NGL Options History — August 2016

In August 2016, NGL traded between $17.52 and $18.82. ATM implied volatility averaged 45.0%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 8.9% (HV 20d: 36.1%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.85.

Notable Days

  • 2016-08-03: Highest Volume — 2,016 contracts
  • 2016-08-15: Largest IV drop — 24.1% change
  • 2016-08-03: Highest IV Rank — 21.1%
  • 2016-08-03: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.19$17.52$18.82$17.80$18.13
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV45.0%31.2%57.3%57.0%31.2%
Expected Move12.9%9.0%16.4%16.4%9.0%
HV 20d36.1%28.3%41.1%38.5%28.3%
HV 60d45.5%40.7%47.3%47.3%40.7%
IV Rank9.5%0.0%21.1%20.9%0.0%
IV Percentile11.2%0.0%40.9%40.5%0.0%
Term Structure3.0%-5.2%17.3%-4.6%17.3%
VWIV44.6%36.3%55.1%55.1%36.3%
Skew 25d5.7%-4.9%15.1%7.1%1.6%
Skew 10d11.6%-7.8%34.8%13.1%-1.1%
Call IV 25d43.4%35.1%54.9%54.9%39.8%
Put IV 25d49.1%36.2%62.9%62.0%41.4%
Bid-Ask Spread %95.1183.63110.9888.78110.98
Gamma HHI0.660.570.790.580.78
Net GEX203.5K149.8K262.8K151.8K222.4K
Net DEX-4.4M-5.9M-2.9M-3.6M-2.9M
Net VEX-29.4K-35.4K-22.8K-29.7K-22.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.266.000.530.58
Total Volume975.435212,0161,390933
Total OI12,606.73910,91913,57412,38411,834

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$17.80$17.5057.0%16.4%38.5%20.9%55.1%7.1%-4.6%151.8K-3.6M-29.7K0.5388.78N/AN/A9074839,2703,114
2016-08-02$17.52$17.5057.2%16.4%36.3%21.0%53.8%8.6%-3.2%149.8K-3.2M-29.3K0.5790.68N/AN/A7424209,1023,216
2016-08-03$18.05$17.5057.3%16.4%36.8%21.1%53.6%6.8%-3.4%181.9K-4.3M-31.0K0.3589.19N/AN/A1,4945229,1473,210
2016-08-04$18.80$17.5046.5%13.2%39.0%10.9%44.2%15.1%5.8%262.8K-5.9M-35.4K0.4295.10N/AN/A9934139,9213,221
2016-08-05$18.15$17.5049.0%14.4%41.1%13.2%47.0%7.5%-0.2%209.5K-5.1M-33.8K0.4589.78N/AN/A91341510,1883,216
2016-08-08$18.04$17.5050.5%14.2%41.1%14.6%47.8%6.3%0.7%189.5K-4.9M-33.0K0.6383.63N/AN/A69843910,1963,216
2016-08-09$18.18$17.5049.5%14.5%36.1%13.6%47.8%11.1%1.0%192.5K-4.6M-31.7K0.5890.35N/AN/A67739110,1883,212
2016-08-10$18.45$17.5048.7%14.0%36.1%13.0%47.0%12.0%2.3%216.1K-5.1M-32.3K0.5490.60N/AN/A70838010,1943,243
2016-08-11$18.50$17.5049.0%14.1%35.5%13.2%47.7%10.2%0.8%217.6K-5.6M-32.8K0.5588.78N/AN/A71739710,2193,261
2016-08-12$18.51$17.5048.6%13.9%35.5%12.9%46.1%9.8%2.7%221.1K-5.0M-31.8K0.5989.92N/AN/A70441510,2193,300
2016-08-15$18.80$17.5036.9%10.6%35.9%2.0%43.5%6.1%6.7%231.6K-5.5M-31.3K0.6897.55N/AN/A61241910,2143,345
2016-08-16$18.82$17.5037.1%10.6%35.6%1.8%42.0%8.6%6.3%229.4K-5.9M-31.0K0.65100.64N/AN/A58637910,2333,335
2016-08-17$18.18$17.5045.4%13.0%37.4%9.5%45.4%5.4%-4.3%168.8K-4.7M-30.0K0.2699.72N/AN/A621610,0623,354
2016-08-18$18.15$17.5048.1%13.8%37.4%12.1%41.0%0.1%-5.2%190.2K-4.0M-28.1K6.00104.60N/AN/A31810,0683,355
2016-08-19$18.45$17.5046.5%13.3%37.0%10.5%47.8%10.1%2.8%202.3K-5.0M-28.8K0.4491.01N/AN/A83436710,2463,328
2016-08-22$18.31$17.5043.5%12.5%36.3%7.8%43.5%13.1%3.6%210.5K-4.6M-28.5K0.6395.87N/AN/A4983148,3422,577
2016-08-23$18.29$17.5039.4%11.3%35.4%4.0%39.4%4.8%6.7%227.2K-4.5M-27.8K0.7998.86N/AN/A4723758,4642,614
2016-08-24$17.74$17.5043.0%12.3%36.5%7.2%42.9%-4.1%-0.9%192.6K-3.2M-25.5K1.4698.36N/AN/A991458,2892,689
2016-08-25$17.73$17.5038.5%11.0%36.3%3.1%39.0%-4.9%6.1%178.4K-3.0M-24.5K0.53101.61N/AN/A8114298,5242,825
2016-08-26$17.85$17.5039.1%11.2%36.4%3.6%40.3%0.8%12.4%203.2K-3.4M-26.3K0.8298.75N/AN/A3873168,8992,872
2016-08-29$17.92$17.5035.8%10.3%30.7%0.6%36.3%-3.9%8.1%202.7K-3.5M-25.7K0.7488.49N/AN/A4603418,9152,885
2016-08-30$17.99$17.5036.6%10.5%30.1%1.3%38.3%-1.8%7.1%228.5K-3.3M-25.0K0.87104.25N/AN/A3903418,9492,884
2016-08-31$18.13$17.5031.2%9.0%28.3%0.0%36.3%1.6%17.3%222.4K-2.9M-22.8K0.58110.98N/AN/A5923418,9492,885