NGL Options History — March 2015

In March 2015, NGL traded between $26.04 and $29.33. ATM implied volatility averaged 42.0%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 8.2% (HV 20d: 33.9%). Max pain ranged from $30.00 to $55.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 8.43.

Notable Days

  • 2015-03-17: Highest Volume — 7,535 contracts
  • 2015-03-11: Largest IV drop — 21.9% change
  • 2015-03-09: Highest IV Rank — 51.7%
  • 2015-03-04: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.24$26.04$29.33$29.33$26.29
Max Pain$44.77$30.00$55.00$30.00$35.00
ATM IV42.0%35.2%46.5%43.8%42.2%
Expected Move11.7%9.4%12.7%12.6%12.1%
HV 20d33.9%25.7%44.8%44.8%26.3%
HV 60d53.2%44.3%65.1%65.1%44.3%
IV Rank44.8%34.3%51.7%47.6%45.0%
IV Percentile73.0%63.9%80.6%78.2%72.6%
Term Structure3.9%-4.6%13.2%-0.3%5.3%
VWIV41.0%37.3%44.2%43.0%43.7%
Skew 25d2.4%-8.9%12.2%-1.1%10.5%
Skew 10d9.4%-4.1%24.1%6.0%24.1%
Call IV 25d38.8%29.8%44.5%42.5%32.2%
Put IV 25d41.3%33.5%47.8%41.4%42.7%
Bid-Ask Spread %91.3180.08106.91100.4590.56
Gamma HHI0.530.300.800.440.41
Net GEX-84.3K-155.1K27.0K27.0K-135.3K
Net DEX12.3M1.3M23.6M11.7M1.5M
Net VEX-22.3K-44.3K-5.0K-8.2K-40.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.430.0082.305.670.37
Total Volume1,475.045107,5352,0021,503
Total OI10,634.8186,68613,7946,68610,874

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$29.33$30.0043.8%12.6%44.8%47.6%43.0%-1.1%-0.3%27.0K11.7M-8.2K5.67100.45N/AN/A3001,7021,9724,714
2015-03-03$29.32$30.0042.1%12.1%44.5%45.0%42.1%0.1%1.6%25.2K16.1M-8.0K5.67106.91N/AN/A3001,7021,9756,187
2015-03-04$29.30$30.0044.2%12.7%35.0%48.2%44.2%-2.8%-1.9%20.2K16.3M-6.9K5.71102.89N/AN/A3001,7121,9756,187
2015-03-05$28.90$55.0046.2%12.3%31.3%51.1%43.8%4.0%-2.7%21.4K16.0M-7.5K5.6195.55N/AN/A3051,7121,9756,207
2015-03-06$27.09$55.0045.5%12.4%38.0%50.1%40.9%1.5%-4.6%67515.7M-5.0K30.3280.08N/AN/A1263,8201,9806,207
2015-03-09$26.88$55.0046.5%11.0%37.8%51.7%40.5%1.4%6.8%-131.0K16.8M-9.3K12.0293.19N/AN/A1321,5871,9958,185
2015-03-10$27.07$55.0045.0%9.4%37.2%49.4%38.9%-8.9%13.2%-84.4K21.7M-11.6K82.3091.86N/AN/A108232,0259,754
2015-03-11$26.90$55.0035.2%10.1%36.9%34.3%37.3%3.1%8.2%-124.6K23.4M-10.1K3.0099.02N/AN/A7212,02910,549
2015-03-12$27.22$55.0042.5%12.2%36.9%45.6%38.0%4.5%0.7%-125.0K23.5M-10.5K2.9089.89N/AN/A782262,03010,570
2015-03-13$27.16$55.0041.4%11.9%34.6%43.8%41.2%3.0%2.6%-134.4K23.6M-12.4K0.0089.40N/AN/A0542,08510,767
2015-03-16$27.17$55.0039.3%11.3%34.6%40.7%39.5%-0.1%4.6%-141.6K23.5M-12.0K0.0189.94N/AN/A75252,08510,767
2015-03-17$27.04$55.0040.2%11.5%34.0%41.9%39.4%0.4%5.1%-113.9K22.9M-15.4K17.7988.74N/AN/A4017,1342,73010,772
2015-03-18$27.03$55.0041.9%12.0%33.2%44.7%0.0%1.7%3.1%-105.2K22.3M-17.3K0.0290.75N/AN/A18843,06710,727
2015-03-19$26.65$40.0042.4%12.1%33.3%45.3%43.6%5.0%4.3%-105.0K3.3M-17.8K0.9090.30N/AN/A2,2412,0103,2343,708
2015-03-20$26.68$40.0039.7%11.4%30.8%41.3%0.0%0.4%4.5%-97.0K1.8M-44.3K0.0086.26N/AN/A1005,3225,711
2015-03-23$27.00$40.0042.1%12.1%31.4%45.0%39.2%3.3%5.5%-80.3K1.4M-43.6K0.3685.11N/AN/A67245,2235,662
2015-03-24$26.53$40.0041.1%11.8%31.4%43.4%0.0%2.1%5.2%-95.0K1.5M-42.3K0.1184.57N/AN/A5665,2665,654
2015-03-25$26.65$40.0039.7%11.4%31.7%41.2%0.0%0.7%7.1%-100.1K1.5M-42.7K3.3384.68N/AN/A3105,3225,659
2015-03-26$26.45$40.0041.3%11.9%29.2%43.8%38.5%2.4%5.6%-105.2K1.8M-42.2K0.3886.81N/AN/A1,1044185,3225,733
2015-03-27$26.48$35.0041.8%12.0%27.1%44.5%42.0%12.2%4.9%-116.3K1.3M-41.8K0.1790.52N/AN/A90155,3325,540
2015-03-30$26.04$35.0040.8%11.7%25.7%42.9%42.1%9.9%5.8%-155.1K2.0M-40.9K0.3691.25N/AN/A1,1003935,2695,619
2015-03-31$26.29$35.0042.2%12.1%26.3%45.0%43.7%10.5%5.3%-135.3K1.5M-40.5K0.3790.56N/AN/A1,1004035,2785,596