NGL Options History — July 2014

In July 2014, NGL traded between $42.31 and $44.83. ATM implied volatility averaged 22.3%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 4.2% (HV 20d: 26.4%). Max pain ranged from $35.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.48.

Notable Days

  • 2014-07-08: Highest Volume — 547 contracts
  • 2014-07-10: Largest IV spike — 28.5% change
  • 2014-07-21: Highest IV Rank — 55.4%
  • 2014-07-21: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.63$42.31$44.83$43.20$42.95
Max Pain$48.41$35.00$60.00$35.00$45.00
ATM IV22.3%17.6%28.1%17.6%22.7%
Expected Move6.5%5.0%8.0%5.0%6.5%
HV 20d26.4%18.7%34.5%34.5%24.1%
HV 60d26.0%24.7%26.6%26.2%26.5%
IV Rank34.5%17.6%55.4%17.6%36.0%
IV Percentile45.7%11.1%84.1%11.1%52.4%
Term Structure-0.4%-4.8%2.3%0.6%-1.5%
VWIV23.2%16.7%33.8%16.7%22.0%
Skew 25d7.4%-4.7%59.4%-4.7%3.9%
Skew 10d10.2%-5.4%76.0%-5.4%7.4%
Call IV 25d22.1%20.2%25.5%21.2%24.3%
Put IV 25d29.6%16.5%79.7%16.5%28.2%
Bid-Ask Spread %90.1050.7898.1298.1295.25
Gamma HHI0.450.310.670.350.48
Net GEX295.6K148.8K496.3K222.9K307.6K
Net DEX-7.0M-13.4M328.2K-10.8M-570.9K
Net VEX-25.9K-30.4K-18.9K-28.5K-27.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.0025.050.011.00
Total Volume137.86405478562
Total OI6,847.7735,1897,9197,1455,749

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$43.20$35.0017.6%5.0%34.5%17.6%16.7%-4.7%0.6%222.9K-10.8M-28.5K0.0198.12N/AN/A8414,1143,031
2014-07-02$43.50$35.0020.2%5.8%33.6%26.9%0.0%-1.3%2.3%223.1K-11.0M-27.8K0.0097.41N/AN/A26504,1393,031
2014-07-03$43.90$35.0019.8%5.7%33.2%25.6%19.6%59.4%2.0%327.1K-12.7M-19.4K0.2195.18N/AN/A120254,4013,031
2014-07-07$43.78$45.0021.6%6.9%33.3%32.1%22.9%4.5%-0.5%253.1K-12.4M-30.0K0.0088.48N/AN/A2804,5012,845
2014-07-08$43.89$45.0022.5%6.9%32.4%35.3%23.1%3.7%-0.5%310.6K-13.4M-20.5K25.0588.78N/AN/A215264,5062,845
2014-07-09$43.59$60.0019.1%6.6%32.1%23.0%22.2%4.9%-0.1%266.0K-10.1M-30.4K0.0089.71N/AN/A5004,5233,371
2014-07-10$43.55$60.0024.6%7.0%32.1%42.8%0.0%3.8%-1.6%315.6K-9.6M-29.7K0.0091.28N/AN/A204,5483,371
2014-07-11$43.65$60.0023.6%6.8%31.8%39.3%0.0%3.9%-0.5%325.0K-10.8M-19.9K0.3589.83N/AN/A1764,5463,371
2014-07-14$43.84$60.0023.2%6.7%30.7%38.0%23.3%3.6%-1.4%282.8K-10.1M-28.8K0.0089.99N/AN/A3004,5463,371
2014-07-15$43.75$60.0021.9%6.3%28.6%33.3%0.0%3.5%-0.1%292.9K-10.0M-27.7K0.0050.78N/AN/A024,5023,371
2014-07-16$44.14$60.0021.9%6.3%28.7%33.1%0.0%3.6%0.2%404.1K-11.1M-18.9K0.0090.87N/AN/A004,5023,369
2014-07-17$42.31$60.0027.8%8.0%19.5%54.6%29.4%1.4%-4.8%170.5K-8.1M-27.0K0.9692.27N/AN/A1141094,4513,368
2014-07-18$42.52$45.0025.9%7.4%19.0%47.5%28.0%1.8%-1.8%167.7K-8.3M-26.1K0.4494.06N/AN/A68304,4963,418
2014-07-21$42.42$45.0028.1%8.0%18.7%55.4%0.0%5.3%-2.3%148.8K328.2K-25.7K0.8089.44N/AN/A45362,2622,927
2014-07-22$43.51$45.0022.1%6.3%20.9%34.0%22.6%1.3%-0.3%185.4K-587.8K-27.5K0.0090.48N/AN/A42302,3062,963
2014-07-23$43.15$45.0017.8%5.1%21.0%18.5%21.5%1.2%0.8%233.6K-1.2M-28.8K0.0097.36N/AN/A8102,6422,963
2014-07-24$43.87$45.0022.4%6.4%21.4%35.0%21.0%10.3%1.0%281.0K-1.4M-29.8K0.0088.71N/AN/A10902,6852,963
2014-07-25$44.58$45.0021.0%6.0%21.9%29.9%21.0%5.8%0.5%422.5K-3.1M-21.9K0.0588.54N/AN/A370192,7942,963
2014-07-28$44.66$45.0022.7%6.5%21.7%35.9%22.7%7.4%-0.9%455.9K-3.6M-22.5K0.4689.60N/AN/A65302,9672,982
2014-07-29$44.83$45.0021.5%6.2%21.0%31.8%21.6%42.4%0.0%496.3K-3.6M-22.7K0.0089.61N/AN/A2102,9832,975
2014-07-30$44.23$45.0021.9%6.3%21.7%33.1%33.8%-2.3%-0.5%411.0K-2.4M-29.2K0.3596.41N/AN/A203712,9842,975
2014-07-31$42.95$45.0022.7%6.5%24.1%36.0%22.0%3.9%-1.5%307.6K-570.9K-27.8K1.0095.25N/AN/A31312,8032,946