NGL Options History — June 2014

In June 2014, NGL traded between $39.90 and $45.67. ATM implied volatility averaged 19.8%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 6.0% (HV 20d: 25.8%). 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 0.76.

Notable Days

  • 2014-06-18: Highest Volume — 1,833 contracts
  • 2014-06-12: Largest IV spike — 47.6% change
  • 2014-06-18: Highest IV Rank — 38.2%
  • 2014-06-18: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.99$39.90$45.67$40.09$43.34
Max Pain$35.95$35.00$40.00$40.00$35.00
ATM IV19.8%12.7%23.3%21.6%21.6%
Expected Move6.0%5.3%6.7%6.2%6.2%
HV 20d25.8%17.4%34.6%22.0%34.6%
HV 60d24.6%21.7%26.6%23.1%26.3%
IV Rank22.3%0.0%38.2%18.2%32.0%
IV Percentile26.3%0.0%49.2%31.7%38.1%
Term Structure2.1%-0.8%10.9%0.7%-0.3%
VWIV20.6%11.4%28.2%21.6%20.7%
Skew 25d3.9%-3.7%33.8%33.8%-3.3%
Skew 10d7.8%-5.6%56.3%56.3%-5.6%
Call IV 25d20.0%15.7%22.5%21.6%21.8%
Put IV 25d23.9%17.4%55.4%55.4%18.5%
Bid-Ask Spread %92.7476.0598.7896.3797.04
Gamma HHI0.570.330.810.630.35
Net GEX195.2K86.0K318.5K306.1K223.8K
Net DEX-10.9M-13.6M-7.8M-7.9M-10.9M
Net VEX-19.4K-29.0K-10.1K-20.5K-28.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.004.670.000.00
Total Volume210.571101,83312149
Total OI5,841.9524,8287,1205,4227,120

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$40.09$40.0021.6%6.2%22.0%18.2%21.6%33.8%0.7%306.1K-7.9M-20.5K0.0096.37N/AN/A12103,5941,828
2014-06-03$39.90$40.0022.2%6.4%20.0%19.5%22.1%1.3%-0.1%318.5K-7.8M-21.1K0.0096.86N/AN/A0103,6691,828
2014-06-04$40.92$40.0021.9%6.3%20.9%19.0%21.8%2.7%-0.8%280.5K-9.2M-19.2K0.4498.39N/AN/A68303,6691,822
2014-06-05$41.69$40.0018.3%5.3%21.5%11.5%11.4%9.4%10.9%229.4K-9.8M-18.5K0.0298.78N/AN/A10723,7051,852
2014-06-06$41.92$35.0018.1%6.3%20.5%11.0%22.1%4.7%3.6%216.8K-10.1M-17.4K0.2592.61N/AN/A99253,6711,854
2014-06-09$42.86$35.0015.3%5.8%20.4%5.3%19.4%3.1%3.6%198.4K-11.0M-15.2K4.6789.75N/AN/A1145323,6601,854
2014-06-10$43.50$35.0012.7%5.9%17.4%0.0%20.5%5.1%2.7%182.7K-12.9M-14.6K0.3290.65N/AN/A68223,7291,541
2014-06-11$43.42$35.0014.0%6.1%17.5%3.7%22.7%2.8%2.3%157.5K-12.7M-13.3K0.0393.35N/AN/A2913,6091,554
2014-06-12$42.94$35.0020.7%5.9%18.0%23.5%14.7%0.6%2.0%173.0K-11.9M-14.8K0.0094.38N/AN/A1103,5391,555
2014-06-13$43.97$35.0019.7%5.6%19.1%25.2%0.0%5.0%3.6%157.9K-12.9M-11.0K0.0076.05N/AN/A0203,5391,555
2014-06-16$45.29$35.0022.3%6.4%20.6%34.6%22.3%2.3%1.2%107.4K-13.6M-10.1K0.0094.82N/AN/A10303,5391,565
2014-06-17$45.67$35.0021.0%6.0%18.6%30.0%28.2%4.0%2.5%86.0K-12.5M-10.7K3.9381.27N/AN/A15593,2631,565
2014-06-18$42.50$35.0023.3%6.7%33.8%38.2%21.9%1.7%0.5%202.6K-10.2M-13.8K2.4692.50N/AN/A5291,3043,2781,618
2014-06-19$43.06$35.0020.2%5.8%33.8%27.1%20.4%3.9%1.9%137.7K-10.2M-26.2K0.3389.78N/AN/A209703,5502,868
2014-06-20$43.40$35.0020.3%5.8%33.7%27.5%20.4%-3.0%1.6%205.0K-11.6M-16.2K0.2496.57N/AN/A67163,7172,938
2014-06-23$43.56$35.0021.0%6.0%33.7%29.8%20.9%4.1%1.1%154.1K-10.5M-25.4K0.0192.81N/AN/A10713,6522,937
2014-06-24$43.35$35.0019.5%5.6%33.8%24.5%19.6%4.6%1.5%178.0K-10.4M-26.8K0.0091.73N/AN/A17503,7282,938
2014-06-25$43.91$35.0020.6%5.9%33.8%28.4%20.5%6.0%2.0%184.2K-11.1M-27.2K0.0892.20N/AN/A130103,8832,938
2014-06-26$43.55$35.0021.2%6.1%34.1%30.6%0.0%-3.7%0.9%210.6K-11.0M-27.8K1.5796.10N/AN/A841323,9802,948
2014-06-27$43.93$35.0020.6%5.9%34.0%28.6%20.7%-2.4%1.8%189.8K-11.0M-29.0K0.0595.46N/AN/A9854,0033,026
2014-06-30$43.34$35.0021.6%6.2%34.6%32.0%0.0%-3.3%-0.3%223.8K-10.9M-28.0K0.0097.04N/AN/A4904,0893,031