,2761,222
2014-03-24$37.10$35.0018.0%5.2%26.7%5.8%13.3%8.2%11.2%356.7K-8.7M-25.9K0.0093.91N/AN/A1504,0071,222
2014-03-25$36.40$35.0019.4%5.6%27.5%7.7%0.0%2.5%4.9%366.0K-7.8M-26.7K0.0091.06N/AN/A004,0221,222
2014-03-26$36.32$35.0022.0%6.3%27.4%11.4%18.0%5.4%2.8%376.9K-7.4M-26.3K0.9787.50N/AN/A5805644,0221,222
2014-03-27$36.83$35.0024.4%7.0%27.8%14.7%0.0%4.6%1.1%353.4K-8.2M-33.7K0.0090.83N/AN/A4104,4971,709
2014-03-28$37.49$35.0016.1%4.6%28.2%3.1%24.3%-6.3%9.5%327.0K-8.7M-35.3K0.0082.56N/AN/A5104,5011,709
2014-03-31$37.53$35.0021.3%6.1%28.2%10.4%25.0%-5.7%-7.6%339.2K-8.8M-34.2K4.1886.84N/AN/A22924,4661,709