NGL Options History — September 2014

In September 2014, NGL traded between $39.37 and $42.96. ATM implied volatility averaged 23.2%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 6.1% (HV 20d: 17.2%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.87.

Notable Days

  • 2014-09-03: Highest Volume — 669 contracts
  • 2014-09-22: Largest IV spike — 54.8% change
  • 2014-09-29: Highest IV Rank — 64.1%
  • 2014-09-25: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.80$39.37$42.96$42.54$39.37
Max Pain$43.57$40.00$45.00$45.00$40.00
ATM IV23.2%14.4%28.1%14.4%26.5%
Expected Move7.2%6.7%7.6%6.9%7.1%
HV 20d17.2%14.7%21.2%21.2%19.6%
HV 60d22.4%19.9%26.2%26.2%21.4%
IV Rank41.3%6.1%64.1%6.1%57.4%
IV Percentile58.9%2.8%87.7%2.8%84.1%
Term Structure2.1%-0.6%9.2%9.2%-0.3%
VWIV24.6%21.9%26.1%23.3%24.7%
Skew 25d3.8%-0.1%10.0%9.9%0.2%
Skew 10d10.8%-1.0%41.0%14.8%1.8%
Call IV 25d21.1%14.8%25.8%14.8%24.0%
Put IV 25d24.9%16.7%27.4%24.7%24.2%
Bid-Ask Spread %66.8256.5773.1465.5771.53
Gamma HHI0.450.320.600.530.34
Net GEX183.8K59.1K307.4K238.4K78.4K
Net DEX-1.4M-5.1M3.0M-2.4M3.0M
Net VEX-25.5K-29.8K-21.1K-29.0K-24.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.870.0014.500.000.40
Total Volume151.28606693570
Total OI7,093.6676,0687,9336,0687,933

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$42.54$45.0014.4%6.9%21.2%6.1%0.0%9.9%9.2%238.4K-2.4M-29.0K0.0065.57N/AN/A0353,0683,000
2014-09-03$42.50$45.0018.0%7.6%19.9%19.0%0.0%-0.1%6.9%215.8K-2.3M-29.7K0.0064.48N/AN/A66903,0683,029
2014-09-04$42.11$45.0023.0%7.2%20.0%37.3%23.3%1.5%6.3%198.9K-4.2M-28.5K6.8056.57N/AN/A10683,6933,029
2014-09-05$42.13$45.0020.8%7.0%17.3%29.0%0.0%1.2%0.9%192.6K-3.8M-28.2K0.0066.98N/AN/A003,6993,097
2014-09-08$42.93$45.0019.2%6.9%18.3%23.2%0.0%2.2%-0.6%298.8K-5.1M-29.8K0.0065.33N/AN/A0963,6993,097
2014-09-09$42.91$45.0021.5%6.9%16.3%31.7%0.0%3.3%1.1%304.7K-4.6M-28.2K0.0057.69N/AN/A02003,6993,191
2014-09-10$42.96$45.0023.0%6.7%15.6%37.3%0.0%3.8%1.4%307.4K-3.8M-28.6K14.5065.10N/AN/A101453,6993,391
2014-09-11$42.88$45.0022.4%6.9%14.7%35.1%0.0%2.7%0.5%303.2K-3.0M-28.3K0.0064.19N/AN/A01463,6893,536
2014-09-12$42.12$45.0025.4%7.4%15.8%45.9%21.9%4.4%0.8%193.4K-1.4M-25.2K0.3165.75N/AN/A51163,6893,682
2014-09-15$41.56$45.0025.3%7.5%16.3%45.5%25.5%0.6%1.6%133.2K-700.6K-24.3K0.0861.91N/AN/A3733,6543,678
2014-09-16$41.50$45.0025.1%7.4%15.9%44.8%0.0%2.2%0.5%115.5K-252.0K-23.7K0.0067.52N/AN/A10003,6383,681
2014-09-17$41.45$45.0024.5%7.3%15.1%49.1%0.0%1.7%0.9%106.4K-335.5K-22.5K1.3073.02N/AN/A10133,5863,681
2014-09-18$42.47$45.0025.8%7.3%15.3%54.4%22.9%10.0%-0.4%194.3K-1.4M-21.1K0.0070.37N/AN/A4003,5623,678
2014-09-19$42.66$45.0017.8%6.9%15.3%21.0%25.8%5.5%1.2%231.6K-1.7M-23.4K0.0060.45N/AN/A303,5653,678
2014-09-22$42.37$45.0027.5%7.4%14.8%61.7%26.1%5.8%1.3%197.6K-1.2M-21.3K1.1769.47N/AN/A1511763,2543,502
2014-09-23$41.75$40.0025.4%7.3%15.6%52.9%25.5%8.9%2.5%154.7K-352.1K-22.5K0.8571.43N/AN/A40343,4053,678
2014-09-24$41.57$40.0023.4%7.4%15.5%44.5%0.0%6.9%4.3%130.5K-191.3K-21.9K0.0073.14N/AN/A5703,4353,688
2014-09-25$40.19$40.0025.4%7.6%19.4%52.8%24.6%3.1%2.9%59.1K1.3M-22.8K0.0168.29N/AN/A57883,4203,688
2014-09-26$40.20$40.0025.7%7.4%19.3%54.0%25.9%4.7%1.7%116.1K891.0K-25.7K4.5372.34N/AN/A602723,9013,690
2014-09-29$39.70$40.0028.1%7.3%19.6%64.1%0.0%1.3%0.4%90.0K2.5M-25.6K0.0072.05N/AN/A7903,9553,962
2014-09-30$39.37$40.0026.5%7.1%19.6%57.4%24.7%0.2%-0.3%78.4K3.0M-24.3K0.4071.53N/AN/A50203,9713,962