NGL Options History — May 2014

In May 2014, NGL traded between $37.74 and $40.00. ATM implied volatility averaged 19.2%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 4.1% (HV 20d: 23.3%). 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 21 of 21 days. Put/call ratio averaged 2.74.

Notable Days

  • 2014-05-14: Highest Volume — 593 contracts
  • 2014-05-12: Largest IV spike — 61.9% change
  • 2014-05-12: Highest IV Rank — 24.8%
  • 2014-05-29: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.73$37.74$40.00$38.58$40.00
Max Pain$35.71$35.00$40.00$40.00$40.00
ATM IV19.2%13.3%24.7%13.3%20.9%
Expected Move5.7%3.8%6.4%3.8%6.0%
HV 20d23.3%19.7%25.4%19.7%23.4%
HV 60d23.2%22.0%23.8%22.0%23.1%
IV Rank13.3%1.1%24.8%1.1%16.8%
IV Percentile20.9%0.4%55.6%0.4%29.0%
Term Structure2.1%0.5%7.5%7.5%0.8%
VWIV20.1%13.2%22.3%13.2%20.9%
Skew 25d8.3%-2.9%36.1%5.0%33.3%
Skew 10d12.3%-4.3%52.4%5.9%52.4%
Call IV 25d20.1%15.6%22.0%15.6%20.9%
Put IV 25d28.4%18.6%57.6%20.6%54.2%
Bid-Ask Spread %95.9290.09105.67105.6796.65
Gamma HHI0.520.460.660.530.59
Net GEX387.8K317.5K695.7K387.7K331.7K
Net DEX-6.8M-7.9M-5.7M-6.8M-7.9M
Net VEX-26.3K-30.6K-19.5K-30.6K-19.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.740.0037.400.260.26
Total Volume93.28605934853
Total OI5,315.6675,0515,7025,0515,442

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$38.58$40.0013.3%3.8%19.7%1.1%13.2%5.0%7.5%387.7K-6.8M-30.6K0.26105.67N/AN/A38103,8081,243
2014-05-02$37.84$40.0015.9%4.6%20.7%6.5%0.0%2.3%6.2%322.0K-5.9M-30.2K0.00105.31N/AN/A3103,8441,253
2014-05-05$38.92$35.0016.2%6.2%22.6%7.2%21.8%6.3%1.0%401.0K-7.5M-29.6K0.3990.09N/AN/A2393,8491,253
2014-05-06$38.38$35.0014.8%5.9%23.1%4.2%20.7%3.8%1.7%369.7K-6.6M-28.9K0.0091.63N/AN/A2403,8691,259
2014-05-07$38.32$35.0015.7%6.1%22.8%6.1%0.0%4.5%1.2%367.2K-6.7M-29.5K0.0091.36N/AN/A003,8921,259
2014-05-08$37.80$35.0020.0%5.5%22.9%14.9%0.0%2.7%2.3%323.9K-5.8M-29.0K0.8390.74N/AN/A24203,8921,259
2014-05-09$38.67$35.0015.3%5.8%23.3%5.2%20.1%4.7%1.2%373.1K-6.6M-30.1K0.0094.03N/AN/A1003,9061,246
2014-05-12$37.74$35.0024.7%5.2%24.7%24.8%17.2%5.1%4.9%317.5K-5.7M-28.4K0.0096.88N/AN/A2803,9061,246
2014-05-13$38.27$35.0020.5%6.0%24.6%16.1%20.9%2.8%0.7%375.6K-6.6M-27.8K3.0095.57N/AN/A133,9271,246
2014-05-14$38.95$35.0020.2%5.9%25.4%15.4%20.7%5.5%1.4%448.9K-7.6M-25.9K0.5892.68N/AN/A3762173,9271,248
2014-05-15$39.03$35.0021.1%6.0%23.3%17.2%21.1%5.1%1.9%448.9K-7.6M-25.4K3.8392.79N/AN/A652493,9971,457
2014-05-16$39.66$35.0020.5%5.9%23.8%16.0%20.5%27.2%1.7%695.7K-7.8M-22.6K37.4093.62N/AN/A51874,0181,684
2014-05-19$38.99$35.0020.5%5.9%24.4%16.0%20.5%29.9%1.9%371.3K-6.7M-24.8K0.4895.91N/AN/A56273,7201,677
2014-05-20$38.77$35.0020.9%6.0%24.5%16.8%0.0%5.3%1.4%369.1K-6.5M-25.6K0.0094.15N/AN/A2003,7741,690
2014-05-21$38.65$35.0021.0%6.0%24.4%17.0%21.1%-2.6%1.5%382.1K-6.3M-24.7K0.0098.38N/AN/A3303,7741,690
2014-05-22$38.58$35.0017.1%4.9%23.4%9.0%0.0%3.8%2.4%373.2K-6.4M-25.2K1.0097.20N/AN/A10103,7751,690
2014-05-23$38.74$35.0020.1%5.8%22.8%15.2%0.0%-1.3%1.8%383.4K-6.5M-24.5K0.00101.38N/AN/A003,7851,700
2014-05-27$38.70$35.0021.9%6.3%22.7%18.9%0.0%-2.9%0.5%377.4K-6.4M-24.4K0.0097.03N/AN/A0353,7851,700
2014-05-28$39.24$35.0020.6%5.9%23.0%16.3%20.6%36.1%1.8%384.9K-7.0M-23.1K0.0196.80N/AN/A16313,7851,735
2014-05-29$39.44$35.0022.1%6.4%23.0%19.4%22.3%-1.4%0.5%339.2K-7.2M-22.6K1.3396.53N/AN/A991323,6841,735
2014-05-30$40.00$40.0020.9%6.0%23.4%16.8%20.9%33.3%0.8%331.7K-7.9M-19.5K0.2696.65N/AN/A42113,6251,817