NGL Options History — August 2014

In August 2014, NGL traded between $40.80 and $43.49. ATM implied volatility averaged 21.8%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 3.0% (HV 20d: 24.8%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.62.

Notable Days

  • 2014-08-20: Highest Volume — 620 contracts
  • 2014-08-18: Largest IV spike — 38.7% change
  • 2014-08-07: Highest IV Rank — 61.6%
  • 2014-08-27: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.31$40.80$43.49$43.08$42.58
Max Pain$41.25$40.00$45.00$45.00$45.00
ATM IV21.8%16.7%29.8%18.4%17.4%
Expected Move6.9%5.1%7.7%5.3%6.8%
HV 20d24.8%21.2%28.7%23.9%21.2%
HV 60d26.6%25.8%27.1%26.4%26.3%
IV Rank32.7%14.3%61.6%20.6%16.9%
IV Percentile43.2%7.9%87.7%15.9%10.7%
Term Structure2.4%-1.3%26.3%-0.5%-0.0%
VWIV23.8%21.0%27.5%22.1%25.1%
Skew 25d4.7%-3.3%12.4%-3.3%5.2%
Skew 10d8.3%-4.8%35.7%-4.8%6.8%
Call IV 25d21.3%13.3%40.9%22.2%20.1%
Put IV 25d26.0%18.9%43.1%18.9%25.3%
Bid-Ask Spread %77.9353.60118.5898.2153.60
Gamma HHI0.420.300.540.490.53
Net GEX184.8K-18.2K348.6K330.2K250.5K
Net DEX-1.1M-4.0M1.9M-961.9K-2.8M
Net VEX-27.9K-31.4K-24.5K-27.7K-30.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.0012.200.420.33
Total Volume129.28616201488
Total OI5,905.9055,1926,4725,7816,061

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$43.08$45.0018.4%5.3%23.9%20.6%22.1%-3.3%-0.5%330.2K-961.9K-27.7K0.4298.21N/AN/A104442,8342,947
2014-08-04$43.07$40.0024.6%6.5%23.8%43.1%26.2%3.8%-0.5%348.6K-1.1M-26.6K3.0089.88N/AN/A5152,9112,968
2014-08-05$42.21$40.0028.3%7.5%24.8%56.2%22.4%2.1%-0.4%207.7K-12.8K-25.8K6.0089.92N/AN/A4242,9162,983
2014-08-06$41.90$40.0024.5%7.3%24.8%42.7%0.0%1.1%0.3%142.8K388.7K-24.9K0.0090.24N/AN/A012,9203,007
2014-08-07$40.80$40.0029.8%7.3%26.3%61.6%24.2%5.3%-0.2%76.6K1.5M-25.1K2.4292.06N/AN/A691672,9203,006
2014-08-08$40.81$40.0025.6%7.3%26.2%46.5%25.4%10.8%-0.9%50.7K1.9M-25.6K0.4994.00N/AN/A105512,9473,102
2014-08-11$41.84$40.0018.6%7.6%28.0%21.3%25.3%3.8%-0.4%112.7K590.4K-26.7K2.4392.25N/AN/A23563,0163,151
2014-08-12$41.37$40.0019.9%6.8%28.2%26.0%22.4%6.6%-0.1%97.6K1.1M-25.4K0.6795.59N/AN/A15103,0243,202
2014-08-13$42.04$40.0025.0%6.9%28.7%44.4%0.0%6.9%2.9%123.4K422.8K-25.5K0.0093.29N/AN/A8503,0293,201
2014-08-14$42.45$40.0025.0%7.2%24.7%44.5%22.8%2.7%0.7%145.4K-180.3K-26.9K0.3688.21N/AN/A211773,0843,181
2014-08-15$42.21$40.0017.9%5.1%24.8%18.6%21.0%2.2%26.3%-18.2K194.2K-24.5K1.36118.58N/AN/A871183,2263,246
2014-08-18$41.75$0.0024.8%7.0%25.0%43.6%23.0%1.4%-1.3%124.7K-1.4M-26.7K0.9059.94N/AN/A42382,4122,780
2014-08-19$42.31$40.0025.0%7.3%23.7%44.3%21.3%5.7%-0.6%146.9K-2.0M-28.3K0.0960.58N/AN/A112102,4382,811
2014-08-20$43.31$40.0020.3%6.7%25.1%27.3%23.4%5.3%0.8%202.1K-3.4M-28.7K0.0362.45N/AN/A600202,5072,810
2014-08-21$43.49$40.0020.3%6.8%24.4%27.5%22.3%5.4%2.3%294.3K-4.0M-31.3K0.0261.77N/AN/A5112,9662,810
2014-08-22$42.94$40.0016.7%6.7%24.0%14.3%0.0%3.3%2.1%279.9K-3.2M-31.4K0.0057.58N/AN/A2502,9962,810
2014-08-25$42.76$40.0019.0%7.1%23.9%22.8%24.8%2.7%-0.3%267.0K-3.1M-30.6K12.2066.08N/AN/A151832,9962,810
2014-08-26$42.51$45.0017.0%7.0%23.9%15.5%24.5%4.8%4.6%227.8K-2.4M-31.4K0.0055.16N/AN/A15003,0062,954
2014-08-27$42.48$45.0021.6%7.7%23.5%32.2%27.5%10.6%7.0%226.8K-2.3M-31.3K0.1262.64N/AN/A124153,0512,954
2014-08-28$42.57$45.0017.6%7.0%21.2%17.5%0.0%12.4%9.2%242.4K-2.4M-31.0K1.5054.53N/AN/A20303,0622,969
2014-08-29$42.58$45.0017.4%6.8%21.2%16.9%25.1%5.2%-0.0%250.5K-2.8M-30.1K0.3353.60N/AN/A623,0622,999