NGL Options History — May 2015

In May 2015, NGL traded between $28.22 and $30.45. ATM implied volatility averaged 32.1%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 10.3% (HV 20d: 21.9%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 5.79.

Notable Days

  • 2015-05-01: Highest Volume — 5,815 contracts
  • 2015-05-07: Largest IV spike — 123.4% change
  • 2015-05-11: Highest IV Rank — 52.7%
  • 2015-05-13: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.45$28.22$30.45$28.94$30.01
Max Pain$27.25$25.00$30.00$30.00$30.00
ATM IV32.1%20.5%47.2%23.8%28.5%
Expected Move8.4%6.8%11.6%6.8%8.2%
HV 20d21.9%17.0%24.1%17.7%21.6%
HV 60d25.2%22.6%26.8%26.0%22.7%
IV Rank29.7%11.9%52.7%16.9%24.1%
IV Percentile48.3%15.5%80.2%32.5%42.5%
Term Structure0.0%-8.6%9.2%3.3%-2.5%
VWIV31.4%24.4%37.0%24.4%30.0%
Skew 25d8.9%-5.2%59.5%4.1%5.9%
Skew 10d13.5%-0.4%69.1%6.9%10.4%
Call IV 25d26.5%22.1%34.8%27.0%24.3%
Put IV 25d35.4%23.7%94.3%31.1%30.2%
Bid-Ask Spread %105.4992.08120.0297.48114.32
Gamma HHI0.830.780.890.790.86
Net GEX550.2K402.3K725.3K402.3K699.4K
Net DEX12.7M9.8M16.2M12.0M11.5M
Net VEX-43.2K-49.6K-32.7K-49.3K-39.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.790.0013.360.944.84
Total Volume1,429.35295,8155,8151,174
Total OI17,945.617,58318,62817,69417,583

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$28.94$30.0023.8%6.8%17.7%16.9%24.4%4.1%3.3%402.3K12.0M-49.3K0.9497.48N/AN/A2,9912,8247,34610,348
2015-05-04$28.94$25.0027.7%8.3%17.0%22.8%28.9%8.9%4.4%432.2K11.8M-49.0K0.0092.08N/AN/A4207,33010,346
2015-05-05$29.66$25.0022.2%8.0%18.7%14.5%37.0%9.0%9.2%475.0K11.0M-49.6K10.68110.00N/AN/A2532,7037,35910,346
2015-05-06$29.26$25.0020.5%8.4%19.5%11.9%36.6%59.5%3.3%440.8K11.4M-48.5K13.36109.57N/AN/A2002,6717,34310,337
2015-05-07$28.22$25.0045.8%7.4%24.1%50.6%33.0%10.2%4.7%465.9K12.3M-47.4K12.76107.69N/AN/A2092,6677,35210,337
2015-05-08$28.26$25.0044.5%8.2%23.6%48.5%28.5%-5.2%-4.7%448.6K15.3M-45.5K1.36120.02N/AN/A22307,37111,231
2015-05-11$28.74$25.0047.2%8.8%24.1%52.7%31.0%2.1%-0.2%419.0K15.6M-46.1K0.32109.19N/AN/A2277,37211,241
2015-05-12$28.59$25.0046.7%7.7%23.1%52.0%34.6%7.8%2.7%486.3K14.9M-43.8K8.34108.20N/AN/A2181,8197,38411,244
2015-05-13$28.56$25.0040.5%11.6%23.0%42.5%30.6%1.5%-1.3%420.5K16.2M-43.0K5.08114.39N/AN/A1849347,35011,244
2015-05-14$28.85$25.0027.2%7.8%22.8%22.2%33.9%9.1%3.7%487.6K15.2M-44.6K5.87100.27N/AN/A1599347,34511,254
2015-05-15$29.09$25.0026.9%7.7%22.4%21.6%34.7%10.2%1.3%559.7K15.0M-43.8K6.2396.44N/AN/A1509347,34511,254
2015-05-18$29.65$25.0028.4%8.1%22.6%24.0%28.4%4.3%-1.4%614.9K13.6M-44.5K10.36109.30N/AN/A333427,25210,663
2015-05-19$30.22$30.0034.8%10.0%23.1%33.8%34.9%6.4%-7.0%579.2K11.7M-41.2K0.18110.64N/AN/A180327,24610,385
2015-05-20$30.12$30.0029.0%8.3%23.0%24.9%30.1%4.8%-2.7%643.0K11.4M-40.0K6.76104.66N/AN/A1439667,22610,397
2015-05-21$30.31$30.0032.1%9.2%22.8%29.6%32.1%7.3%-8.6%651.9K10.9M-37.4K7.61110.02N/AN/A1279667,21510,396
2015-05-22$30.37$30.0027.4%7.9%22.7%22.5%27.4%6.7%0.3%686.2K11.2M-40.6K6.42104.59N/AN/A1519697,20510,396
2015-05-26$30.45$30.0029.6%8.5%22.3%25.9%31.3%8.2%1.2%701.6K9.8M-32.7K5.99104.83N/AN/A1639767,22910,413
2015-05-27$30.41$30.0031.9%9.1%21.6%29.2%31.9%10.2%-3.8%665.6K11.1M-39.2K4.5493.87N/AN/A2159767,22210,421
2015-05-28$30.26$30.0028.2%8.1%21.5%23.6%28.2%6.9%-1.3%725.3K11.6M-38.3K4.1892.21N/AN/A2329697,15210,432
2015-05-29$30.01$30.0028.5%8.2%21.6%24.1%30.0%5.9%-2.5%699.4K11.5M-39.3K4.84114.32N/AN/A2019737,14610,437