NGL Options History — April 2015

In April 2015, NGL traded between $26.46 and $29.36. ATM implied volatility averaged 38.0%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 20.4% (HV 20d: 17.6%). Max pain ranged from $25.00 to $40.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 5.83.

Notable Days

  • 2015-04-30: Highest Volume — 5,858 contracts
  • 2015-04-08: Largest IV spike — 46.2% change
  • 2015-04-16: Highest IV Rank — 55.2%
  • 2015-04-16: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.51$26.46$29.36$26.58$29.23
Max Pain$33.57$25.00$40.00$35.00$30.00
ATM IV38.0%24.6%48.8%39.2%24.6%
Expected Move11.4%7.1%14.0%11.2%7.1%
HV 20d17.6%15.3%26.9%26.9%17.0%
HV 60d34.8%27.6%41.0%41.0%27.6%
IV Rank38.6%18.2%55.2%40.5%18.2%
IV Percentile62.9%34.1%85.3%65.1%34.1%
Term Structure-1.9%-16.1%10.0%9.7%3.5%
VWIV41.7%27.3%47.3%41.0%27.3%
Skew 25d6.0%-10.7%19.9%12.8%6.5%
Skew 10d14.6%2.7%26.8%25.6%9.3%
Call IV 25d36.7%25.3%45.6%28.3%25.6%
Put IV 25d42.7%30.4%48.1%41.1%32.0%
Bid-Ask Spread %81.4063.57100.4992.52100.49
Gamma HHI0.460.330.600.390.59
Net GEX35.2K-112.1K157.0K-112.1K141.0K
Net DEX4.2M-1.8M15.9M945.4K15.1M
Net VEX-37.2K-39.9K-34.1K-39.9K-38.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.830.2146.870.350.94
Total Volume2,595.571205,8581,5435,858
Total OI11,424.2867,37114,93610,89414,936

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$26.58$35.0039.2%11.2%26.9%40.5%41.0%12.8%9.7%-112.1K945.4K-39.9K0.3592.52N/AN/A1,1453985,2785,616
2015-04-02$26.74$40.0032.6%13.5%26.9%30.4%46.2%7.7%-2.8%-100.1K727.5K-39.4K0.3566.54N/AN/A1,1453985,2695,611
2015-04-06$27.22$40.0041.4%14.0%15.8%43.9%47.2%7.7%-5.0%-80.8K434.7K-38.8K0.3566.56N/AN/A1,1453985,2745,608
2015-04-07$27.32$40.0033.1%13.9%15.6%31.1%47.0%7.3%-4.4%-9.5K-158.7K-37.4K0.3572.60N/AN/A1,1454045,2545,608
2015-04-08$27.21$40.0048.4%13.9%15.5%54.5%0.0%7.5%-4.6%-5.5K-335.1K-37.0K3.0072.00N/AN/A5155,2545,550
2015-04-09$27.27$40.0047.5%13.6%15.3%53.2%46.4%7.0%-4.4%11.1K-59.8K-36.7K0.3673.71N/AN/A1,1484095,2535,629
2015-04-10$26.97$40.0046.4%13.3%15.3%51.4%45.4%6.8%-2.6%2.6K174.8K-35.6K0.3569.20N/AN/A1,1664095,2735,629
2015-04-13$26.92$40.0047.2%13.5%15.3%52.7%47.3%4.7%-3.4%28.3K30.0K-35.4K0.3863.57N/AN/A1,1204295,3355,629
2015-04-14$26.46$40.0045.5%13.0%16.4%50.1%45.8%1.5%-4.0%-39.4K353.0K-34.1K0.7368.27N/AN/A1,1348245,3495,648
2015-04-15$26.78$25.0046.2%13.3%17.0%51.2%43.4%8.8%-4.5%14.8K-1.1M-35.1K0.8771.75N/AN/A1,2181,0645,3775,276
2015-04-16$26.60$25.0048.8%14.0%17.1%55.2%41.3%2.0%-16.1%-69.1K-722.5K-36.6K0.7286.28N/AN/A1,2138725,4675,550
2015-04-17$27.04$30.0044.9%12.9%17.4%49.2%43.7%8.7%-5.5%68.7K-505.1K-36.8K0.6785.96N/AN/A1,2018055,4355,713
2015-04-20$27.49$30.0046.1%13.2%18.3%51.1%42.2%19.4%-5.8%79.2K-1.7M-36.9K0.2195.23N/AN/A1,1232414,1633,208
2015-04-21$27.47$30.0036.9%10.6%17.9%37.0%40.3%10.7%10.0%91.1K-1.8M-36.5K4.1584.41N/AN/A1,1044,5864,1813,208
2015-04-22$27.87$30.0028.0%8.0%17.1%23.3%33.2%-5.4%4.9%102.0K9.7M-37.1K3.9689.64N/AN/A1,1364,5034,1827,572
2015-04-23$27.75$30.0026.2%7.5%17.2%20.6%36.0%-10.7%-3.2%106.3K9.4M-37.2K46.8786.91N/AN/A1075,0154,2557,597
2015-04-24$28.03$30.0025.9%7.4%17.1%20.2%36.6%-2.4%0.5%103.7K10.8M-37.8K22.7687.22N/AN/A1082,4584,2618,138
2015-04-27$28.48$30.0027.7%7.9%17.7%22.9%41.7%3.4%-2.4%113.7K15.9M-37.9K21.2984.69N/AN/A1232,6194,2639,947
2015-04-28$29.00$30.0025.1%7.2%16.6%18.9%45.6%19.9%6.0%135.7K15.5M-39.1K6.0996.11N/AN/A4382,6684,29910,167
2015-04-29$29.36$30.0036.0%10.3%16.7%35.6%35.7%1.7%-5.7%157.0K14.9M-38.2K7.7295.66N/AN/A3682,8424,42910,219
2015-04-30$29.23$30.0024.6%7.1%17.0%18.2%27.3%6.5%3.5%141.0K15.1M-38.3K0.94100.49N/AN/A3,0182,8404,59310,343