NGL Options History — December 2015

In December 2015, NGL traded between $8.15 and $17.28. ATM implied volatility averaged 98.8%, placing in the 65.2% IV rank vs the trailing year. The 30-day expected move averaged 27.6%. IV traded below realized volatility by 5.2% (HV 20d: 104.0%). Max pain ranged from $12.50 to $40.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 3.68.

Notable Days

2015-12-23: Highest Volume — 28,323 contracts
2015-12-04: Largest IV spike — 51.6% change
2015-12-17: Highest IV Rank — 94.7%
2015-12-17: Largest Expected Move — 39.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.90	$8.15	$17.28	$17.28	$11.14
Max Pain	$31.70	$12.50	$40.00	$17.50	$12.50
ATM IV	98.8%	48.1%	136.0%	48.1%	97.5%
Expected Move	27.6%	13.8%	39.0%	13.8%	28.0%
HV 20d	104.0%	62.7%	132.7%	62.7%	132.7%
HV 60d	74.4%	53.4%	89.0%	53.4%	89.0%
IV Rank	65.2%	24.9%	94.7%	24.9%	64.2%
IV Percentile	94.3%	61.5%	99.6%	61.5%	94.4%
Term Structure	-13.0%	-66.1%	41.1%	-1.4%	-9.3%
VWIV	93.1%	48.1%	123.6%	48.1%	90.0%
Skew 25d	9.3%	-21.6%	45.6%	3.9%	14.2%
Skew 10d	13.7%	-39.0%	62.4%	14.9%	15.7%
Call IV 25d	88.4%	39.6%	129.4%	39.6%	84.4%
Put IV 25d	97.6%	43.5%	152.4%	43.5%	98.6%
Bid-Ask Spread %	92.67	42.09	114.35	96.84	100.86
Gamma HHI	0.45	0.22	0.86	0.86	0.53
Net GEX	2.7K	-89.4K	137.5K	59.2K	121.0K
Net DEX	12.1M	7.4M	16.6M	12.1M	7.4M
Net VEX	-10.8K	-34.1K	-2.3K	-4.7K	-30.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.68	1.09	7.57	1.38	3.25
Total Volume	8,034.636	38	28,323	38	6,211
Total OI	24,386.227	11,860	40,394	11,860	40,394

