NGL Options History — January 2015

In January 2015, NGL traded between $25.10 and $29.66. ATM implied volatility averaged 52.9%, placing in the 61.4% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 18.2% (HV 20d: 71.1%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 2.44.

Notable Days

  • 2015-01-29: Highest Volume — 958 contracts
  • 2015-01-09: Largest IV spike — 26.7% change
  • 2015-01-13: Highest IV Rank — 89.2%
  • 2015-01-05: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.59$25.10$29.66$28.58$28.23
Max Pain$30.75$30.00$35.00$35.00$30.00
ATM IV52.9%39.1%71.1%57.5%39.1%
Expected Move14.5%11.2%16.9%15.3%11.2%
HV 20d71.1%58.0%90.6%86.9%58.0%
HV 60d70.1%68.3%71.5%68.3%71.0%
IV Rank61.4%40.4%89.2%68.5%40.4%
IV Percentile90.8%80.6%99.6%95.2%80.6%
Term Structure-2.9%-14.8%6.1%-4.8%4.0%
VWIV48.5%38.5%64.2%49.1%47.1%
Skew 25d10.4%-3.0%21.6%-2.8%21.3%
Skew 10d19.0%-12.6%34.6%-12.6%32.8%
Call IV 25d49.2%40.1%66.0%66.0%42.7%
Put IV 25d59.6%51.9%65.4%63.2%64.0%
Bid-Ask Spread %96.4180.17111.4380.17104.27
Gamma HHI0.330.230.490.230.27
Net GEX3.8K-17.6K17.3K1.2K13.3K
Net DEX3.3M586.6K5.5M4.6M2.5M
Net VEX-7.8K-11.9K-5.9K-11.9K-7.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.440.009.761.918.84
Total Volume330.26958495925
Total OI4,602.82,2986,3976,3522,975

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$28.58$35.0057.5%15.3%86.9%68.5%49.1%-2.8%-4.8%1.2K4.6M-11.9K1.9180.17N/AN/A1703253,6792,673
2015-01-05$26.32$35.0058.7%16.9%90.4%70.3%0.0%11.4%-6.5%-3.7K5.5M-6.7K0.0987.46N/AN/A2223,6802,673
2015-01-06$26.51$35.0049.9%16.3%90.6%56.8%48.2%14.0%-6.9%-2.1K5.5M-7.4K0.2685.83N/AN/A65173,6932,673
2015-01-07$26.13$30.0060.1%16.2%80.5%72.4%0.0%12.3%-6.8%-9.9K5.4M-7.0K2.0087.94N/AN/A243,7582,638
2015-01-08$27.09$30.0050.9%15.1%81.2%58.5%50.1%6.6%-5.2%-1795.4M-7.5K1.3795.93N/AN/A2112903,7582,639
2015-01-09$27.54$30.0064.6%11.7%79.8%79.3%40.8%10.2%6.1%14.0K5.2M-8.1K1.4596.01N/AN/A2002903,7582,618
2015-01-12$25.10$30.0060.3%15.7%82.4%72.7%49.8%-3.0%-7.5%-16.4K5.1M-7.5K1.58100.79N/AN/A1842903,7632,618
2015-01-13$26.09$30.0071.1%16.0%82.0%89.2%49.9%4.1%-4.9%-13.9K5.4M-6.5K1.5891.79N/AN/A1842903,7632,617
2015-01-14$26.00$30.0055.4%15.9%81.7%65.3%48.7%6.6%-5.6%-17.6K5.4M-5.9K1.5895.25N/AN/A1842903,7632,617
2015-01-15$26.87$30.0058.9%16.9%76.0%70.6%38.5%7.1%-14.8%-3.9K5.2M-7.5K1.4698.37N/AN/A2032973,7632,617
2015-01-16$27.59$30.0051.4%14.7%58.9%59.1%50.8%10.8%-2.0%8.0K5.2M-7.5K1.75100.02N/AN/A8143,7692,604
2015-01-20$28.17$30.0050.8%14.6%58.4%58.3%51.5%14.7%-2.5%6.8K1.0M-7.2K0.0093.27N/AN/A5601,461837
2015-01-21$28.83$30.0049.0%14.1%58.9%55.5%47.0%13.1%-0.7%13.1K825.2K-8.2K0.0092.65N/AN/A2501,507837
2015-01-22$29.05$30.0044.7%12.8%58.7%48.9%44.9%11.8%1.3%14.2K805.5K-8.1K2.2390.98N/AN/A1062361,532837
2015-01-23$28.84$30.0048.4%13.9%58.8%54.6%48.4%18.1%1.7%16.2K586.6K-9.3K2.05103.46N/AN/A1152361,542837
2015-01-26$29.14$30.0048.0%13.8%58.6%54.0%64.2%21.6%-0.9%16.3K723.7K-8.5K5.00111.43N/AN/A2101,552837
2015-01-27$29.66$30.0048.4%13.9%58.3%54.5%47.8%19.8%2.6%17.3K704.9K-8.5K3.00106.68N/AN/A10301,551847
2015-01-28$28.36$30.0044.1%12.6%60.2%48.0%47.2%7.0%-3.1%14.1K754.3K-7.4K2.97104.76N/AN/A892641,561817
2015-01-29$27.69$30.0046.1%13.2%60.7%51.0%49.0%2.6%-2.3%9.7K948.1K-7.3K9.76101.04N/AN/A898691,561831
2015-01-30$28.23$30.0039.1%11.2%58.0%40.4%47.1%21.3%4.0%13.3K2.5M-7.4K8.84104.27N/AN/A948311,5611,414