NGL Options History — February 2016

In February 2016, NGL traded between $5.78 and $11.13. ATM implied volatility averaged 113.1%, placing in the 76.6% IV rank vs the trailing year. The 30-day expected move averaged 32.3%. IV traded below realized volatility by 62.4% (HV 20d: 175.6%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 3.74.

Notable Days

  • 2016-02-17: Highest Volume — 16,969 contracts
  • 2016-02-08: Largest IV spike — 28.1% change
  • 2016-02-08: Highest IV Rank — 96.7%
  • 2016-02-08: Largest Expected Move — 42.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.46$5.78$11.13$10.52$8.13
Max Pain$9.88$7.50$12.50$12.50$10.00
ATM IV113.1%98.0%138.5%98.0%116.3%
Expected Move32.3%27.8%42.5%28.1%33.3%
HV 20d175.6%152.5%201.8%200.1%159.1%
HV 60d155.7%142.9%163.8%143.4%163.8%
IV Rank76.6%64.5%96.7%64.5%79.1%
IV Percentile93.1%84.9%99.6%89.7%93.7%
Term Structure-5.8%-21.4%6.4%-0.5%-7.7%
VWIV109.6%97.0%127.1%99.8%108.5%
Skew 25d15.1%-7.0%45.4%-0.5%6.0%
Skew 10d25.8%-20.5%69.7%-16.8%2.1%
Call IV 25d103.5%79.0%129.5%98.5%107.3%
Put IV 25d118.5%98.0%132.4%98.0%113.3%
Bid-Ask Spread %72.7337.5492.7488.9354.39
Gamma HHI0.440.260.700.520.38
Net GEX24.9K-35.3K181.7K126.9K11.7K
Net DEX3.6M-2.2M7.0M30.1K3.9M
Net VEX-17.0K-32.9K-6.7K-29.9K-13.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.740.2913.303.421.80
Total Volume5,534.751,51316,9695,6971,513
Total OI29,938.3516,92941,79732,81620,081

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$10.52$12.5098.0%28.1%200.1%64.5%99.8%-0.5%-0.5%126.9K30.1K-29.9K3.4288.93N/AN/A1,2894,40819,55913,257
2016-02-02$10.46$12.50106.1%30.4%199.9%71.0%105.5%19.5%-7.0%137.8K957.5K-28.6K3.9676.91N/AN/A1,0674,22719,69013,365
2016-02-03$11.13$12.50105.7%30.3%201.0%70.7%105.9%45.4%5.5%181.7K-2.2M-32.9K3.8777.65N/AN/A1,1524,46019,86713,452
2016-02-04$10.20$10.00100.3%27.8%201.8%66.4%98.9%5.9%-0.9%75.1K2.8M-22.8K4.0583.13N/AN/A1,0804,36919,85913,384
2016-02-05$10.47$10.00108.1%28.5%199.9%72.6%99.4%17.2%-2.9%112.3K1.9M-25.2K4.8579.74N/AN/A8994,36019,83913,443
2016-02-08$8.61$10.00138.5%42.5%152.5%96.7%112.2%19.6%-16.2%-17.9K4.2M-16.7K3.6292.74N/AN/A1,1584,19019,83713,443
2016-02-09$7.66$10.00137.4%38.1%155.4%95.9%127.1%13.0%-16.6%-35.2K6.2M-11.9K3.9385.46N/AN/A9573,76320,13613,435
2016-02-10$6.26$10.00118.2%33.9%167.5%80.6%115.4%-0.9%-3.2%-24.7K5.4M-8.4K1.9379.78N/AN/A1,4552,80220,24612,379
2016-02-11$5.78$7.50124.6%35.7%166.0%85.7%125.3%-7.0%6.4%-11.2K5.3M-6.7K1.5872.71N/AN/A1,7662,79720,73712,373
2016-02-12$6.48$7.50126.4%36.2%174.0%87.1%126.2%9.2%-11.3%3.0K5.7M-7.7K2.1759.32N/AN/A1,2632,73720,96912,387
2016-02-16$7.83$7.50105.4%30.2%189.3%70.4%106.0%17.0%-2.2%-31.0K5.5M-9.7K3.9680.72N/AN/A7132,82521,07612,410
2016-02-17$8.38$7.50121.9%35.0%185.7%83.6%108.3%9.8%-21.4%-35.3K3.7M-13.2K3.1069.12N/AN/A4,14012,82921,13412,480
2016-02-18$8.58$10.00107.8%30.9%184.1%72.3%118.4%6.9%-3.0%-12.9K7.0M-17.6K12.9567.04N/AN/A99112,82924,36017,388
2016-02-19$8.23$10.00111.5%32.0%176.3%75.3%107.5%15.2%-10.6%-12.1K6.8M-16.9K13.3073.17N/AN/A96212,79424,40917,388
2016-02-22$8.76$10.0099.5%28.5%158.5%65.7%97.0%11.4%-1.3%-15.2K2.3M-17.8K0.2956.86N/AN/A3,3749927,9648,965
2016-02-23$8.03$10.00110.0%31.5%160.5%74.1%104.8%23.1%-10.2%12.7K2.7M-16.8K1.5880.05N/AN/A62698710,5979,049
2016-02-24$7.81$10.00108.3%31.0%160.1%72.7%106.1%32.6%-2.1%10.5K3.4M-14.3K1.4275.87N/AN/A7391,05110,6459,123
2016-02-25$7.97$10.00110.7%31.7%160.6%74.6%109.8%32.2%-4.9%11.0K3.3M-14.7K1.4463.52N/AN/A64292410,7529,246
2016-02-26$7.94$10.00107.9%30.9%159.1%72.5%109.3%25.5%-5.5%11.7K3.2M-14.8K1.5737.54N/AN/A61095510,7989,245
2016-02-29$8.13$10.00116.3%33.3%159.1%79.1%108.5%6.0%-7.7%11.7K3.9M-13.0K1.8054.39N/AN/A54197210,8089,273