NGL Options History — January 2016

In January 2016, NGL traded between $8.23 and $13.53. ATM implied volatility averaged 103.4%, placing in the 68.9% IV rank vs the trailing year. The 30-day expected move averaged 28.3%. IV traded below realized volatility by 73.9% (HV 20d: 177.3%). Max pain ranged from $7.50 to $17.50. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 5.46.

Notable Days

  • 2016-01-22: Highest Volume — 25,411 contracts
  • 2016-01-08: Largest IV spike — 20.4% change
  • 2016-01-11: Highest IV Rank — 88.5%
  • 2016-01-08: Largest Expected Move — 35.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.91$8.23$13.53$10.80$12.05
Max Pain$12.24$7.50$17.50$7.50$12.50
ATM IV103.4%90.3%128.1%93.4%91.8%
Expected Move28.3%19.9%35.4%26.3%26.3%
HV 20d177.3%115.6%205.4%131.3%196.9%
HV 60d123.4%89.0%141.1%89.0%141.0%
IV Rank68.9%58.5%88.5%60.9%59.6%
IV Percentile93.1%85.7%98.8%93.3%85.7%
Term Structure-7.9%-36.0%5.0%-7.8%4.8%
VWIV99.9%77.7%132.5%94.9%98.7%
Skew 25d8.6%-5.1%16.5%7.4%13.1%
Skew 10d15.5%-5.8%47.4%23.3%2.1%
Call IV 25d97.0%81.0%113.0%88.3%86.9%
Put IV 25d105.6%83.1%118.9%95.7%99.9%
Bid-Ask Spread %68.8839.3994.5983.2168.06
Gamma HHI0.450.180.780.330.62
Net GEX63.9K-331.7K360.1K14.2K253.3K
Net DEX5.8M-4.6M13.1M7.7M-4.1M
Net VEX-21.4K-38.2K-10.5K-10.5K-35.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.460.0919.793.400.09
Total Volume9,621.31690825,4116,436908
Total OI34,497.57917,79742,34040,42733,309

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$10.80$7.5093.4%26.3%131.3%60.9%94.9%7.4%-7.8%14.2K7.7M-10.5K3.4083.21N/AN/A1,4624,97418,42122,006
2016-01-05$10.58$7.5090.3%23.7%130.9%58.5%89.7%-5.1%-5.4%-331.7K10.8M-17.3K3.2586.96N/AN/A1,2844,17618,43722,137
2016-01-06$9.85$10.0094.5%24.7%115.6%61.8%99.7%10.9%3.2%-154.1K13.1M-19.0K3.1486.15N/AN/A1,2844,02818,43922,669
2016-01-07$9.13$7.5099.2%19.9%116.7%65.5%77.7%4.9%5.0%-67.5K12.2M-17.9K2.8194.59N/AN/A1,4344,03318,44322,771
2016-01-08$13.53$7.50119.4%35.4%184.0%81.5%104.4%-3.0%-36.0%321.5K-4.6M-22.3K0.5373.64N/AN/A10,3565,50118,40522,812
2016-01-11$12.62$12.50128.1%28.8%185.6%88.5%90.2%6.1%-5.3%360.1K793.9K-22.0K0.7839.39N/AN/A8,1786,35218,46023,880
2016-01-12$12.38$10.00110.6%26.8%183.1%74.5%91.1%3.0%-4.8%181.1K5.6M-20.0K2.4576.73N/AN/A1,9424,76114,12124,636
2016-01-13$11.08$10.00105.8%30.3%185.8%70.8%107.6%8.2%-9.3%20.3K8.2M-13.7K2.1080.49N/AN/A2,0094,22814,15224,574
2016-01-14$10.69$10.00100.6%28.9%186.5%66.7%85.3%-2.1%-2.5%18.3K8.2M-13.5K10.4868.99N/AN/A1,95620,50214,12124,566
2016-01-15$10.10$17.50107.5%30.8%187.5%72.1%92.4%9.3%-7.1%-16.9K10.4M-15.6K19.7965.53N/AN/A1,02220,23014,03726,943
2016-01-19$8.84$17.50107.8%30.9%186.8%72.4%132.5%12.6%-24.2%-9.1K9.2M-12.5K18.2665.87N/AN/A66012,0544,69314,001
2016-01-20$8.23$17.50118.3%33.9%185.0%80.7%117.9%10.5%-15.5%-13.4K9.1M-11.6K6.2660.79N/AN/A6594,1284,78714,951
2016-01-21$9.54$17.50112.6%32.3%192.6%76.1%115.6%12.5%-15.8%-6.8K8.5M-12.7K4.4463.63N/AN/A7853,4894,75613,041
2016-01-22$11.81$17.5099.9%28.6%205.4%66.1%99.3%15.5%-9.5%-13.9K8.8M-17.3K0.5749.80N/AN/A16,1939,2184,95913,564
2016-01-25$11.45$12.50102.1%29.3%200.1%67.8%100.9%16.5%-10.1%132.2K4.8M-38.2K3.8567.02N/AN/A1,5105,81119,49618,621
2016-01-26$11.61$12.5094.2%27.0%200.1%61.6%96.4%9.7%-2.9%154.4K1.6M-37.4K9.0671.90N/AN/A6445,83419,69216,404
2016-01-27$11.27$12.5094.6%27.1%197.5%61.8%105.8%16.2%-4.1%159.1K3.1M-33.8K6.1053.63N/AN/A7904,82019,68016,424
2016-01-28$11.78$12.5094.6%27.1%197.7%61.9%97.0%16.5%-1.9%213.9K-2.5M-35.9K6.3752.37N/AN/A7584,83219,78013,266
2016-01-29$12.05$12.5091.8%26.3%196.9%59.6%98.7%13.1%4.8%253.3K-4.1M-35.5K0.0968.06N/AN/A8337520,04213,267