Daily Data (22 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
2015-12-01	$17.28	$17.50	48.1%	13.8%	62.7%	24.9%	48.1%	3.9%	-1.4%	59.2K	12.1M	-4.7K	1.38	96.84	N/A	N/A	16	22	4,211	7,649
2015-12-02	$15.14	$17.50	58.4%	16.7%	77.0%	33.1%	64.5%	-7.8%	-5.3%	696	11.2M	-2.3K	1.55	97.75	N/A	N/A	542	840	4,222	7,671
2015-12-03	$14.12	$40.00	60.4%	17.9%	77.6%	34.7%	64.0%	2.6%	-1.3%	-12.6K	11.0M	-2.4K	4.70	84.38	N/A	N/A	1,263	5,931	4,184	8,142
2015-12-04	$13.52	$40.00	91.6%	20.1%	76.5%	59.5%	63.8%	6.7%	-7.9%	-29.3K	16.6M	-4.0K	6.03	82.70	N/A	N/A	863	5,206	4,564	13,399
2015-12-07	$11.19	$40.00	132.1%	27.7%	99.2%	91.6%	91.6%	38.2%	-27.5%	-6.3K	14.1M	-3.8K	2.51	104.73	N/A	N/A	1,041	2,614	4,568	13,544
2015-12-08	$10.54	$40.00	127.6%	36.9%	99.7%	88.1%	115.3%	14.8%	-66.1%	-44.4K	15.2M	-5.9K	7.57	97.21	N/A	N/A	1,116	8,447	5,511	15,866
2015-12-09	$10.84	$40.00	102.7%	29.4%	100.8%	68.3%	99.3%	7.7%	-35.2%	-23.5K	15.2M	-6.2K	6.69	92.47	N/A	N/A	979	6,553	5,917	16,250
2015-12-10	$10.49	$40.00	88.6%	25.4%	100.2%	57.1%	90.3%	2.4%	-22.7%	-18.1K	14.8M	-6.1K	3.13	91.49	N/A	N/A	2,064	6,451	6,079	16,312
2015-12-11	$9.70	$40.00	104.2%	29.9%	95.2%	69.4%	108.4%	-3.9%	-25.8%	-21.0K	13.9M	-6.1K	2.78	83.93	N/A	N/A	2,152	5,983	5,998	16,673
2015-12-14	$9.01	$40.00	123.2%	35.3%	96.1%	84.5%	123.6%	-3.9%	-32.9%	-14.8K	13.1M	-5.9K	6.14	99.25	N/A	N/A	1,085	6,662	6,794	16,758
2015-12-15	$8.98	$40.00	117.6%	33.7%	94.3%	80.2%	117.3%	2.7%	-28.4%	-5.5K	12.3M	-5.9K	4.23	94.41	N/A	N/A	1,336	5,649	7,081	15,719
2015-12-16	$9.37	$40.00	118.2%	33.9%	98.0%	80.6%	113.2%	30.2%	-35.1%	2.7K	12.7M	-6.5K	5.20	113.05	N/A	N/A	1,085	5,645	7,617	15,786
2015-12-17	$8.15	$40.00	136.0%	39.0%	97.6%	94.7%	102.9%	42.7%	-36.4%	3.2K	11.2M	-5.8K	3.71	92.67	N/A	N/A	1,523	5,656	7,793	15,820
2015-12-18	$9.02	$40.00	105.4%	30.2%	109.8%	70.4%	108.9%	24.6%	-9.5%	3.1K	12.4M	-5.9K	2.96	100.91	N/A	N/A	1,913	5,670	7,727	15,846
2015-12-21	$8.86	$40.00	110.4%	31.6%	109.5%	74.4%	110.4%	45.6%	-23.2%	4.9K	10.7M	-6.3K	2.25	42.09	N/A	N/A	2,211	4,972	3,380	13,753
2015-12-22	$9.50	$40.00	100.5%	28.8%	111.9%	66.6%	108.6%	0.1%	12.4%	10.4K	10.8M	-8.2K	1.18	97.49	N/A	N/A	4,843	5,706	4,260	13,898
2015-12-23	$10.92	$40.00	97.1%	27.8%	127.5%	63.8%	94.6%	10.8%	11.3%	55.6K	11.0M	-13.9K	1.09	59.40	N/A	N/A	13,575	14,748	7,187	14,647
2015-12-24	$11.14	$12.50	73.2%	21.0%	128.3%	44.9%	86.6%	-3.6%	19.0%	137.5K	7.6M	-34.1K	5.31	96.87	N/A	N/A	2,777	14,736	18,226	22,041
2015-12-28	$10.18	$12.50	96.4%	27.6%	129.9%	63.2%	89.3%	-4.9%	41.1%	-22.1K	10.8M	-25.8K	2.47	114.35	N/A	N/A	1,888	4,665	18,285	22,066
2015-12-29	$10.55	$12.50	92.3%	26.5%	131.4%	60.1%	87.9%	2.4%	-2.5%	-89.4K	11.1M	-23.9K	3.56	102.78	N/A	N/A	1,310	4,665	18,290	22,051
2015-12-30	$10.08	$12.50	92.3%	26.5%	131.6%	60.0%	69.8%	-21.6%	0.7%	-51.4K	11.2M	-24.3K	3.36	93.19	N/A	N/A	1,411	4,737	18,287	22,031
2015-12-31	$11.14	$12.50	97.5%	28.0%	132.7%	64.2%	90.0%	14.2%	-9.3%	121.0K	7.4M	-30.6K	3.25	100.86	N/A	N/A	1,460	4,751	18,397	21,997