NGL Options History — October 2014

In October 2014, NGL traded between $31.61 and $39.28. ATM implied volatility averaged 37.6%, placing in the 55.0% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 2.1% (HV 20d: 35.5%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 2.72.

Notable Days

  • 2014-10-14: Highest Volume — 2,360 contracts
  • 2014-10-14: Largest IV spike — 89.0% change
  • 2014-10-10: Highest IV Rank — 100.0%
  • 2014-10-15: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.51$31.61$39.28$39.28$34.36
Max Pain$37.17$35.00$40.00$40.00$35.00
ATM IV37.6%20.3%78.1%26.2%33.9%
Expected Move8.8%7.1%10.3%7.3%8.8%
HV 20d35.5%17.6%48.2%19.6%48.2%
HV 60d27.5%21.3%31.8%21.4%31.5%
IV Rank55.0%30.6%100.0%56.2%32.3%
IV Percentile92.0%30.2%100.0%83.3%94.0%
Term Structure-3.0%-13.2%2.0%1.7%0.0%
VWIV31.4%25.6%36.0%25.6%29.2%
Skew 25d6.1%-4.3%15.1%-0.8%10.5%
Skew 10d8.8%-7.8%24.0%-0.6%21.1%
Call IV 25d33.6%25.3%45.8%25.4%30.4%
Put IV 25d39.7%24.7%54.0%24.7%40.9%
Bid-Ask Spread %73.1456.2495.2960.1472.23
Gamma HHI0.490.330.740.340.54
Net GEX-46.9K-178.7K84.3K84.3K-68.6K
Net DEX5.3M3.0M8.8M3.0M4.4M
Net VEX-22.0K-26.8K-13.1K-24.2K-21.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.720.0017.685.622.63
Total Volume696.826112,36086985
Total OI7,629.7395,70310,9617,9585,743

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$39.28$40.0026.2%7.3%19.6%56.2%25.6%-0.8%1.7%84.3K3.0M-24.2K5.6260.14N/AN/A13733,9863,972
2014-10-02$39.16$40.0027.4%7.2%19.5%61.5%32.5%-0.0%-0.5%67.2K3.3M-24.4K3.1068.09N/AN/A20623,9994,022
2014-10-03$38.84$40.0025.4%7.1%19.5%53.1%0.0%10.5%0.8%44.3K4.0M-23.7K0.6766.57N/AN/A1284,0024,070
2014-10-06$38.47$40.0027.7%7.5%17.6%62.6%26.7%4.5%-2.0%16.3K4.7M-22.5K2.1763.84N/AN/A30653,9544,070
2014-10-07$37.05$40.0020.3%8.0%20.8%31.5%34.9%-2.8%-3.6%-124.3K6.3M-19.3K0.5169.17N/AN/A79403,9314,130
2014-10-08$36.24$40.0033.9%7.8%21.2%88.3%28.2%5.8%-4.4%-158.3K6.9M-18.9K1.0461.80N/AN/A6907154,0064,159
2014-10-09$34.52$40.0036.0%8.4%25.4%97.2%0.0%9.6%-3.8%-178.7K7.9M-16.3K0.7556.24N/AN/A2401804,0214,157
2014-10-10$33.54$40.0043.1%8.7%26.1%100.0%32.4%6.0%-5.7%-141.2K8.1M-16.8K0.2368.57N/AN/A5061144,2334,315
2014-10-13$31.64$40.0041.3%9.5%30.9%94.3%36.0%-4.3%-6.4%-139.6K8.8M-14.6K0.1665.47N/AN/A282464,6574,355
2014-10-14$31.61$40.0078.1%9.8%31.0%100.0%33.3%4.2%-13.2%-64.5K8.8M-13.1K0.4371.52N/AN/A1,6537074,9194,369
2014-10-15$31.73$35.0065.7%10.3%31.3%81.1%31.7%11.9%-13.1%-32.9K7.3M-19.9K0.5679.97N/AN/A1,3267475,7514,443
2014-10-16$34.18$35.0041.0%10.0%42.4%43.3%35.2%8.4%-3.8%76.7K4.7M-26.8K0.1675.79N/AN/A576956,1324,829
2014-10-17$33.74$35.0041.6%9.5%42.0%44.1%33.0%6.8%-7.4%-31.7K7.7M-24.4K7.0477.50N/AN/A473315,5784,879
2014-10-20$34.66$35.0037.9%9.8%44.1%38.4%33.8%6.4%2.0%-47.5K5.1M-25.2K0.0076.36N/AN/A57102,8843,273
2014-10-21$35.62$35.0039.1%9.8%46.0%40.3%32.5%4.1%-2.4%-40.4K4.4M-26.3K0.9189.97N/AN/A4203823,0623,273
2014-10-22$36.12$35.0038.0%9.1%46.7%38.6%28.9%15.1%-3.4%-38.0K4.1M-25.6K1.1768.18N/AN/A3263823,0243,283
2014-10-23$36.96$35.0037.2%8.9%46.7%37.4%30.7%10.7%-2.9%-21.2K3.4M-26.6K0.6267.55N/AN/A6153833,0283,283
2014-10-24$36.96$35.0036.2%8.7%46.7%35.9%30.3%10.2%-1.3%-31.0K3.7M-25.2K0.7180.42N/AN/A5343802,8483,315
2014-10-27$35.82$35.0034.9%9.1%47.6%33.9%0.0%2.9%-1.5%-43.1K4.5M-24.2K17.6876.88N/AN/A223892,8583,312
2014-10-28$35.65$35.0032.7%8.8%47.6%30.6%30.3%14.8%1.9%-80.5K3.8M-22.0K10.0091.69N/AN/A1102,8762,969
2014-10-29$35.67$35.0034.1%9.2%47.6%32.7%31.7%3.2%0.3%-49.3K3.3M-23.6K3.3395.29N/AN/A2247472,8472,964
2014-10-30$34.87$35.0033.4%9.2%48.1%31.7%30.6%2.3%0.4%-76.0K4.6M-20.7K2.9679.00N/AN/A2527472,7522,951
2014-10-31$34.36$35.0033.9%8.8%48.2%32.3%29.2%10.5%0.0%-68.6K4.4M-21.7K2.6372.23N/AN/A2717142,7922,951