NGL Options History — February 2015

In February 2015, NGL traded between $28.74 and $31.31. ATM implied volatility averaged 47.5%, placing in the 53.2% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 0.9% (HV 20d: 48.5%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 4.83.

Notable Days

2015-02-24: Highest Volume — 1,967 contracts
2015-02-10: Largest IV drop — 36.8% change
2015-02-09: Highest IV Rank — 68.2%
2015-02-02: Largest Expected Move — 16.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.10	$28.74	$31.31	$28.74	$30.28
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	47.5%	36.2%	57.3%	55.9%	47.0%
Expected Move	13.6%	11.7%	16.0%	16.0%	13.5%
HV 20d	48.5%	43.4%	58.2%	57.9%	43.4%
HV 60d	70.1%	65.1%	73.1%	70.9%	65.1%
IV Rank	53.2%	35.9%	68.2%	66.0%	52.5%
IV Percentile	83.5%	73.4%	92.5%	91.7%	81.3%
Term Structure	-0.7%	-7.1%	20.6%	-7.1%	-2.4%
VWIV	46.0%	32.3%	52.8%	51.6%	45.8%
Skew 25d	10.9%	-7.6%	37.9%	-1.0%	15.1%
Skew 10d	18.9%	-12.1%	52.9%	12.3%	23.0%
Call IV 25d	44.6%	33.6%	58.7%	52.5%	33.6%
Put IV 25d	55.5%	41.0%	96.6%	51.5%	48.7%
Bid-Ask Spread %	95.73	85.33	102.75	102.75	101.90
Gamma HHI	0.38	0.29	0.50	0.29	0.50
Net GEX	36.0K	13.3K	54.3K	13.3K	34.9K
Net DEX	5.7M	1.8M	11.9M	2.5M	11.9M
Net VEX	-9.5K	-11.1K	-7.3K	-7.3K	-8.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.83	0.45	21.75	7.26	4.64
Total Volume	1,158.105	1	1,967	1	1,901
Total OI	4,573.105	2,978	6,686	2,978	6,686

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2015-02-02	$28.74	$30.00	55.9%	16.0%	57.9%	66.0%	51.6%	-1.0%	-7.1%	13.3K	2.5M	-7.3K	0.00	102.75	N/A	N/A	0	1	1,566	1,412
2015-02-03	$30.96	$30.00	51.1%	14.7%	54.9%	58.7%	51.1%	25.5%	-2.9%	28.9K	2.0M	-9.3K	7.26	98.28	N/A	N/A	118	857	1,566	1,413
2015-02-04	$29.56	$30.00	53.0%	15.2%	58.2%	61.6%	52.8%	37.9%	-3.2%	21.8K	2.3M	-8.0K	1.87	101.44	N/A	N/A	462	864	1,592	1,426
2015-02-05	$29.99	$30.00	47.9%	14.7%	57.8%	53.8%	50.4%	4.1%	-4.2%	39.2K	1.8M	-11.0K	1.17	89.18	N/A	N/A	469	550	1,945	1,423
2015-02-06	$29.50	$30.00	55.3%	14.2%	57.3%	65.0%	46.5%	8.8%	-1.3%	31.3K	2.9M	-9.8K	1.43	86.52	N/A	N/A	436	625	1,928	1,714
2015-02-09	$30.01	$30.00	57.3%	14.3%	57.3%	68.2%	47.6%	11.4%	-1.8%	40.8K	3.6M	-11.1K	1.37	85.33	N/A	N/A	446	610	1,929	2,093
2015-02-10	$29.49	$30.00	36.2%	13.4%	45.4%	35.9%	43.5%	10.9%	-2.6%	42.7K	3.7M	-10.3K	1.35	91.83	N/A	N/A	441	594	1,939	2,105
2015-02-11	$28.95	$30.00	44.3%	12.7%	44.8%	48.2%	44.1%	7.8%	-4.1%	32.7K	3.9M	-9.5K	1.34	92.25	N/A	N/A	445	595	1,944	2,092
2015-02-12	$29.89	$30.00	43.5%	12.5%	45.6%	47.1%	43.4%	8.3%	1.4%	43.9K	3.8M	-10.0K	2.43	99.02	N/A	N/A	441	1,071	1,951	2,071
2015-02-13	$29.88	$30.00	43.8%	12.5%	44.6%	47.4%	42.7%	11.0%	2.4%	48.1K	6.1M	-10.5K	2.43	96.97	N/A	N/A	441	1,072	1,961	2,918
2015-02-17	$30.24	$30.00	48.4%	13.9%	44.0%	54.6%	47.2%	7.8%	0.6%	53.8K	6.3M	-9.8K	2.44	99.49	N/A	N/A	441	1,078	1,961	2,918
2015-02-18	$30.71	$30.00	48.1%	13.8%	43.8%	54.1%	47.1%	8.2%	-0.4%	32.3K	6.2M	-9.9K	12.83	97.53	N/A	N/A	84	1,078	1,961	2,939
2015-02-19	$30.43	$30.00	45.9%	13.2%	43.5%	50.8%	0.0%	18.2%	-2.8%	54.3K	6.4M	-9.1K	0.45	99.11	N/A	N/A	11	5	1,964	2,939
2015-02-20	$31.31	$30.00	41.0%	11.7%	44.4%	43.2%	32.3%	21.2%	20.6%	38.7K	6.2M	-9.9K	21.75	97.50	N/A	N/A	20	435	1,962	2,939
2015-02-23	$30.81	$30.00	47.9%	13.7%	44.8%	53.8%	45.0%	12.2%	-3.3%	33.5K	7.9M	-8.9K	10.52	93.72	N/A	N/A	61	642	1,864	3,347
2015-02-24	$30.92	$30.00	45.8%	13.1%	44.7%	50.5%	45.9%	7.6%	-2.0%	33.9K	7.9M	-8.9K	3.71	95.42	N/A	N/A	418	1,549	1,866	3,347
2015-02-25	$30.74	$30.00	47.3%	13.6%	44.5%	52.9%	46.6%	-0.5%	-4.9%	33.6K	11.9M	-8.9K	5.22	94.52	N/A	N/A	296	1,545	1,901	4,686
2015-02-26	$29.54	$30.00	43.7%	12.5%	43.8%	47.3%	44.1%	-7.6%	5.1%	27.0K	11.7M	-8.8K	4.64	96.17	N/A	N/A	337	1,565	1,927	4,694
2015-02-27	$30.28	$30.00	47.0%	13.5%	43.4%	52.5%	45.8%	15.1%	-2.4%	34.9K	11.9M	-8.7K	4.64	101.90	N/A	N/A	337	1,564	1,972	4,714