NGL Options History — October 2015

In October 2015, NGL traded between $17.63 and $22.40. ATM implied volatility averaged 52.7%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 1.3% (HV 20d: 51.3%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 6.73.

Notable Days

  • 2015-10-15: Highest Volume — 11,853 contracts
  • 2015-10-22: Largest IV spike — 43.8% change
  • 2015-10-22: Highest IV Rank — 41.0%
  • 2015-10-22: Largest Expected Move — 19.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.11$17.63$22.40$20.46$18.52
Max Pain$34.55$30.00$35.00$30.00$35.00
ATM IV52.7%45.7%68.4%56.9%51.2%
Expected Move14.9%13.1%19.6%16.3%14.7%
HV 20d51.3%39.9%62.0%54.7%42.1%
HV 60d48.7%46.9%51.5%48.8%47.1%
IV Rank28.5%23.0%41.0%31.9%27.4%
IV Percentile77.5%58.7%95.6%86.1%75.0%
Term Structure-0.3%-6.7%46.3%1.4%-2.3%
VWIV53.5%44.5%75.8%59.8%50.2%
Skew 25d9.3%3.6%62.1%5.8%8.3%
Skew 10d13.5%-4.3%27.8%14.5%27.8%
Call IV 25d50.3%43.4%90.1%54.5%47.2%
Put IV 25d59.5%49.7%152.3%60.3%55.5%
Bid-Ask Spread %83.0863.10123.0283.9787.00
Gamma HHI0.490.310.950.480.31
Net GEX-39.6K-370.5K163.2K-65.9K-11.4K
Net DEX18.7M14.3M22.6M14.3M17.9M
Net VEX-5.5K-13.0K-2.8K-7.9K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.730.9533.967.071.11
Total Volume2,095.77363911,8531,889750
Total OI15,304.95510,91521,02016,09011,340

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$20.46$30.0056.9%16.3%54.7%31.9%59.8%5.8%1.4%-65.9K14.3M-7.9K7.0783.97N/AN/A2341,6557,5408,550
2015-10-02$20.29$30.0058.7%16.8%54.7%33.3%53.6%4.8%-0.6%-69.7K16.5M-7.6K6.2883.42N/AN/A2341,4707,5409,687
2015-10-05$20.76$35.0059.2%16.5%55.7%33.7%55.9%7.4%-6.7%-140.7K16.8M-5.6K29.3863.10N/AN/A601,7637,5399,682
2015-10-06$22.40$35.0053.0%14.9%62.0%28.8%67.3%9.6%-4.8%124.7K19.7M-9.1K8.9070.30N/AN/A2412,1447,55411,440
2015-10-07$22.26$35.0054.4%14.3%58.2%30.0%55.0%6.9%-3.5%163.2K19.3M-8.1K8.0868.49N/AN/A2692,1747,58111,525
2015-10-08$22.28$35.0052.6%14.5%55.3%28.5%52.7%6.4%-3.3%44.1K20.6M-7.5K6.6771.78N/AN/A3262,1747,61611,525
2015-10-09$22.10$35.0050.2%14.5%55.2%26.5%54.8%7.8%-5.1%6.5K20.5M-6.9K6.1680.51N/AN/A3352,0657,68311,525
2015-10-12$21.72$35.0049.8%14.6%53.5%26.3%53.0%7.2%-4.0%-69.5K20.7M-5.6K5.6970.94N/AN/A3672,0877,68011,545
2015-10-13$21.39$35.0053.1%13.7%53.1%28.9%53.8%6.3%-2.0%-99.8K20.4M-5.1K5.5779.65N/AN/A3712,0657,71011,545
2015-10-14$20.77$35.0049.9%14.3%52.1%26.3%49.0%5.8%-4.8%-210.5K19.9M-4.3K1.4477.86N/AN/A3394887,72011,544
2015-10-15$20.51$35.0047.9%13.7%51.6%24.7%49.9%5.8%-1.4%-370.5K20.2M-4.1K33.9679.56N/AN/A33911,5147,73611,703
2015-10-16$20.22$35.0049.2%14.1%51.5%25.8%45.2%6.8%-2.8%-15.8K22.6M-3.8K15.7685.27N/AN/A3595,6587,73613,284
2015-10-19$19.90$35.0049.5%14.2%51.5%26.0%47.4%8.4%-1.5%-16.1K19.2M-3.7K1.3277.88N/AN/A28537582710,088
2015-10-20$19.85$35.0045.7%13.1%51.4%23.0%44.5%6.4%2.1%-14.4K19.2M-3.9K1.4294.81N/AN/A26437591610,112
2015-10-21$19.32$35.0047.5%13.6%50.2%24.5%49.1%7.0%1.0%-13.4K18.7M-3.7K1.3878.47N/AN/A27337794410,112
2015-10-22$18.92$35.0068.4%19.6%50.3%41.0%75.8%62.1%46.3%-42.5K17.1M-13.0K1.92123.02N/AN/A26951794410,114
2015-10-23$18.46$35.0052.0%14.9%50.6%28.0%48.1%7.1%-3.9%-15.7K18.0M-3.2K1.4584.79N/AN/A31946495410,151
2015-10-26$17.70$35.0052.9%15.2%51.4%28.8%52.2%7.0%-3.1%-14.2K17.4M-2.8K0.9587.21N/AN/A43641596510,162
2015-10-27$17.63$35.0052.6%15.1%39.9%28.5%53.6%6.4%-2.4%-13.0K17.3M-3.1K1.1996.87N/AN/A3484151,09510,197
2015-10-28$18.22$35.0052.4%15.0%41.9%28.3%52.3%3.6%-2.6%-13.6K17.8M-3.4K1.1694.89N/AN/A3484051,09210,197
2015-10-29$18.68$35.0051.6%14.8%42.1%27.7%53.1%7.0%-1.8%-13.3K18.2M-3.7K1.1487.89N/AN/A3473941,10210,207
2015-10-30$18.52$35.0051.2%14.7%42.1%27.4%50.2%8.3%-2.3%-11.4K17.9M-4.0K1.1187.00N/AN/A3553951,11810,222