NGL Options History — August 2015 In August 2015, NGL traded between $23.02 and $27.21. ATM implied volatility averaged 45.3%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 2.3% (HV 20d: 47.6%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 3.34.
Notable Days 2015-08-05 : Highest Volume — 5,322 contracts2015-08-26 : Largest IV spike — 67.2% change2015-08-26 : Highest IV Rank — 100.0%2015-08-26 : Largest Expected Move — 23.2%Monthly Statistics Metric Avg Min Max Open Close Price $25.26 $23.02 $27.21 $27.08 $24.18 Max Pain $25.71 $25.00 $30.00 $30.00 $25.00 ATM IV 45.3% 34.4% 80.9% 42.4% 62.0% Expected Move 13.3% 9.9% 23.2% 12.2% 17.8% HV 20d 47.6% 42.7% 51.2% 47.0% 48.7% HV 60d 37.5% 32.8% 40.7% 32.8% 40.7% IV Rank 47.9% 31.4% 100.0% 44.0% 71.5% IV Percentile 67.2% 41.3% 100.0% 67.1% 96.0% Term Structure -2.9% -32.6% 19.2% -11.6% -9.3% VWIV 43.1% 26.2% 60.2% 39.2% 60.2% Skew 25d 7.0% -11.6% 54.4% 12.5% -1.2% Skew 10d 10.0% -14.6% 80.7% 17.6% 10.4% Call IV 25d 41.3% 27.4% 57.0% 30.1% 53.0% Put IV 25d 48.2% 32.1% 96.6% 42.6% 51.8% Bid-Ask Spread % 107.79 93.43 117.29 114.43 109.06 Gamma HHI 0.60 0.33 0.82 0.48 0.42 Net GEX 167.0K -21.4K 338.5K 88.2K 65.3K Net DEX 7.5M 3.6M 13.2M 13.2M 5.7M Net VEX -18.8K -24.4K -13.3K -15.1K -17.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.34 0.08 15.43 0.14 0.60 Total Volume 2,693.714 0 5,322 4,570 1,187 Total OI 13,339.381 11,390 15,044 11,390 12,061
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-08-03 $27.08 $30.00 42.4% 12.2% 47.0% 44.0% 0.0% 12.5% -11.6% 88.2K 13.2M -15.1K 0.14 114.43 N/A N/A 4,020 550 3,365 8,025 2015-08-04 $26.31 $30.00 34.4% 9.9% 45.8% 31.4% 39.2% -5.2% 0.9% 314.8K 9.9M -24.4K 0.09 106.31 N/A N/A 4,846 413 7,380 7,529 2015-08-05 $24.90 $30.00 47.2% 13.5% 47.4% 51.4% 46.6% -11.6% -6.1% 179.1K 10.7M -22.5K 0.10 101.09 N/A N/A 4,849 473 7,380 7,529 2015-08-06 $24.50 $25.00 45.1% 11.9% 45.6% 48.2% 26.2% 11.1% -4.0% 134.5K 11.2M -19.5K 0.08 103.36 N/A N/A 4,848 409 7,385 7,569 2015-08-07 $24.39 $25.00 43.5% 15.3% 45.7% 45.7% 46.0% -7.7% -0.5% 55.7K 11.8M -16.9K 0.10 107.50 N/A N/A 4,767 474 7,387 7,578 2015-08-10 $25.74 $25.00 37.2% 14.0% 50.9% 35.8% 40.7% 54.4% -16.3% 191.1K 11.3M -16.1K 0.59 109.71 N/A N/A 812 483 7,387 7,652 2015-08-11 $25.63 $25.00 38.6% 12.3% 50.9% 37.9% 39.3% 2.5% -0.1% 235.7K 10.1M -24.0K 14.24 108.40 N/A N/A 152 2,165 7,372 7,672 2015-08-12 $26.59 $25.00 44.2% 12.7% 50.9% 46.7% 41.1% 7.4% -6.8% 272.3K 4.8M -21.3K 3.46 93.43 N/A N/A 688 2,380 7,462 5,718 2015-08-13 $26.37 $25.00 36.9% 10.6% 49.8% 35.3% 38.2% -1.5% -1.4% 268.8K 5.0M -22.2K 3.46 94.49 N/A N/A 688 2,380 7,467 5,718 2015-08-14 $27.21 $25.00 34.8% 10.0% 51.2% 31.9% 33.5% 6.8% 11.8% 334.7K 3.6M -22.9K 3.32 105.67 N/A N/A 717 2,380 7,467 5,718 2015-08-17 $26.82 $25.00 44.4% 12.7% 47.5% 47.1% 43.0% 4.8% 19.2% 335.5K 4.5M -24.3K 3.22 115.44 N/A N/A 717 2,306 7,456 5,718 2015-08-18 $26.75 $25.00 37.8% 10.8% 46.4% 36.6% 40.5% 5.4% 11.3% 338.5K 5.0M -20.2K 3.35 112.31 N/A N/A 692 2,315 7,456 5,717 2015-08-19 $25.96 $25.00 37.6% 10.8% 45.9% 36.4% 0.0% 13.4% 8.9% 223.7K 5.6M -18.7K 0.00 111.69 N/A N/A 0 0 7,441 5,725 2015-08-20 $25.22 $25.00 43.6% 12.5% 46.9% 45.8% 43.2% -0.2% -2.2% 192.6K 5.5M -18.9K 3.34 112.07 N/A N/A 692 2,310 7,456 5,725 2015-08-21 $24.51 $25.00 35.6% 10.2% 46.8% 33.3% 37.3% -6.4% 1.8% 117.1K 6.6M -15.3K 3.34 100.99 N/A N/A 691 2,310 7,456 5,722 2015-08-24 $23.34 $25.00 48.1% 13.8% 48.5% 52.9% 58.1% 2.2% 0.8% -21.4K 7.5M -13.3K 15.43 115.81 N/A N/A 150 2,314 6,845 5,583 2015-08-25 $23.05 $25.00 48.4% 13.9% 45.7% 53.3% 32.3% 14.8% -18.6% 3.7K 7.2M -13.6K 2.99 116.23 N/A N/A 150 448 6,856 5,593 2015-08-26 $23.02 $25.00 80.9% 23.2% 42.7% 100.0% 47.0% 27.8% -32.6% 31.8K 6.6M -16.7K 2.99 117.29 N/A N/A 150 448 6,856 5,459 2015-08-27 $24.12 $25.00 52.6% 15.1% 46.7% 57.5% 51.1% 12.8% 1.3% 78.2K 6.3M -16.0K 2.98 97.47 N/A N/A 150 447 6,856 5,325 2015-08-28 $24.83 $25.00 56.9% 16.3% 48.5% 63.8% 55.0% 4.0% -6.5% 66.3K 5.8M -14.7K 2.98 110.76 N/A N/A 150 447 6,856 5,205 2015-08-31 $24.18 $25.00 62.0% 17.8% 48.7% 71.5% 60.2% -1.2% -9.3% 65.3K 5.7M -17.9K 0.60 109.06 N/A N/A 740 447 6,856 5,205
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