NGL Options History — November 2014

In November 2014, NGL traded between $30.59 and $39.25. ATM implied volatility averaged 36.9%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 11.6% (HV 20d: 48.5%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.85.

Notable Days

  • 2014-11-21: Highest Volume — 1,861 contracts
  • 2014-11-10: Largest IV spike — 124.9% change
  • 2014-11-10: Highest IV Rank — 71.5%
  • 2014-11-28: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.25$30.59$39.25$34.22$34.90
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV36.9%26.4%59.5%32.3%41.5%
Expected Move9.4%8.1%10.8%8.8%10.8%
HV 20d48.5%39.6%58.1%48.1%58.1%
HV 60d37.0%31.3%44.3%31.5%44.3%
IV Rank37.0%21.0%71.5%29.9%44.1%
IV Percentile93.6%83.7%99.2%92.9%97.2%
Term Structure-2.1%-11.5%6.8%3.9%-5.2%
VWIV31.6%27.8%40.9%32.4%40.9%
Skew 25d5.9%-9.1%22.2%22.2%-2.5%
Skew 10d7.9%-10.3%32.0%32.0%3.9%
Call IV 25d33.9%25.7%40.5%30.8%34.8%
Put IV 25d39.9%27.4%58.2%52.9%32.3%
Bid-Ask Spread %80.0763.9798.5086.3875.36
Gamma HHI0.530.300.790.600.36
Net GEX-21.9K-92.9K217.2K-71.7K24.8K
Net DEX2.7M-3.4M6.3M4.4M395.4K
Net VEX-20.0K-28.6K-11.3K-21.1K-24.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.023.512.300.96
Total Volume822.0531111,8611,049566
Total OI5,864.9475,6266,6185,7806,140

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$34.22$35.0032.3%8.8%48.1%29.9%32.4%22.2%3.9%-71.7K4.4M-21.1K2.3086.38N/AN/A3187312,8302,950
2014-11-04$33.26$35.0035.6%8.4%47.4%35.0%31.5%17.7%-10.3%-64.0K5.2M-19.6K2.0489.22N/AN/A3216552,8572,995
2014-11-05$33.11$35.0031.7%8.8%47.0%29.0%30.8%9.7%-2.7%-79.1K4.5M-19.0K2.4780.69N/AN/A2686612,8752,751
2014-11-06$33.87$35.0032.9%8.8%44.9%30.9%30.8%20.3%-0.9%-73.7K4.1M-19.0K2.5588.41N/AN/A2666772,8932,773
2014-11-07$33.11$35.0026.4%8.9%44.5%21.0%31.1%2.0%-5.4%-92.9K4.3M-18.0K2.0189.57N/AN/A3366772,9012,773
2014-11-10$32.43$35.0059.5%9.4%39.8%71.5%29.5%8.8%-3.8%-83.3K4.6M-17.8K2.5067.68N/AN/A2636582,9272,773
2014-11-11$30.59$35.0037.7%9.6%45.1%38.2%30.9%-9.1%-11.5%-62.0K6.3M-13.1K3.5198.50N/AN/A1976912,9762,944
2014-11-12$31.83$35.0048.1%8.8%47.4%54.2%28.6%5.5%-2.7%-88.5K6.2M-11.3K3.2986.83N/AN/A2036672,9502,769
2014-11-13$30.85$35.0033.9%9.5%39.6%32.3%28.7%3.5%-2.1%-87.3K5.7M-12.4K3.5182.33N/AN/A1906672,9522,769
2014-11-14$32.42$35.0035.7%9.3%44.0%35.1%27.8%0.1%-1.3%-75.7K5.4M-14.5K0.2980.02N/AN/A86252,9162,769
2014-11-17$33.59$35.0037.5%8.1%44.8%37.8%30.0%5.1%-3.2%-73.8K4.0M-18.1K3.1183.00N/AN/A1996193,0192,773
2014-11-18$33.45$35.0032.0%8.7%43.5%29.4%29.2%-0.8%-1.3%-77.6K4.2M-17.2K3.3875.00N/AN/A1836193,0312,776
2014-11-19$35.64$35.0038.9%9.5%49.3%40.0%31.1%1.7%-4.0%-72.8K2.2M-20.2K0.0282.09N/AN/A572113,0182,776
2014-11-20$37.95$35.0031.9%9.7%53.6%29.4%31.7%10.6%-0.0%33.2K-431.7K-24.3K0.7771.59N/AN/A8226313,2822,769
2014-11-21$39.25$35.0029.4%9.6%54.8%25.4%30.9%7.6%5.9%217.2K-3.4M-27.0K0.5072.36N/AN/A1,2446173,8162,802
2014-11-24$37.55$35.0036.6%10.5%56.1%36.5%35.2%7.0%-1.3%128.0K-2.9M-28.6K0.7371.43N/AN/A124903,8592,057
2014-11-25$36.56$35.0037.5%10.8%57.0%37.8%33.7%1.7%6.8%103.5K-1.8M-27.7K0.8976.84N/AN/A2792493,9192,068
2014-11-26$36.18$35.0042.5%10.7%57.1%45.6%35.1%1.9%-1.2%80.2K-1.1M-26.1K0.2463.97N/AN/A191463,9152,071
2014-11-28$34.90$35.0041.5%10.8%58.1%44.1%40.9%-2.5%-5.2%24.8K395.4K-24.3K0.9675.36N/AN/A2892774,0492,091