NGL Options History — March 2016

In March 2016, NGL traded between $6.55 and $9.35. ATM implied volatility averaged 86.0%, placing in the 55.0% IV rank vs the trailing year. The 30-day expected move averaged 24.1%. IV traded below realized volatility by 35.5% (HV 20d: 121.5%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 2.08.

Notable Days

  • 2016-03-15: Highest Volume — 4,565 contracts
  • 2016-03-03: Largest IV drop — 14.9% change
  • 2016-03-01: Highest IV Rank — 74.7%
  • 2016-03-01: Largest Expected Move — 31.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.97$6.55$9.35$8.16$7.57
Max Pain$10.11$7.50$12.50$10.00$7.50
ATM IV86.0%66.0%110.8%110.8%83.8%
Expected Move24.1%18.9%31.8%31.8%24.0%
HV 20d121.5%92.1%156.1%153.2%112.3%
HV 60d159.3%156.7%162.7%161.9%156.7%
IV Rank55.0%39.2%74.7%74.7%53.3%
IV Percentile73.9%65.5%92.1%92.1%71.0%
Term Structure7.9%-16.0%104.8%-2.6%-0.2%
VWIV85.1%66.7%108.6%108.6%85.7%
Skew 25d11.6%-12.6%36.8%4.3%-2.7%
Skew 10d22.8%-10.6%68.5%6.0%-0.5%
Call IV 25d85.8%60.2%134.4%106.2%89.3%
Put IV 25d97.4%73.4%170.6%110.5%86.6%
Bid-Ask Spread %55.3918.48107.1167.0538.04
Gamma HHI0.320.240.440.350.25
Net GEX10.1K-8532.3K11.1K1.8K
Net DEX2.5M672.1K4.6M4.2M964.0K
Net VEX-10.1K-17.5K-6.9K-11.9K-8.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.080.824.181.812.48
Total Volume2,261.8641,4574,5651,5191,457
Total OI16,675.2279,31620,80920,06310,527

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$8.16$10.00110.8%31.8%153.2%74.7%108.6%4.3%-2.6%11.1K4.2M-11.9K1.8167.05N/AN/A54197810,8089,255
2016-03-02$8.14$10.00103.2%29.6%153.2%68.7%93.2%36.2%-6.2%5.6K4.5M-8.6K1.8849.39N/AN/A5661,06210,8189,253
2016-03-03$8.98$12.5087.8%22.8%156.1%56.5%88.0%-0.9%-9.5%18.2K1.6M-17.4K1.1886.77N/AN/A9911,16510,8469,320
2016-03-04$8.84$12.5086.9%24.6%153.5%55.7%86.5%9.1%-5.2%24.3K1.5M-17.2K3.7753.61N/AN/A6152,31911,2719,318
2016-03-07$9.35$12.5097.0%24.0%154.7%63.8%84.9%6.8%-11.6%32.3K713.6K-17.5K2.2678.07N/AN/A5801,30811,3539,246
2016-03-08$8.49$12.50101.6%22.8%142.0%67.4%88.8%0.7%40.7%21.3K3.4M-11.8K2.86107.11N/AN/A4551,30011,4189,311
2016-03-09$8.54$12.5092.7%26.6%135.2%60.3%100.2%12.4%-3.6%13.2K4.2M-10.7K2.4349.59N/AN/A5171,25611,4059,324
2016-03-10$8.37$12.5094.5%27.1%111.6%61.7%94.3%10.4%-4.9%10.3K4.2M-9.8K2.6145.71N/AN/A4601,20111,4499,349
2016-03-11$7.40$12.5083.0%23.8%117.4%52.7%84.1%1.2%-0.1%2.5K4.6M-7.9K4.1833.61N/AN/A6132,56411,4499,360
2016-03-14$6.93$10.0084.6%24.3%114.0%53.9%85.0%4.1%-1.3%-854.1M-7.2K1.5021.44N/AN/A1,6622,49011,4808,511
2016-03-15$6.55$10.0083.6%24.0%92.1%53.1%84.4%1.0%0.4%3.5K4.1M-6.9K1.5118.48N/AN/A1,8182,74711,9178,571
2016-03-16$7.26$10.0081.3%23.3%96.7%51.3%78.4%36.0%21.0%3.3K3.9M-8.1K1.5174.98N/AN/A1,6382,48111,9198,635
2016-03-17$8.09$10.0076.9%22.0%104.6%47.8%76.7%16.9%-2.7%8.6K3.7M-8.5K0.8228.96N/AN/A1,4451,19111,9328,657
2016-03-18$8.63$10.0076.4%21.9%106.2%47.4%81.3%19.1%14.7%11.1K3.5M-9.5K2.1294.15N/AN/A6101,29312,0188,493
2016-03-21$7.71$10.0076.6%22.0%111.2%47.6%79.1%36.8%104.8%8.2K915.1K-8.2K1.3995.29N/AN/A7451,0365,1214,195
2016-03-22$7.91$10.0066.0%18.9%107.5%39.2%66.7%22.5%16.1%11.1K905.7K-8.5K0.9851.43N/AN/A1,0641,0485,2854,245
2016-03-23$7.49$7.5073.4%21.0%108.8%45.0%78.7%-12.6%29.6%10.4K675.1K-8.5K1.6946.58N/AN/A6111,0335,5894,272
2016-03-24$7.79$7.5076.5%21.9%109.5%47.5%76.5%0.4%10.4%9.3K953.6K-8.2K1.8463.81N/AN/A6021,1095,6054,355
2016-03-28$7.57$7.5078.5%22.5%109.9%49.1%76.8%5.8%0.7%9.1K672.1K-8.5K2.2338.49N/AN/A5861,3095,5954,466
2016-03-29$7.95$7.5089.8%25.7%111.1%58.0%88.5%30.4%-16.0%3.6K870.4K-8.7K2.6822.49N/AN/A4481,2005,6004,777
2016-03-30$7.58$7.5087.1%25.0%112.3%55.9%86.7%16.9%-0.8%4.1K687.5K-8.9K2.0353.50N/AN/A5441,1035,6034,934
2016-03-31$7.57$7.5083.8%24.0%112.3%53.3%85.7%-2.7%-0.2%1.8K964.0K-8.5K2.4838.04N/AN/A4191,0385,5434,984