NGL Options History — June 2015

In June 2015, NGL traded between $29.66 and $32.90. ATM implied volatility averaged 25.2%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 0.8% (HV 20d: 24.4%). Max pain ranged from $30.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 4.35.

Notable Days

  • 2015-06-16: Highest Volume — 1,816 contracts
  • 2015-06-23: Largest IV spike — 49.6% change
  • 2015-06-01: Highest IV Rank — 28.5%
  • 2015-06-01: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.30$29.66$32.90$30.61$30.48
Max Pain$55.91$30.00$60.00$30.00$60.00
ATM IV25.2%16.8%31.4%31.4%24.3%
Expected Move7.2%4.8%9.0%9.0%7.0%
HV 20d24.4%22.2%26.6%22.2%26.4%
HV 60d21.3%19.1%22.9%22.9%22.7%
IV Rank17.7%3.6%28.5%28.5%15.5%
IV Percentile28.3%0.8%44.0%44.0%20.6%
Term Structure5.0%-6.7%23.5%-5.9%8.1%
VWIV25.4%15.2%32.7%32.7%24.4%
Skew 25d7.6%-2.5%16.0%7.9%10.7%
Skew 10d17.4%0.6%52.6%12.3%23.7%
Call IV 25d21.2%12.9%30.1%24.8%24.3%
Put IV 25d28.8%21.2%37.3%32.7%35.0%
Bid-Ask Spread %101.2790.52110.94101.4690.52
Gamma HHI0.740.430.950.920.60
Net GEX618.1K199.2K1.2M752.4K325.8K
Net DEX9.1M2.7M12.7M9.9M11.6M
Net VEX-26.8K-34.0K-19.4K-28.9K-24.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.350.069.013.611.28
Total Volume1,480.8643731,8161,2551,727
Total OI16,327.68213,51117,78717,57514,087

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$30.61$30.0031.4%9.0%22.2%28.5%32.7%7.9%-5.9%752.4K9.9M-28.9K3.61101.46N/AN/A2729837,13210,443
2015-06-02$31.48$30.0026.0%7.4%23.9%20.3%23.6%8.6%-4.3%910.3K8.4M-29.2K0.0698.33N/AN/A351227,06410,426
2015-06-03$30.67$30.0027.7%7.9%24.9%22.8%28.2%6.0%-2.1%782.9K9.5M-33.0K3.8495.61N/AN/A2741,0527,22710,436
2015-06-04$29.80$60.0029.0%6.9%26.6%24.8%24.7%9.0%0.7%844.3K11.1M-33.1K3.91106.63N/AN/A2691,0537,24610,484
2015-06-05$30.04$60.0025.3%7.7%22.8%19.2%27.5%8.6%-1.7%968.1K10.3M-27.4K4.26104.66N/AN/A2471,0537,25910,492
2015-06-08$29.66$60.0023.2%7.2%23.5%16.1%27.0%11.5%3.2%1.0M12.2M-33.3K4.8195.48N/AN/A2191,0537,27010,492
2015-06-09$29.89$60.0025.7%7.6%23.0%19.7%26.7%0.3%2.6%1.1M12.7M-34.0K4.36100.87N/AN/A2259817,26010,491
2015-06-10$30.74$60.0025.7%7.4%24.6%19.8%26.3%3.8%6.9%1.2M9.6M-31.6K5.2196.02N/AN/A1919967,26010,499
2015-06-11$31.00$60.0026.7%7.6%24.6%19.7%27.0%6.5%8.5%1.0M8.8M-32.6K3.9492.07N/AN/A2539967,26610,504
2015-06-12$31.04$60.0024.1%6.9%24.5%15.2%25.4%16.0%9.3%742.2K8.7M-31.0K7.88108.13N/AN/A1881,4827,28310,504
2015-06-15$31.30$60.0028.0%8.0%24.5%21.2%28.3%14.4%3.8%751.7K5.3M-27.6K4.6394.73N/AN/A3201,4827,2839,718
2015-06-16$31.39$60.0021.6%6.2%23.8%11.3%21.5%4.8%9.9%604.4K4.3M-25.6K4.4499.72N/AN/A3341,4827,1889,716
2015-06-17$31.68$60.0016.8%4.8%23.1%3.6%15.2%8.2%7.3%548.4K3.8M-20.7K6.6398.10N/AN/A2251,4917,1569,716
2015-06-18$32.01$60.0018.6%5.3%23.2%6.6%16.0%10.6%13.4%301.5K3.3M-19.9K6.63100.05N/AN/A2251,4917,1519,706
2015-06-19$32.79$60.0023.7%6.8%24.4%14.5%21.9%9.7%7.8%246.4K2.7M-19.4K5.32100.30N/AN/A2831,5057,1919,706
2015-06-22$32.90$60.0018.1%5.2%24.4%5.7%23.3%10.6%23.5%201.5K12.3M-24.8K5.41108.41N/AN/A2621,4174,3799,574
2015-06-23$32.44$60.0027.0%7.7%25.2%19.7%26.7%4.2%14.9%199.2K12.5M-24.8K5.6899.10N/AN/A2481,4094,3799,577
2015-06-24$32.58$60.0026.3%7.5%25.1%18.7%26.0%1.3%-6.7%247.1K12.4M-20.8K9.01105.90N/AN/A1211,0904,3899,588
2015-06-25$32.48$60.0026.4%7.6%25.1%18.8%27.1%9.0%2.4%224.3K10.3M-19.4K1.60110.94N/AN/A6781,0824,3909,121
2015-06-26$32.15$60.0029.7%8.5%25.2%24.0%29.7%7.7%4.1%294.7K10.3M-23.1K1.56110.37N/AN/A6951,0824,9499,124
2015-06-29$31.42$60.0029.5%8.5%26.1%23.7%29.0%-2.5%3.5%281.7K10.8M-24.6K1.57110.55N/AN/A6881,0824,9599,124
2015-06-30$30.48$60.0024.3%7.0%26.4%15.5%24.4%10.7%8.1%325.8K11.6M-24.0K1.2890.52N/AN/A7579704,9599,128