NGL Options History — June 2016

In June 2016, NGL traded between $15.48 and $19.72. ATM implied volatility averaged 53.3%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 9.1% (HV 20d: 44.2%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.77.

Notable Days

2016-06-03: Highest Volume — 4,321 contracts
2016-06-28: Largest IV drop — 18.8% change
2016-06-13: Highest IV Rank — 38.0%
2016-06-13: Largest Expected Move — 18.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.48	$15.48	$19.72	$15.48	$19.29
Max Pain	$16.48	$12.50	$17.50	$12.50	$15.00
ATM IV	53.3%	45.8%	64.6%	56.9%	45.8%
Expected Move	15.4%	13.1%	18.5%	16.3%	13.1%
HV 20d	44.2%	39.3%	55.5%	43.7%	51.1%
HV 60d	77.9%	70.0%	91.7%	91.7%	73.4%
IV Rank	27.8%	19.4%	38.0%	31.9%	19.4%
IV Percentile	34.9%	17.1%	48.0%	43.7%	17.1%
Term Structure	-0.2%	-16.5%	7.9%	0.2%	6.8%
VWIV	53.8%	45.3%	65.2%	58.7%	47.6%
Skew 25d	11.0%	2.9%	18.9%	6.1%	17.0%
Skew 10d	32.4%	7.4%	52.6%	52.6%	19.8%
Call IV 25d	48.0%	40.6%	57.3%	54.1%	40.6%
Put IV 25d	59.0%	50.7%	73.1%	60.2%	57.6%
Bid-Ask Spread %	68.94	37.61	93.55	51.34	87.38
Gamma HHI	0.42	0.24	0.90	0.90	0.41
Net GEX	180.4K	88.9K	492.9K	492.9K	187.4K
Net DEX	-14.4M	-22.8M	-5.7M	-9.8M	-9.0M
Net VEX	-25.9K	-29.3K	-21.5K	-25.7K	-27.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.77	0.86	5.34	3.56	5.34
Total Volume	2,937	1,722	4,321	3,683	2,567
Total OI	20,481.273	14,574	25,815	21,497	15,914

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
2016-06-01	$15.48	$12.50	56.9%	16.3%	43.7%	31.9%	58.7%	6.1%	0.2%	492.9K	-9.8M	-25.7K	3.56	51.34	N/A	N/A	807	2,876	14,452	7,045
2016-06-02	$16.60	$17.50	50.6%	15.2%	46.7%	26.9%	57.4%	18.2%	0.4%	369.6K	-13.3M	-23.9K	2.62	41.91	N/A	N/A	1,156	3,030	14,523	7,162
2016-06-03	$17.10	$17.50	51.1%	16.0%	46.9%	27.3%	54.4%	7.7%	-1.7%	303.1K	-14.6M	-24.0K	1.63	55.32	N/A	N/A	1,645	2,676	14,680	7,459
2016-06-06	$17.50	$17.50	51.5%	14.8%	45.9%	27.6%	54.5%	7.7%	0.6%	318.5K	-17.0M	-23.6K	2.60	54.60	N/A	N/A	1,032	2,687	15,626	7,505
2016-06-07	$17.99	$17.50	54.4%	15.6%	41.5%	29.9%	54.6%	8.9%	-0.6%	254.6K	-19.0M	-22.2K	3.96	37.61	N/A	N/A	727	2,876	15,749	7,634
2016-06-08	$18.04	$17.50	53.7%	15.4%	41.8%	29.4%	49.8%	12.7%	1.0%	224.3K	-19.8M	-21.5K	3.50	45.11	N/A	N/A	758	2,653	15,973	7,642
2016-06-09	$18.25	$17.50	52.9%	15.2%	41.5%	28.7%	51.2%	11.7%	1.4%	88.9K	-20.3M	-21.5K	4.08	51.56	N/A	N/A	660	2,690	16,101	7,775
2016-06-10	$18.72	$17.50	56.6%	16.2%	41.7%	31.7%	54.4%	16.7%	-1.2%	111.1K	-21.1M	-22.9K	2.29	80.33	N/A	N/A	1,234	2,823	16,169	7,801
2016-06-13	$18.68	$17.50	64.6%	18.5%	39.4%	38.0%	56.6%	10.1%	-16.5%	95.3K	-21.8M	-24.1K	0.86	83.26	N/A	N/A	1,711	1,464	16,663	7,782
2016-06-14	$19.03	$17.50	56.8%	16.3%	39.3%	31.8%	58.1%	10.4%	-4.6%	137.3K	-21.8M	-28.0K	1.45	54.49	N/A	N/A	993	1,438	17,729	8,086
2016-06-15	$18.76	$17.50	54.8%	15.7%	40.9%	30.2%	48.3%	2.9%	-6.2%	97.6K	-22.8M	-27.8K	1.46	82.09	N/A	N/A	852	1,241	17,974	7,796
2016-06-16	$18.39	$17.50	58.0%	16.6%	41.1%	32.8%	60.3%	12.6%	-5.2%	98.8K	-21.3M	-28.5K	1.36	84.01	N/A	N/A	934	1,272	17,983	7,832
2016-06-17	$19.10	$17.50	51.0%	14.6%	41.7%	26.4%	57.0%	18.9%	1.1%	108.5K	-22.7M	-28.2K	1.71	73.98	N/A	N/A	682	1,169	17,968	7,825
2016-06-20	$19.42	$17.50	50.2%	14.4%	41.6%	25.8%	45.3%	6.8%	3.7%	112.7K	-5.7M	-27.4K	1.64	53.75	N/A	N/A	652	1,070	8,600	7,204
2016-06-21	$19.71	$17.50	46.2%	13.2%	40.8%	22.6%	48.4%	11.7%	3.7%	126.7K	-6.9M	-27.5K	1.62	75.20	N/A	N/A	682	1,108	8,879	6,818
2016-06-22	$19.41	$17.50	48.7%	14.0%	42.4%	21.8%	45.9%	6.3%	3.3%	115.6K	-6.7M	-27.4K	4.91	80.76	N/A	N/A	416	2,041	8,881	6,908
2016-06-23	$19.72	$12.50	49.3%	14.1%	42.4%	22.3%	50.6%	8.0%	1.0%	127.8K	-9.7M	-27.3K	1.89	64.62	N/A	N/A	1,131	2,141	8,946	5,628
2016-06-24	$18.89	$15.00	57.7%	16.5%	42.7%	29.3%	59.9%	3.7%	-1.5%	148.0K	-8.2M	-29.3K	4.73	90.43	N/A	N/A	434	2,053	9,668	5,729
2016-06-27	$17.76	$15.00	60.6%	17.4%	47.7%	31.7%	65.2%	18.5%	1.1%	116.8K	-6.2M	-25.6K	3.00	83.24	N/A	N/A	652	1,953	9,669	5,766
2016-06-28	$19.50	$15.00	49.2%	14.1%	55.4%	22.2%	55.6%	18.1%	7.9%	172.7K	-9.1M	-27.6K	4.03	93.55	N/A	N/A	534	2,151	9,729	5,717
2016-06-29	$19.33	$15.00	51.1%	14.7%	55.5%	23.8%	51.0%	6.9%	1.4%	161.4K	-9.2M	-29.0K	2.76	92.07	N/A	N/A	782	2,161	9,782	5,816
2016-06-30	$19.29	$15.00	45.8%	13.1%	51.1%	19.4%	47.6%	17.0%	6.8%	187.4K	-9.0M	-27.7K	5.34	87.38	N/A	N/A	405	2,162	10,091	5,823