NGL Options History — November 2015

In November 2015, NGL traded between $15.34 and $19.19. ATM implied volatility averaged 50.3%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 2.3% (HV 20d: 52.6%). Max pain ranged from $17.50 to $35.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.03.

Notable Days

  • 2015-11-16: Highest Volume — 4,053 contracts
  • 2015-11-09: Largest IV spike — 50.3% change
  • 2015-11-09: Highest IV Rank — 50.6%
  • 2015-11-09: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.32$15.34$19.19$19.06$17.55
Max Pain$20.50$17.50$35.00$35.00$17.50
ATM IV50.3%43.0%80.5%47.0%49.0%
Expected Move14.1%12.5%16.9%13.5%14.1%
HV 20d52.6%30.8%64.3%42.6%63.7%
HV 60d50.8%46.1%53.8%47.6%53.3%
IV Rank26.6%20.9%50.6%24.1%25.6%
IV Percentile64.9%42.9%97.6%60.3%65.9%
Term Structure-0.2%-9.1%6.1%-0.2%-1.2%
VWIV49.1%41.4%57.6%50.9%48.7%
Skew 25d3.1%-12.5%27.0%7.4%-1.9%
Skew 10d10.6%-13.5%37.2%37.2%-1.0%
Call IV 25d47.6%34.8%55.3%43.8%47.3%
Put IV 25d50.7%35.4%61.7%51.3%45.3%
Bid-Ask Spread %91.6372.44111.6585.0895.14
Gamma HHI0.510.270.980.280.88
Net GEX74.9K-18.3K942.2K-6.7K72.0K
Net DEX15.7M11.3M18.5M18.3M12.3M
Net VEX-4.0K-6.6K-2.5K-4.3K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.002.621.090.07
Total Volume1,073.524,05375687
Total OI12,647.48,75016,56311,37511,832

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$19.06$35.0047.0%13.5%42.6%24.1%50.9%7.4%-0.2%-6.7K18.3M-4.3K1.0985.08N/AN/A3613951,15910,216
2015-11-03$19.19$35.0050.1%14.4%30.8%26.5%52.6%11.1%-3.4%-6.2K18.3M-4.3K1.0888.46N/AN/A3653951,17810,221
2015-11-04$18.00$35.0052.6%15.1%36.7%28.5%57.6%4.2%-2.2%-8.0K17.8M-3.8K1.50103.83N/AN/A3565351,18510,471
2015-11-05$16.97$20.0043.0%15.5%40.2%20.9%49.5%-4.1%-0.2%-14.0K17.0M-3.3K2.2589.69N/AN/A3297391,18610,476
2015-11-06$16.78$20.0053.5%15.3%40.1%29.2%52.7%-0.0%-2.6%-13.6K17.1M-3.1K0.0092.46N/AN/A201,20110,556
2015-11-09$16.00$20.0080.5%16.9%41.9%50.6%42.1%9.8%-9.1%-11.9K16.3M-2.5K2.62111.65N/AN/A1233221,19910,506
2015-11-10$15.34$17.5062.0%15.3%43.0%36.0%53.2%8.8%-1.1%-4.2K16.2M-2.6K1.8493.10N/AN/A3756891,32410,808
2015-11-11$15.60$17.5053.6%15.4%44.2%29.3%47.9%5.1%-2.1%-3.6K16.4M-2.8K1.9087.90N/AN/A3636891,37910,811
2015-11-12$16.86$17.5049.5%14.2%55.0%26.0%48.5%8.7%-1.8%-13.8K17.8M-3.6K1.1683.47N/AN/A4715481,35711,053
2015-11-13$16.81$17.5052.0%14.9%55.0%28.0%50.6%1.2%-2.7%-16.2K17.7M-3.4K1.21105.34N/AN/A4545481,30211,073
2015-11-16$17.26$17.5048.6%13.9%56.4%25.3%0.0%27.0%1.0%-18.3K18.2M-3.6K0.0096.61N/AN/A4,034191,31011,073
2015-11-17$16.83$17.5044.8%12.8%56.7%22.3%44.7%3.7%3.6%356.2K16.1M-5.2K0.8592.22N/AN/A6205275,32211,063
2015-11-18$18.10$17.5048.8%14.0%63.0%25.4%53.6%5.2%-0.9%-3.3K11.3M-3.6K0.9194.38N/AN/A5825295,42411,063
2015-11-19$17.56$17.5047.0%13.5%63.5%24.0%48.0%8.3%2.6%942.2K14.3M-5.2K1.2388.58N/AN/A5476755,43511,073
2015-11-20$17.44$17.5044.6%12.8%63.0%22.2%44.5%-4.3%2.6%-6.0K18.5M-3.6K1.2890.65N/AN/A4756105,43511,128
2015-11-23$18.29$17.5046.9%13.4%63.6%23.9%50.4%-5.3%2.1%-5.7K13.0M-3.7K0.0083.89N/AN/A3,01251,1237,627
2015-11-24$18.02$17.5043.5%12.5%63.9%21.2%41.4%-0.6%1.5%128.3K12.1M-6.6K0.0672.44N/AN/A8754,1117,632
2015-11-25$17.32$17.5045.0%12.9%64.3%22.4%48.9%-9.3%3.2%68.2K12.0M-5.4K0.7790.21N/AN/A4483464,1827,632
2015-11-27$17.50$17.5043.8%12.6%63.7%21.5%46.4%-12.5%6.1%62.8K12.3M-5.0K0.7987.43N/AN/A4483554,1897,633
2015-11-30$17.55$17.5049.0%14.1%63.7%25.6%48.7%-1.9%-1.2%72.0K12.3M-4.7K0.0795.14N/AN/A8164,1897,643