NGL Options History — May 2016

In May 2016, NGL traded between $11.84 and $15.01. ATM implied volatility averaged 73.2%, placing in the 44.9% IV rank vs the trailing year. The 30-day expected move averaged 20.9%. IV traded below realized volatility by 14.4% (HV 20d: 87.6%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 2.12.

Notable Days

  • 2016-05-26: Highest Volume — 10,228 contracts
  • 2016-05-27: Largest IV drop — 29.7% change
  • 2016-05-09: Highest IV Rank — 52.8%
  • 2016-05-06: Largest Expected Move — 23.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.32$11.84$15.01$12.35$15.01
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV73.2%49.2%83.2%76.0%56.1%
Expected Move20.9%14.1%23.5%21.8%16.1%
HV 20d87.6%47.3%107.6%104.7%47.3%
HV 60d100.5%92.0%124.7%124.4%92.1%
IV Rank44.9%25.8%52.8%47.1%31.2%
IV Percentile56.3%31.3%67.9%59.5%42.5%
Term Structure0.4%-4.7%13.5%2.8%-0.4%
VWIV72.7%48.5%85.0%75.6%56.1%
Skew 25d10.3%0.3%24.5%9.3%24.5%
Skew 10d21.9%-3.4%55.8%-0.9%35.5%
Call IV 25d68.1%42.5%86.6%74.8%42.5%
Put IV 25d78.4%54.7%89.5%84.0%67.0%
Bid-Ask Spread %73.1428.6297.7767.9077.43
Gamma HHI0.630.300.880.820.88
Net GEX213.3K37.3K416.3K367.3K405.2K
Net DEX-1.1M-6.1M-37.2K-2.0M-6.1M
Net VEX-18.9K-28.7K-13.7K-28.5K-20.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.120.323.422.001.08
Total Volume4,037.7143,03010,2283,8705,896
Total OI30,442.04812,10337,57336,17718,866

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$12.35$12.5076.0%21.8%104.7%47.1%75.6%9.3%2.8%367.3K-2.0M-28.5K2.0067.90N/AN/A1,2892,58126,5899,588
2016-05-03$11.84$12.5078.4%22.5%107.3%49.0%75.3%6.8%-2.1%241.6K-37.2K-22.5K1.7843.30N/AN/A1,3962,49126,6069,619
2016-05-04$12.41$12.5073.2%21.0%107.5%44.9%73.7%7.5%5.9%348.5K-1.3M-26.0K1.6773.42N/AN/A1,4612,44726,7069,664
2016-05-05$12.55$12.5076.4%22.4%106.3%47.4%85.0%7.9%0.5%406.8K-2.6M-28.7K2.0086.71N/AN/A1,2482,49426,6099,702
2016-05-06$13.10$12.5079.6%23.5%105.8%49.9%79.3%10.0%-3.1%416.3K-1.3M-23.0K1.8477.30N/AN/A1,3562,49726,7749,702
2016-05-09$12.60$12.5083.2%22.6%107.6%52.8%78.5%0.3%-2.5%291.7K-488.6K-21.4K1.9081.34N/AN/A1,4172,69426,9349,702
2016-05-10$12.74$12.5080.3%22.2%106.9%50.5%72.6%2.9%13.5%278.8K-597.3K-20.1K2.0197.77N/AN/A1,2092,42927,0799,612
2016-05-11$13.14$12.5080.8%23.2%106.8%50.9%81.8%9.8%-4.7%335.7K-859.4K-19.0K1.9080.09N/AN/A1,2922,45527,1399,648
2016-05-12$13.39$12.5077.7%22.3%105.8%48.4%78.8%10.7%-1.1%230.3K-572.4K-17.4K1.7967.16N/AN/A1,3772,46227,1669,664
2016-05-13$13.06$12.5075.2%21.6%106.2%46.4%74.9%7.5%1.1%199.0K-323.0K-16.6K2.2273.27N/AN/A1,1852,62727,2379,704
2016-05-16$13.34$12.5078.3%22.4%106.2%48.9%79.4%7.5%-2.6%74.7K-228.5K-15.6K2.7590.93N/AN/A8772,41427,2649,902
2016-05-17$13.48$12.5077.3%22.2%106.0%48.1%77.9%13.1%2.1%102.3K-365.9K-15.2K2.7574.13N/AN/A8722,39927,3179,917
2016-05-18$13.24$12.5076.0%21.8%105.9%47.1%76.6%9.8%0.9%53.8K-308.7K-15.3K2.8475.57N/AN/A8722,47527,42710,003
2016-05-19$13.60$12.5078.6%22.5%96.6%49.1%70.6%15.7%-1.0%37.3K-702.4K-14.9K1.9766.26N/AN/A1,2642,48627,38410,033
2016-05-20$13.90$12.5069.5%19.9%56.1%41.9%66.6%8.0%1.9%49.0K-1.1M-14.9K2.4428.62N/AN/A9872,40927,5959,978
2016-05-23$13.83$12.5069.1%19.8%55.0%41.6%68.7%15.3%0.1%56.7K-112.4K-14.2K3.4271.34N/AN/A6852,3455,7166,387
2016-05-24$13.94$12.5069.0%19.8%49.4%41.6%69.7%14.8%-2.1%60.2K-217.9K-14.5K3.3779.40N/AN/A6942,3395,8516,387
2016-05-25$14.16$12.5063.3%18.2%49.7%37.0%68.9%9.8%-0.2%70.8K-448.9K-13.7K2.7570.79N/AN/A8782,4125,9616,414
2016-05-26$13.59$12.5070.0%20.1%51.6%42.3%67.5%15.5%-4.3%70.8K-108.7K-14.5K0.3269.56N/AN/A7,7412,4876,2056,493
2016-05-27$14.44$12.5049.2%14.1%50.7%25.8%48.5%9.7%4.0%383.2K-3.7M-20.1K1.6883.63N/AN/A1,4392,41412,2276,512
2016-05-31$15.01$12.5056.1%16.1%47.3%31.2%56.1%24.5%-0.4%405.2K-6.1M-20.9K1.0877.43N/AN/A2,8403,05612,2796,587