NGL Options History — July 2015

In July 2015, NGL traded between $25.52 and $30.61. ATM implied volatility averaged 35.4%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 1.1% (HV 20d: 34.3%). 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 4 of 22 days. Put/call ratio averaged 2.33.

Notable Days

  • 2015-07-17: Highest Volume — 9,800 contracts
  • 2015-07-08: Largest IV spike — 57.2% change
  • 2015-07-22: Highest IV Rank — 70.1%
  • 2015-07-22: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.30$25.52$30.61$30.10$27.68
Max Pain$32.73$30.00$60.00$60.00$30.00
ATM IV35.4%22.6%59.1%27.5%39.3%
Expected Move10.0%6.9%16.9%7.9%11.3%
HV 20d34.3%22.9%46.7%25.1%46.7%
HV 60d28.2%22.9%33.4%22.9%33.3%
IV Rank32.9%12.8%70.1%20.6%39.1%
IV Percentile49.1%15.1%94.0%35.7%57.9%
Term Structure-3.3%-18.4%8.2%-1.2%-5.6%
VWIV32.4%22.1%43.2%27.8%41.3%
Skew 25d10.8%-9.2%81.1%3.2%81.1%
Skew 10d13.0%-14.8%69.6%5.0%5.7%
Call IV 25d35.0%24.3%97.6%25.5%39.8%
Put IV 25d45.8%28.2%121.0%28.7%121.0%
Bid-Ask Spread %111.2594.88121.73104.54121.73
Gamma HHI0.530.310.830.620.42
Net GEX179.0K25.2K561.0K291.0K88.8K
Net DEX12.0M9.6M22.1M11.2M13.3M
Net VEX-18.1K-24.2K-15.0K-24.2K-17.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.330.2412.091.060.24
Total Volume3,214.5911,0499,8005,7981,071
Total OI11,834.4099,66115,66113,69011,412

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$30.10$60.0027.5%7.9%25.1%20.6%27.8%3.2%-1.2%291.0K11.2M-24.2K1.06104.54N/AN/A2,8152,9834,9348,756
2015-07-02$30.05$60.0028.0%8.0%22.9%21.3%28.1%-3.0%-4.7%281.8K12.3M-20.4K1.78104.36N/AN/A1,6963,0184,5318,373
2015-07-06$29.67$30.0022.6%9.0%23.1%12.8%23.6%9.7%-0.9%341.5K12.5M-20.4K1.6994.88N/AN/A1,7232,9054,5268,390
2015-07-07$30.61$30.0023.5%10.4%25.2%14.3%23.2%12.8%-4.2%306.7K10.8M-21.2K1.67109.25N/AN/A1,7202,8794,5238,208
2015-07-08$29.39$30.0037.0%10.7%29.2%35.4%27.5%6.7%-5.2%257.6K11.3M-20.3K0.53108.86N/AN/A1,7209134,5188,199
2015-07-09$30.18$30.0027.2%9.0%29.0%20.1%26.2%-9.2%-1.9%561.0K11.4M-18.5K0.80118.49N/AN/A1,7191,3734,5188,220
2015-07-10$29.90$30.0040.2%6.9%28.9%40.5%22.1%9.9%7.1%282.1K11.2M-20.2K1.69115.29N/AN/A7551,2764,5478,017
2015-07-13$29.97$30.0038.9%8.5%29.0%38.4%27.1%0.4%-6.0%347.6K10.8M-17.7K1.82120.89N/AN/A7551,3744,5057,902
2015-07-14$29.90$30.0038.6%8.6%28.7%37.9%26.1%11.0%-2.0%425.4K10.4M-17.1K1.71106.97N/AN/A7551,2904,5057,691
2015-07-15$28.51$30.0025.9%7.4%32.8%18.0%31.7%15.2%-4.4%237.8K9.6M-15.0K1.54109.90N/AN/A9581,4744,5057,532
2015-07-16$27.59$30.0029.8%8.5%33.8%24.2%35.6%13.8%-3.1%70.9K10.6M-16.2K12.09110.61N/AN/A7398,9324,4557,158
2015-07-17$27.52$30.0037.2%10.7%33.2%35.7%38.2%-0.4%-11.0%53.6K22.1M-16.5K11.98113.58N/AN/A7559,0454,47311,188
2015-07-20$26.06$30.0045.7%13.1%35.0%49.1%42.0%4.8%1.3%29.0K9.8M-17.6K6.76109.22N/AN/A7014,7413,0346,627
2015-07-21$26.79$30.0038.0%10.9%37.3%36.9%32.5%17.4%8.2%25.2K10.0M-19.5K1.56114.88N/AN/A7891,2333,0346,628
2015-07-22$25.86$30.0059.1%16.9%38.4%70.1%39.1%10.0%-18.4%32.7K10.9M-18.3K0.76116.93N/AN/A6895253,1347,031
2015-07-23$25.52$30.0038.9%11.1%37.9%38.4%35.0%6.9%-7.4%27.9K11.1M-15.7K0.74110.59N/AN/A7145253,1347,027
2015-07-24$26.19$30.0039.3%11.3%40.2%39.0%35.6%13.4%-4.5%36.9K11.1M-15.5K0.63111.68N/AN/A7244573,1597,027
2015-07-27$26.76$30.0034.9%10.0%41.8%32.1%34.7%11.9%-4.0%26.3K12.1M-15.4K1.08112.58N/AN/A7608213,1697,376
2015-07-28$27.75$30.0038.2%11.0%44.4%37.4%39.0%2.0%-4.0%62.7K13.8M-17.2K0.42100.41N/AN/A7403093,2058,086
2015-07-29$28.75$30.0036.5%10.5%45.8%34.7%43.2%15.0%0.6%63.8K14.4M-18.0K0.39120.86N/AN/A8593383,2148,284
2015-07-30$27.90$30.0032.5%9.3%46.7%28.4%33.6%5.8%-1.8%88.8K13.7M-16.9K0.41110.95N/AN/A8163373,3158,287
2015-07-31$27.68$30.0039.3%11.3%46.7%39.1%41.3%81.1%-5.6%88.8K13.3M-17.4K0.24121.73N/AN/A8662053,3228,090