NGL Options History — December 2014

In December 2014, NGL traded between $23.47 and $33.72. ATM implied volatility averaged 53.7%, placing in the 62.7% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded below realized volatility by 29.2% (HV 20d: 83.0%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.57.

Notable Days

  • 2014-12-08: Highest Volume — 1,146 contracts
  • 2014-12-08: Largest IV spike — 39.1% change
  • 2014-12-15: Highest IV Rank — 87.6%
  • 2014-12-15: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.84$23.47$33.72$31.83$27.99
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV53.7%35.4%70.0%50.0%46.7%
Expected Move14.3%10.6%16.8%11.4%16.0%
HV 20d83.0%66.5%99.7%66.5%87.4%
HV 60d59.7%47.9%68.5%47.9%68.5%
IV Rank62.7%34.6%87.6%57.0%52.0%
IV Percentile96.5%90.5%99.6%98.8%91.7%
Term Structure-3.6%-24.2%7.7%-1.8%7.7%
VWIV46.6%36.2%55.2%40.4%46.5%
Skew 25d7.0%1.8%18.3%3.0%2.5%
Skew 10d8.9%-17.1%35.0%0.2%-17.1%
Call IV 25d53.4%35.8%70.4%49.7%55.2%
Put IV 25d60.5%43.3%72.6%52.7%57.7%
Bid-Ask Spread %82.6068.71101.0176.7288.18
Gamma HHI0.290.210.600.310.27
Net GEX-2.2K-24.9K46.6K-16.7K9.8K
Net DEX4.0M1.9M5.1M3.2M4.8M
Net VEX-14.0K-23.2K-6.9K-19.6K-11.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.0610.670.490.06
Total Volume697.818101,14682634
Total OI6,667.0916,2167,3396,4436,351

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$31.83$35.0050.0%11.4%66.5%57.0%40.4%3.0%-1.8%-16.7K3.2M-19.6K0.4976.72N/AN/A5552714,1542,289
2014-12-02$32.71$35.0035.4%11.1%67.4%34.6%39.9%15.5%-0.6%-11.3K2.6M-22.0K0.4472.40N/AN/A6182694,1952,401
2014-12-03$33.72$35.0040.6%10.6%67.7%42.7%38.6%18.3%0.2%-2.0K1.9M-23.2K0.4872.54N/AN/A6263024,1112,381
2014-12-04$32.55$35.0038.0%10.6%68.8%38.6%37.4%9.1%-1.4%-6.0K2.5M-21.6K1.0083.22N/AN/A554,0932,381
2014-12-05$32.49$35.0042.7%11.8%68.3%45.8%36.2%3.0%0.5%-24.9K2.8M-20.0K0.3871.96N/AN/A6062294,0932,376
2014-12-08$28.76$35.0059.4%12.8%80.3%71.3%43.5%3.7%-5.2%-18.1K4.8M-11.7K0.7368.71N/AN/A6624844,0882,383
2014-12-09$27.97$35.0049.7%13.6%80.5%56.6%49.2%4.7%-24.2%-24.5K4.3M-14.0K1.0180.65N/AN/A4744774,1162,604
2014-12-10$26.76$35.0059.1%14.5%79.4%70.9%46.0%1.8%5.2%-15.5K4.9M-11.1K0.9390.25N/AN/A3253034,1872,604
2014-12-11$24.85$35.0058.0%15.1%80.9%69.3%50.3%8.4%-3.6%-9.5K5.1M-8.4K0.4387.47N/AN/A5892544,1872,607
2014-12-12$23.88$35.0063.4%15.8%81.2%77.5%52.1%7.0%-8.3%-2.1K5.1M-7.3K0.3179.70N/AN/A8622684,4472,601
2014-12-15$23.47$35.0070.0%16.8%77.8%87.6%52.8%2.2%-10.4%20.0K4.9M-6.9K0.9370.21N/AN/A3463234,7162,616
2014-12-16$25.70$35.0063.5%16.3%84.8%77.7%50.4%10.9%-6.3%46.6K5.0M-7.5K0.4178.69N/AN/A6522684,7012,601
2014-12-17$29.39$35.0065.2%15.8%99.7%80.2%50.0%7.6%-11.6%-2.5K3.2M-15.4K0.3579.23N/AN/A7222504,6302,613
2014-12-18$28.42$35.0056.3%15.5%96.6%66.6%55.2%6.5%-1.7%15.0K3.4M-15.1K0.5073.33N/AN/A6213084,6792,616
2014-12-19$28.63$35.0060.0%15.8%92.9%72.4%0.0%14.5%-6.3%12.5K3.7M-14.8K7.5981.77N/AN/A272054,6812,658
2014-12-22$29.07$0.0051.4%16.2%91.8%59.2%52.4%6.5%3.2%-3.3K4.2M-13.1K0.9392.71N/AN/A4173883,6582,558
2014-12-23$29.15$35.0051.8%15.4%91.4%59.8%47.3%6.1%1.3%-6.5K3.9M-14.4K1.3176.21N/AN/A2933833,6602,575
2014-12-24$28.65$35.0048.1%14.8%91.2%54.1%48.9%4.3%1.5%-1814.5M-11.9K1.3193.88N/AN/A2933833,6712,579
2014-12-26$29.30$35.0056.7%14.6%92.1%67.3%48.7%3.1%-6.7%-6.3K4.1M-13.5K1.48101.01N/AN/A2583833,6712,580
2014-12-29$29.75$35.0052.5%14.5%92.0%60.8%46.5%9.7%-2.1%7.7K4.3M-12.1K2.83100.67N/AN/A1514283,6672,580
2014-12-30$29.55$35.0063.5%15.6%86.5%77.7%0.0%6.5%-8.9%-10.5K4.1M-14.2K10.6797.72N/AN/A3323,6732,644
2014-12-31$27.99$35.0046.7%16.0%87.4%52.0%0.0%2.5%7.7%9.8K4.8M-11.0K0.0688.18N/AN/A3223,6762,675