NGL Options History — September 2016

In September 2016, NGL traded between $16.93 and $18.88. ATM implied volatility averaged 38.9%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 10.1% (HV 20d: 28.8%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.95.

Notable Days

  • 2016-09-26: Highest Volume — 5,689 contracts
  • 2016-09-28: Largest IV spike — 26.5% change
  • 2016-09-13: Highest IV Rank — 19.6%
  • 2016-09-12: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.11$16.93$18.88$17.97$18.86
Max Pain$18.57$15.00$20.00$17.50$20.00
ATM IV38.9%30.8%52.3%32.7%32.4%
Expected Move11.2%8.8%13.1%9.4%9.3%
HV 20d28.8%22.1%34.5%24.1%34.2%
HV 60d38.5%32.6%41.5%40.8%32.6%
IV Rank7.2%0.0%19.6%1.3%1.5%
IV Percentile5.7%0.0%32.5%0.4%1.2%
Term Structure7.5%-0.2%21.5%13.6%8.2%
VWIV40.4%33.0%51.0%33.1%33.0%
Skew 25d7.2%-1.5%17.3%0.5%10.3%
Skew 10d14.3%-4.7%30.3%-0.3%10.0%
Call IV 25d38.3%29.2%48.9%33.5%35.0%
Put IV 25d45.6%34.0%52.1%34.0%45.2%
Bid-Ask Spread %92.2975.90115.17115.1793.28
Gamma HHI0.650.450.810.760.74
Net GEX217.0K67.9K467.3K214.2K467.3K
Net DEX-1.5M-4.6M1.9M-3.8M-2.5M
Net VEX-24.3K-28.7K-20.9K-26.4K-27.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.950.464.600.553.81
Total Volume2,202.7629585,6899582,146
Total OI13,946.47611,58017,20811,83817,208

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$17.97$17.5032.7%9.4%24.1%1.3%33.1%0.5%13.6%214.2K-3.8M-26.4K0.55115.17N/AN/A6173418,9532,885
2016-09-02$18.36$17.5034.1%9.8%22.1%2.5%34.6%10.6%16.7%257.7K-4.6M-26.4K0.82108.93N/AN/A6635438,9032,885
2016-09-06$18.07$15.0040.7%12.1%22.8%8.8%40.8%11.4%5.9%237.7K-3.4M-22.6K0.7184.46N/AN/A6584668,7352,845
2016-09-07$18.27$15.0039.1%12.0%23.0%7.3%41.0%7.4%3.4%234.5K-4.4M-24.5K0.7083.54N/AN/A6724738,7412,865
2016-09-08$18.35$15.0040.4%12.1%22.4%8.5%39.8%8.2%3.5%228.1K-4.4M-24.6K0.6886.63N/AN/A6684578,7392,920
2016-09-09$18.06$15.0040.4%12.1%23.0%8.5%37.5%15.5%3.4%220.3K-3.5M-22.5K0.7588.56N/AN/A6685028,7042,933
2016-09-12$17.98$17.5043.6%13.1%23.0%11.5%46.4%11.1%0.0%204.4K-3.1M-21.5K4.2390.26N/AN/A4802,0318,7042,986
2016-09-13$16.93$17.5052.3%13.1%30.2%19.6%51.0%3.1%-0.2%67.9K-631.7K-22.7K0.7890.76N/AN/A6094778,7164,596
2016-09-14$17.26$20.0045.1%12.9%31.4%13.0%46.2%5.1%3.6%71.7K1.6M-23.4K1.6887.80N/AN/A1,0071,6968,9235,915
2016-09-15$17.30$20.0045.2%13.0%29.3%13.0%50.1%2.0%5.1%71.3K1.5M-23.6K1.7289.94N/AN/A9751,6809,0285,919
2016-09-16$17.39$20.0045.6%13.1%29.4%13.3%49.4%3.6%6.1%97.6K1.9M-23.4K1.7875.90N/AN/A9951,7679,0405,925
2016-09-19$17.71$20.0039.9%11.4%29.6%8.1%36.0%17.3%3.8%117.3K1.3M-20.9K1.2898.10N/AN/A1,3041,6648,7575,473
2016-09-20$17.60$20.0038.6%11.1%29.6%6.9%47.5%10.9%10.6%129.3K676.3K-22.3K2.6089.67N/AN/A6521,6978,8895,484
2016-09-21$17.99$20.0039.2%11.2%30.8%7.4%42.7%-1.5%10.0%141.5K266.1K-23.7K4.6097.59N/AN/A3931,8079,1715,534
2016-09-22$18.76$20.0033.7%9.7%32.2%2.3%37.2%8.9%13.2%232.9K-457.7K-23.1K1.84102.52N/AN/A9701,7879,1805,654
2016-09-23$18.78$20.0030.8%8.8%32.2%0.0%36.1%6.3%10.0%307.7K-1.7M-27.6K1.4793.39N/AN/A1,2031,7699,7045,619
2016-09-26$18.88$20.0036.0%10.3%32.2%4.9%36.3%2.2%6.0%319.2K-2.4M-27.8K0.4690.60N/AN/A3,8991,7909,6195,625
2016-09-27$18.36$20.0031.2%8.9%34.0%0.3%34.2%10.8%21.5%211.1K-308.1K-22.8K3.5591.74N/AN/A5051,7939,4105,525
2016-09-28$18.71$20.0039.4%11.3%34.5%8.0%37.7%1.7%9.4%274.1K-1.1M-23.8K3.1288.09N/AN/A5581,7429,4295,531
2016-09-29$18.78$20.0036.3%10.4%34.5%5.1%37.2%6.7%2.6%450.4K-2.7M-28.7K3.8391.22N/AN/A4421,69211,6485,556
2016-09-30$18.86$20.0032.4%9.3%34.2%1.5%33.0%10.3%8.2%467.3K-2.5M-27.6K3.8193.28N/AN/A4461,70011,6575,551