NGL Options History — July 2016

In July 2016, NGL traded between $18.03 and $19.97. ATM implied volatility averaged 52.7%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 0.5% (HV 20d: 52.2%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.76.

Notable Days

  • 2016-07-11: Highest Volume — 3,966 contracts
  • 2016-07-05: Largest IV spike — 28.9% change
  • 2016-07-11: Highest IV Rank — 31.2%
  • 2016-07-06: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.90$18.03$19.97$19.97$18.81
Max Pain$18.25$15.00$20.00$15.00$17.50
ATM IV52.7%39.3%62.3%43.0%39.3%
Expected Move15.1%11.3%17.2%12.3%11.3%
HV 20d52.2%36.2%57.7%51.4%36.4%
HV 60d62.3%45.5%74.0%73.1%45.5%
IV Rank20.8%6.1%31.2%17.0%6.1%
IV Percentile30.1%4.0%46.8%11.5%4.0%
Term Structure0.3%-4.7%10.5%9.0%2.5%
VWIV51.5%42.7%60.2%43.6%48.5%
Skew 25d11.8%2.9%24.5%20.1%15.0%
Skew 10d21.3%3.8%36.1%30.9%34.4%
Call IV 25d47.9%33.9%54.6%36.6%47.0%
Put IV 25d59.7%47.6%63.6%56.6%62.0%
Bid-Ask Spread %83.3852.7299.9666.1997.80
Gamma HHI0.530.290.660.480.65
Net GEX179.5K83.4K248.9K223.9K220.0K
Net DEX-7.0M-10.6M-4.3M-10.6M-4.9M
Net VEX-29.6K-34.9K-22.3K-27.5K-32.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.760.384.233.151.03
Total Volume2,085.78423,9662,924963
Total OI14,122.459,51818,53415,92412,325

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$19.97$15.0043.0%12.3%51.4%17.0%43.6%20.1%9.0%223.9K-10.6M-27.5K3.1566.19N/AN/A7052,21910,0915,833
2016-07-05$19.15$20.0055.4%15.8%53.9%27.3%56.6%10.2%-2.8%211.7K-9.4M-26.1K3.2686.23N/AN/A7452,43110,3635,838
2016-07-06$18.55$20.0050.4%17.2%54.7%22.6%60.2%9.3%-4.7%150.8K-7.3M-23.9K4.2387.88N/AN/A4752,01110,3155,939
2016-07-07$18.20$20.0060.9%16.9%55.2%30.0%55.0%9.0%-2.4%124.5K-6.6M-23.5K3.6187.31N/AN/A5592,01810,3305,974
2016-07-08$18.19$17.5050.8%16.1%55.0%21.4%55.7%7.7%-0.0%93.9K-6.6M-22.9K1.9889.90N/AN/A1,0242,02710,4556,029
2016-07-11$18.03$17.5062.3%16.7%54.2%31.2%53.7%8.8%-0.9%83.4K-6.5M-22.3K1.2188.27N/AN/A1,7972,16910,0866,054
2016-07-12$19.02$20.0060.0%15.1%57.7%29.2%53.8%10.7%2.0%196.4K-8.9M-28.4K1.0887.64N/AN/A1,7651,90811,0156,205
2016-07-13$18.71$20.0059.0%16.9%57.6%28.3%57.3%8.9%-4.6%167.8K-9.1M-30.3K2.6386.83N/AN/A7952,09012,0316,223
2016-07-14$19.05$20.0051.7%14.8%57.7%22.1%53.6%11.5%2.3%248.9K-9.8M-31.2K2.8399.96N/AN/A6911,95912,1586,376
2016-07-15$19.05$20.0052.7%15.1%57.2%20.3%55.9%11.6%1.8%138.3K-9.4M-29.7K1.9486.09N/AN/A1,0201,98012,0526,381
2016-07-18$19.18$17.5050.8%14.6%55.7%16.6%51.0%11.8%10.5%138.7K-5.4M-30.0K0.7270.79N/AN/A7205177,0332,485
2016-07-19$19.42$17.5051.5%14.8%55.5%17.3%50.7%10.5%-1.2%161.6K-5.6M-31.8K0.4757.86N/AN/A1,1045197,3252,638
2016-07-20$19.49$17.5049.1%14.1%55.3%15.0%47.1%24.5%0.5%199.9K-6.3M-32.9K0.6881.97N/AN/A6614478,0642,748
2016-07-21$19.40$17.5049.4%14.1%55.0%15.3%45.3%13.0%-0.9%213.3K-6.3M-33.1K1.2482.95N/AN/A3814718,2652,752
2016-07-22$18.90$17.5049.6%14.2%55.4%15.5%53.5%2.9%2.8%201.1K-5.3M-32.4K1.9352.72N/AN/A2875558,2792,797
2016-07-25$18.51$17.5056.8%16.3%53.8%22.1%60.2%12.4%-4.1%173.8K-4.3M-29.9K0.3885.39N/AN/A1,3805258,2752,894
2016-07-26$18.91$17.5053.0%15.2%49.3%18.7%42.7%15.3%-0.4%219.6K-5.7M-34.9K1.0289.57N/AN/A4254329,2163,027
2016-07-27$18.61$17.5057.2%16.4%36.2%22.4%42.7%10.8%-4.2%205.3K-5.4M-34.0K0.8788.82N/AN/A5204549,2203,038
2016-07-28$18.77$17.5051.3%14.7%36.4%17.0%42.9%11.7%0.9%217.7K-5.8M-34.3K0.8993.40N/AN/A5114549,2663,054
2016-07-29$18.81$17.5039.3%11.3%36.4%6.1%48.5%15.0%2.5%220.0K-4.9M-32.9K1.0397.80N/AN/A4754889,2713,054