NGL Options History — October 2016

In October 2016, NGL traded between $17.90 and $19.66. ATM implied volatility averaged 42.9%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 13.5% (HV 20d: 29.4%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.10.

Notable Days

  • 2016-10-05: Highest Volume — 8,941 contracts
  • 2016-10-12: Largest IV spike — 36.5% change
  • 2016-10-31: Highest IV Rank — 18.9%
  • 2016-10-31: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.11$17.90$19.66$19.33$17.90
Max Pain$18.69$17.50$20.00$20.00$20.00
ATM IV42.9%32.3%51.1%34.3%51.1%
Expected Move13.0%9.3%14.7%9.8%14.7%
HV 20d29.4%23.7%37.5%34.5%26.6%
HV 60d31.2%28.0%33.0%33.0%28.0%
IV Rank11.2%1.4%18.9%3.2%18.9%
IV Percentile16.4%1.2%37.3%2.8%37.3%
Term Structure-1.4%-9.0%10.5%9.8%-2.8%
VWIV45.5%32.4%52.7%36.4%52.7%
Skew 25d7.7%-1.3%13.2%9.0%-1.3%
Skew 10d21.0%4.8%42.1%14.8%4.8%
Call IV 25d44.8%30.0%57.6%34.7%57.6%
Put IV 25d52.5%42.3%57.8%43.7%56.3%
Bid-Ask Spread %86.0581.0293.3190.1493.31
Gamma HHI0.790.670.870.790.69
Net GEX531.2K199.6K968.0K607.9K199.6K
Net DEX-4.6M-7.5M-303.7K-5.2M-303.7K
Net VEX-30.6K-36.7K-24.2K-28.9K-24.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.100.224.772.953.51
Total Volume2,791.5711,1258,9412,2772,160
Total OI17,278.61910,44220,66517,21212,084

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$19.33$20.0034.3%9.8%34.5%3.2%36.4%9.0%9.8%607.9K-5.2M-28.9K2.9590.14N/AN/A5771,70011,6725,540
2016-10-04$19.40$20.0036.5%10.5%33.8%5.3%37.3%9.3%7.7%604.7K-5.4M-27.3K2.2181.02N/AN/A7821,73211,6895,615
2016-10-05$19.66$20.0032.3%9.3%33.9%1.4%32.4%12.3%10.5%731.7K-6.6M-28.0K0.2284.97N/AN/A7,3111,63011,6445,602
2016-10-06$18.86$17.5033.9%13.3%37.5%2.9%45.4%6.6%-5.0%538.1K-5.1M-34.5K0.9883.44N/AN/A1,7701,73913,0475,638
2016-10-07$19.04$17.5036.2%14.0%37.0%5.0%48.1%4.5%-6.0%612.5K-4.8M-35.1K3.1281.77N/AN/A5711,78114,2615,715
2016-10-10$19.15$17.5033.7%13.6%36.9%2.7%48.1%9.3%-2.8%665.7K-6.8M-36.4K1.5485.77N/AN/A1,0821,66214,3075,787
2016-10-11$18.94$17.5036.7%13.5%29.0%5.4%49.7%8.7%-1.9%545.4K-4.4M-34.3K1.5284.59N/AN/A1,1261,71114,7285,780
2016-10-12$19.20$17.5050.0%14.3%28.7%17.9%48.6%8.8%-5.1%606.5K-5.9M-36.5K1.4684.64N/AN/A1,1611,69814,7605,792
2016-10-13$19.39$17.5045.9%13.2%28.8%14.0%46.5%8.2%-0.9%709.7K-7.5M-36.7K0.3882.38N/AN/A1,14443914,7405,817
2016-10-14$19.15$17.5047.4%13.6%29.5%15.5%47.3%10.3%-3.5%752.1K-6.5M-34.8K0.3887.05N/AN/A1,12642514,7435,826
2016-10-17$19.08$17.5048.1%13.8%29.2%16.1%49.3%11.8%-5.0%627.7K-5.3M-32.1K0.3583.51N/AN/A1,35147114,7415,823
2016-10-18$19.07$17.5048.1%13.8%29.0%16.1%48.0%10.4%-5.9%700.6K-5.3M-30.6K0.4987.15N/AN/A93846114,7045,828
2016-10-19$19.35$17.5045.4%13.0%28.5%13.6%44.6%9.1%-3.0%968.0K-6.5M-30.9K0.7688.50N/AN/A63848714,7065,838
2016-10-20$19.37$17.5050.2%14.4%24.6%18.0%51.4%0.9%-9.0%809.0K-6.4M-29.6K4.7785.90N/AN/A6032,87414,8575,808
2016-10-21$19.34$20.0046.1%13.2%24.7%14.2%47.6%0.2%-3.2%251.6K-4.0M-27.4K4.6888.87N/AN/A6763,16614,8265,828
2016-10-24$19.66$20.0044.8%12.8%25.2%13.0%45.5%4.2%-2.1%284.2K-3.7M-27.9K2.8286.97N/AN/A5951,6807,8312,611
2016-10-25$19.26$20.0042.8%12.3%24.2%11.2%45.9%4.1%0.9%282.1K-3.2M-28.1K4.6984.44N/AN/A5152,4148,0832,611
2016-10-26$19.08$20.0041.2%11.8%23.7%9.6%45.9%13.2%-0.4%247.9K-2.3M-28.2K3.2685.94N/AN/A7412,4148,0903,323
2016-10-27$18.51$20.0046.9%13.4%26.1%14.9%38.1%13.1%-1.3%207.1K-1.1M-25.2K2.9389.19N/AN/A5811,7047,9623,323
2016-10-28$18.50$20.0049.5%14.2%26.0%17.4%47.7%10.2%-0.6%202.4K-1.1M-25.7K1.1387.51N/AN/A1,4041,5837,9433,328
2016-10-31$17.90$20.0051.1%14.7%26.6%18.9%52.7%-1.3%-2.8%199.6K-303.7K-24.2K3.5193.31N/AN/A4791,6818,7153,369