NGL Options History — November 2016

In November 2016, NGL traded between $16.65 and $19.00. ATM implied volatility averaged 44.9%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 12.4% (HV 20d: 32.5%). Max pain ranged from $17.50 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.49.

Notable Days

  • 2016-11-30: Highest Volume — 5,474 contracts
  • 2016-11-21: Largest IV drop — 20.6% change
  • 2016-11-03: Highest IV Rank — 22.1%
  • 2016-11-02: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.91$16.65$19.00$17.70$18.55
Max Pain$19.64$17.50$25.00$20.00$20.00
ATM IV44.9%32.0%54.6%51.1%48.8%
Expected Move12.7%9.2%15.4%14.7%14.0%
HV 20d32.5%25.9%40.0%26.5%40.0%
HV 60d30.6%28.1%33.8%28.1%33.8%
IV Rank13.1%1.1%22.1%18.9%16.7%
IV Percentile21.4%1.2%43.3%37.3%30.2%
Term Structure-0.9%-5.8%4.2%-3.1%-5.8%
VWIV42.9%35.6%57.5%52.2%41.7%
Skew 25d8.2%3.1%14.1%6.2%8.7%
Skew 10d20.0%8.3%37.1%9.3%31.1%
Call IV 25d42.8%33.3%59.3%53.6%42.9%
Put IV 25d51.0%39.0%64.4%59.8%51.6%
Bid-Ask Spread %83.7965.5894.0192.4884.79
Gamma HHI0.700.480.900.620.90
Net GEX198.1K56.8K350.5K155.3K335.1K
Net DEX-313.1K-1.6M1.7M282.3K-468.3K
Net VEX-22.2K-27.0K-17.3K-23.2K-20.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.490.347.461.334.47
Total Volume3,054.3331,4485,4742,7745,474
Total OI12,873.23811,26314,42412,31412,404

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$17.70$20.0051.1%14.7%26.5%18.9%52.2%6.2%-3.1%155.3K282.3K-23.2K1.3392.48N/AN/A1,1891,5858,8223,492
2016-11-02$17.80$20.0053.6%15.4%26.0%21.2%57.5%5.1%-2.4%213.8K-1.0M-27.0K1.4789.73N/AN/A1,0791,5859,5963,504
2016-11-03$17.08$17.5054.6%13.8%25.9%22.1%48.8%3.1%-5.1%158.1K293.4K-23.7K1.4383.00N/AN/A1,1031,5789,5963,504
2016-11-04$16.65$17.5043.6%12.7%26.3%11.9%45.5%11.3%2.2%126.6K1.7M-18.5K1.7976.77N/AN/A9821,7589,6953,504
2016-11-07$17.23$17.5046.0%12.4%29.8%14.1%41.1%10.4%0.5%137.2K372.6K-22.8K1.8665.58N/AN/A9561,7749,6733,661
2016-11-08$17.25$17.5045.7%12.3%29.8%13.9%44.9%5.4%0.1%142.0K640.9K-21.9K1.9080.53N/AN/A9331,7699,7473,676
2016-11-09$17.60$17.5040.9%11.7%30.4%9.4%41.8%9.2%2.0%164.9K-318.3K-23.5K1.9479.91N/AN/A9271,8029,7473,681
2016-11-10$17.63$17.5042.0%12.0%30.1%10.4%42.1%6.9%-0.3%135.6K-230.1K-23.9K1.5384.18N/AN/A1,1501,7649,7453,734
2016-11-11$17.33$17.5045.3%13.0%30.3%13.4%40.1%10.1%-1.1%105.8K623.1K-22.0K1.7370.44N/AN/A9361,6199,5653,744
2016-11-14$17.83$17.5048.3%13.8%32.5%16.2%40.5%13.7%-1.7%89.0K-329.4K-21.7K1.4884.15N/AN/A1,0841,6069,5963,667
2016-11-15$18.18$17.5045.3%13.0%33.5%13.5%40.3%13.2%-1.3%99.4K-1.3M-22.4K1.4979.78N/AN/A1,0831,6199,5363,687
2016-11-16$17.70$17.5048.6%13.9%33.9%16.5%43.6%7.0%-4.2%56.8K-676.4K-21.7K0.3480.63N/AN/A1,0813679,6353,706
2016-11-17$18.20$17.5048.3%13.8%35.8%16.2%40.8%11.4%-2.4%133.4K-1.6M-22.7K4.1585.10N/AN/A8313,4459,6353,711
2016-11-18$18.43$25.0043.6%12.5%36.2%11.9%40.5%6.7%1.6%270.9K-988.0K-22.4K4.4188.18N/AN/A7763,42010,0844,340
2016-11-21$18.77$25.0034.6%9.9%36.4%3.5%41.6%3.5%2.4%305.0K-1.0M-22.7K7.4678.77N/AN/A3182,3718,0143,249
2016-11-22$19.00$25.0032.0%9.2%36.0%1.1%35.7%5.6%3.0%338.6K-1.5M-23.2K3.7687.17N/AN/A6302,3668,0843,437
2016-11-23$18.93$25.0035.5%10.2%35.9%4.4%35.6%14.1%4.2%334.8K-1.5M-23.7K3.3388.97N/AN/A6852,2798,2523,413
2016-11-25$18.55$20.0041.2%11.8%35.0%9.7%36.5%5.2%0.0%350.5K-867.7K-22.1K2.2194.01N/AN/A1,0302,2818,9763,443
2016-11-28$18.00$20.0046.5%13.3%36.6%14.6%41.9%8.0%-2.0%279.9K197.8K-19.8K1.9092.09N/AN/A1,2292,3308,9763,455
2016-11-29$17.60$20.0047.5%13.6%35.5%15.5%47.6%7.1%-5.3%227.4K1.2M-17.3K2.2293.27N/AN/A1,0382,3098,8113,541
2016-11-30$18.55$20.0048.8%14.0%40.0%16.7%41.7%8.7%-5.8%335.1K-468.3K-20.5K4.4784.79N/AN/A1,0014,4738,8503,554