NGL Options History — September 2015

In September 2015, NGL traded between $19.82 and $24.39. ATM implied volatility averaged 70.7%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded above realized volatility by 22.8% (HV 20d: 47.8%). Max pain ranged from $25.00 to $45.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 3.51.

Notable Days

  • 2015-09-21: Highest Volume — 4,385 contracts
  • 2015-09-25: Largest IV spike — 108.6% change
  • 2015-09-02: Highest IV Rank — 100.0%
  • 2015-09-25: Largest Expected Move — 30.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.73$19.82$24.39$23.22$19.99
Max Pain$35.24$25.00$45.00$25.00$30.00
ATM IV70.7%35.2%142.6%53.6%57.5%
Expected Move18.9%10.1%30.5%15.4%16.5%
HV 20d47.8%41.2%54.5%49.6%53.6%
HV 60d44.3%40.7%49.4%41.4%48.9%
IV Rank46.3%14.6%100.0%58.9%32.4%
IV Percentile88.9%34.9%100.0%88.5%86.9%
Term Structure-9.7%-45.9%17.8%2.0%2.1%
VWIV58.4%21.3%80.3%52.3%52.8%
Skew 25d-5.1%-26.2%12.7%0.7%6.1%
Skew 10d-10.6%-67.5%12.9%2.9%12.9%
Call IV 25d60.1%48.6%73.0%52.3%56.8%
Put IV 25d55.0%35.9%76.2%53.0%62.9%
Bid-Ask Spread %100.5175.76124.93113.3175.76
Gamma HHI0.430.280.800.340.53
Net GEX57.6K-81.2K428.2K2.9K-81.2K
Net DEX10.2M4.5M14.4M6.5M14.4M
Net VEX-13.8K-20.9K-7.3K-13.1K-7.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.510.069.370.593.29
Total Volume1,364.524524,3851,2071,005
Total OI14,498.52411,66016,03112,59816,031

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$23.22$25.0053.6%15.4%49.6%58.9%52.3%0.7%2.0%2.9K6.5M-13.1K0.59113.31N/AN/A7604477,3935,205
2015-09-02$23.20$25.0088.4%25.4%46.1%100.0%70.7%8.2%-15.3%47.1K5.7M-17.3K0.59117.51N/AN/A7604477,4235,205
2015-09-03$23.13$30.00142.6%26.4%45.9%100.0%53.9%12.7%-16.5%119.9K4.5M-20.2K0.51110.86N/AN/A7803977,4235,205
2015-09-04$22.95$30.0090.4%20.2%45.9%58.5%59.0%-5.1%-3.9%31.0K6.1M-14.5K0.4696.27N/AN/A7903617,4435,085
2015-09-08$22.39$30.00113.1%23.6%41.2%76.5%21.3%-6.2%-6.6%40.7K5.3M-16.1K6.4394.69N/AN/A7457,4515,085
2015-09-09$21.13$30.0056.6%16.2%45.0%31.7%57.3%-7.3%3.9%-31.6K6.3M-11.3K9.3793.92N/AN/A2021,8937,4635,120
2015-09-10$22.25$45.0067.8%19.4%47.3%40.6%67.2%-12.5%-14.3%2.0K9.9M-13.5K9.1298.04N/AN/A2071,8887,4466,746
2015-09-11$21.98$45.0078.5%22.5%47.3%49.0%67.1%-26.2%-19.3%-46.4K10.1M-13.2K5.36106.51N/AN/A2381,2767,4516,757
2015-09-14$22.87$45.0077.7%22.3%48.3%48.5%69.5%-18.4%-18.5%-32.1K12.0M-13.1K5.4996.07N/AN/A2371,3017,4827,678
2015-09-15$23.27$45.0035.2%10.1%49.1%14.6%62.4%-19.0%17.8%-9.6K12.8M-11.4K8.28110.06N/AN/A756217,4807,684
2015-09-16$24.00$45.0066.4%19.0%50.9%39.4%65.5%-3.1%-11.1%-9.6K13.1M-11.1K3.56102.78N/AN/A2428627,5568,211
2015-09-17$24.31$45.0067.8%19.4%50.5%40.5%68.1%9.0%-36.5%29.1K13.3M-12.8K1.09124.93N/AN/A2542767,5708,209
2015-09-18$24.39$45.0054.4%15.6%49.6%29.9%54.7%1.0%-8.4%20.6K13.2M-10.9K1.2185.53N/AN/A2292767,6178,199
2015-09-21$24.08$45.0050.6%14.5%48.8%26.9%51.6%-1.8%-3.7%30.0K12.9M-10.4K0.0688.09N/AN/A4,1452403,4798,181
2015-09-22$24.15$30.0051.6%14.8%45.3%27.7%51.9%-5.0%-2.5%428.2K10.1M-17.5K0.0695.02N/AN/A4,1452407,5098,183
2015-09-23$23.10$30.0054.7%15.7%48.0%30.1%55.3%-16.3%-3.9%218.9K10.6M-18.3K3.6488.80N/AN/A1575727,5158,423
2015-09-24$22.81$30.0051.0%14.6%48.2%27.2%50.2%0.4%-1.6%181.4K11.7M-15.2K3.2891.14N/AN/A1695547,5208,311
2015-09-25$22.50$30.00106.5%30.5%45.0%71.3%80.3%8.6%-45.9%126.3K9.2M-20.9K3.28107.08N/AN/A1695547,5368,314
2015-09-28$21.85$30.0050.2%14.4%44.2%26.6%56.9%-8.5%8.1%110.9K13.3M-11.2K4.22101.14N/AN/A1697147,5368,314
2015-09-29$19.82$30.0069.7%20.0%54.5%42.1%59.6%-25.3%-29.0%30.7K13.0M-10.8K3.83113.30N/AN/A1977547,5368,494
2015-09-30$19.99$30.0057.5%16.5%53.6%32.4%52.8%6.1%2.1%-81.2K14.4M-7.3K3.2975.76N/AN/A2347717,5238,508