NGL Options History — April 2014

In April 2014, NGL traded between $37.87 and $39.78. ATM implied volatility averaged 17.6%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 6.7% (HV 20d: 24.3%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.24.

Notable Days

  • 2014-04-30: Highest Volume — 910 contracts
  • 2014-04-04: Largest IV spike — 40.8% change
  • 2014-04-14: Highest IV Rank — 21.2%
  • 2014-04-14: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.79$37.87$39.78$37.87$38.67
Max Pain$39.29$35.00$40.00$35.00$40.00
ATM IV17.6%12.7%23.0%14.6%14.5%
Expected Move5.3%3.7%6.6%4.2%4.1%
HV 20d24.3%19.6%28.0%26.8%20.4%
HV 60d21.5%20.7%22.0%21.6%22.0%
IV Rank9.2%0.0%21.2%1.0%3.6%
IV Percentile9.1%0.0%32.9%0.4%1.6%
Term Structure2.6%-0.7%7.7%3.3%5.8%
VWIV32.0%12.8%79.4%12.8%79.4%
Skew 25d0.0%-7.1%6.6%4.1%3.4%
Skew 10d2.9%-4.5%8.1%5.7%8.0%
Call IV 25d19.2%13.5%23.3%14.5%15.7%
Put IV 25d19.2%14.9%26.7%18.6%19.1%
Bid-Ask Spread %99.8794.70105.7698.21105.18
Gamma HHI0.500.450.570.500.52
Net GEX418.8K310.2K535.2K336.1K417.1K
Net DEX-10.6M-14.0M-7.7M-9.7M-8.4M
Net VEX-30.3K-35.1K-26.2K-30.8K-31.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.003.430.000.00
Total Volume131.286091010910
Total OI6,266.4765,3527,1966,2525,614

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$37.87$35.0014.6%4.2%26.8%1.0%12.8%4.1%3.3%336.1K-9.7M-30.8K0.0098.21N/AN/A1004,4511,801
2014-04-02$38.45$35.0012.7%3.7%26.7%0.0%20.8%5.5%7.0%310.2K-10.5M-30.6K0.1297.43N/AN/A258304,4511,801
2014-04-03$38.70$35.0013.8%3.9%26.8%1.4%23.8%5.9%7.7%363.8K-11.1M-28.4K0.0199.26N/AN/A8014,5641,831
2014-04-04$39.23$40.0019.4%6.1%26.2%9.1%21.2%-3.2%0.4%369.4K-12.2M-26.2K0.0697.91N/AN/A240154,5401,831
2014-04-07$39.08$40.0016.1%6.2%26.4%4.7%0.0%-3.5%0.2%399.4K-12.3M-26.5K0.0098.37N/AN/A4204,7011,838
2014-04-08$39.43$40.0017.9%6.4%26.3%7.1%22.2%-1.9%-0.6%419.3K-12.7M-26.6K0.0096.10N/AN/A12704,7131,838
2014-04-09$39.78$40.0018.5%6.3%26.4%7.9%21.8%-0.6%-0.1%450.3K-13.4M-26.4K0.0097.11N/AN/A6204,8291,838
2014-04-10$38.91$40.0020.5%5.9%28.0%16.0%0.0%-3.9%1.1%445.2K-11.9M-26.3K0.0298.74N/AN/A5814,8531,838
2014-04-11$39.10$40.0020.5%5.9%28.0%16.0%0.0%4.8%1.5%450.9K-12.3M-27.2K0.0094.70N/AN/A22504,9081,839
2014-04-14$39.72$40.0023.0%6.6%27.3%21.2%23.0%-1.6%-0.7%520.5K-14.0M-27.0K0.0096.25N/AN/A34305,1081,839
2014-04-15$39.44$40.0021.1%6.1%25.8%17.3%0.0%-2.7%1.3%535.2K-13.4M-30.9K0.1198.87N/AN/A1825,3571,839
2014-04-16$38.36$40.0018.3%5.3%26.3%11.5%0.0%-7.1%0.5%451.1K-11.6M-33.6K0.00102.17N/AN/A085,3571,819
2014-04-17$38.11$40.0017.5%5.0%26.1%9.8%0.0%-6.7%2.4%458.0K-11.1M-33.4K0.0099.12N/AN/A2005,3571,827
2014-04-21$38.52$40.0019.4%5.5%20.9%13.7%19.6%5.6%1.6%408.9K-8.4M-33.0K3.4397.38N/AN/A652234,3231,029
2014-04-22$38.39$40.0017.3%5.0%20.9%9.5%74.9%-5.4%1.1%411.4K-8.2M-31.9K0.07102.47N/AN/A1414,3541,242
2014-04-23$38.19$40.0014.2%4.1%19.6%3.0%0.0%-0.8%5.2%385.4K-7.9M-34.5K0.00105.46N/AN/A404,3671,243
2014-04-24$38.93$40.0018.7%5.4%20.4%12.2%0.0%6.6%2.5%426.2K-8.6M-32.6K0.0099.82N/AN/A004,3711,243
2014-04-25$38.32$40.0017.5%5.0%21.1%9.9%0.0%-6.4%1.3%389.0K-7.7M-35.1K0.00101.69N/AN/A004,3711,243
2014-04-28$38.55$40.0015.4%4.4%20.3%5.5%0.0%2.7%6.2%439.5K-8.4M-30.9K0.00105.76N/AN/A004,3711,243
2014-04-29$38.87$40.0018.9%5.4%20.4%12.6%0.0%5.5%6.0%408.0K-8.2M-32.5K0.00105.25N/AN/A004,3711,243
2014-04-30$38.67$40.0014.5%4.1%20.4%3.6%79.4%3.4%5.8%417.1K-8.4M-31.5K0.00105.18N/AN/A91004,3711,243