NGL Options History — December 2016

In December 2016, NGL traded between $18.10 and $21.10. ATM implied volatility averaged 43.3%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 7.7% (HV 20d: 35.6%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.47.

Notable Days

  • 2016-12-15: Highest Volume — 5,587 contracts
  • 2016-12-12: Largest IV spike — 52.8% change
  • 2016-12-12: Highest IV Rank — 34.5%
  • 2016-12-01: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.51$18.10$21.10$18.55$21.08
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV43.3%35.3%67.9%49.5%44.1%
Expected Move11.8%10.2%14.2%14.2%12.6%
HV 20d35.6%28.7%40.0%40.0%28.7%
HV 60d32.8%32.0%34.0%33.7%32.5%
IV Rank11.6%4.2%34.5%17.3%12.4%
IV Percentile19.9%5.2%56.0%33.3%24.2%
Term Structure3.0%-6.1%9.0%-6.1%5.3%
VWIV40.0%37.1%43.9%40.7%43.4%
Skew 25d5.3%-0.2%9.6%6.9%1.9%
Skew 10d15.3%-7.7%28.3%8.3%-7.7%
Call IV 25d39.4%35.4%45.8%42.4%39.7%
Put IV 25d44.7%40.2%49.2%49.2%41.7%
Bid-Ask Spread %77.2723.2497.1197.1190.38
Gamma HHI0.720.530.860.840.61
Net GEX311.0K222.6K459.9K330.7K294.5K
Net DEX2.6M-2.5M7.9M3.1M-2.2M
Net VEX-22.3K-26.1K-18.1K-21.1K-24.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.470.834.314.260.83
Total Volume3,832.191,7125,5875,4692,113
Total OI14,840.42912,54018,44314,56113,103

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$18.55$20.0049.5%14.2%40.0%17.3%40.7%6.9%-6.1%330.7K3.1M-21.1K4.2697.11N/AN/A1,0394,4308,8685,693
2016-12-02$18.25$20.0040.8%11.7%37.3%9.3%43.9%3.0%1.0%302.4K3.7M-20.1K2.8994.67N/AN/A1,0372,9958,9365,734
2016-12-05$18.10$20.0044.0%12.1%36.0%12.3%40.9%7.2%2.1%222.6K5.4M-18.1K3.1174.58N/AN/A9803,0528,9656,437
2016-12-06$18.45$20.0048.9%12.2%34.7%16.8%40.7%5.8%0.9%275.8K5.1M-19.3K3.1184.47N/AN/A9743,0308,9806,499
2016-12-07$19.00$20.0036.3%11.2%35.9%5.0%37.1%4.1%1.4%395.0K3.8M-21.6K3.0281.52N/AN/A9963,0078,9896,529
2016-12-08$19.33$20.0035.3%11.0%35.8%4.2%37.8%1.3%1.7%459.4K3.0M-21.9K2.9875.88N/AN/A9862,9429,0286,533
2016-12-09$18.80$20.0044.5%10.2%37.6%12.7%38.0%4.4%5.2%406.4K4.4M-19.1K2.8881.91N/AN/A1,0062,9009,0426,563
2016-12-12$18.68$20.0067.9%12.9%37.0%34.5%39.4%5.7%-3.4%298.6K4.5M-18.3K1.8669.21N/AN/A1,6493,0649,0896,571
2016-12-13$19.20$20.0049.9%11.8%36.9%17.7%40.7%5.5%0.6%459.9K2.9M-21.3K2.2177.34N/AN/A1,6753,6969,0996,725
2016-12-14$18.85$20.0041.3%11.8%37.2%9.8%41.9%5.8%0.6%399.8K3.6M-22.7K2.9785.08N/AN/A1,1533,4289,1847,274
2016-12-15$18.65$20.0041.5%11.9%36.0%9.9%40.3%3.5%0.5%234.5K5.4M-21.1K3.8283.49N/AN/A1,1594,4289,1877,469
2016-12-16$19.13$20.0040.7%11.7%35.8%9.2%38.9%-0.2%2.9%244.5K7.9M-22.5K4.0878.56N/AN/A1,0934,4619,1879,256
2016-12-19$19.35$20.0041.2%11.8%35.7%9.7%42.1%0.1%5.4%260.4K4.2M-22.7K4.3185.43N/AN/A5932,5546,9706,960
2016-12-20$19.73$20.0040.9%11.7%35.8%9.4%40.8%8.2%4.1%250.5K3.4M-24.4K3.2982.81N/AN/A7572,4906,8927,176
2016-12-21$20.43$20.0039.7%11.4%37.5%8.3%40.0%9.6%9.0%318.5K2.3M-25.1K0.9680.88N/AN/A2,4752,3817,3047,360
2016-12-22$20.35$20.0038.4%11.0%37.5%7.0%37.9%9.3%7.8%314.7K2.4M-24.6K1.0977.42N/AN/A1,9162,0917,1157,514
2016-12-23$20.65$20.0041.5%11.9%36.6%9.9%38.4%6.6%5.7%246.8K-623.1K-26.1K1.0378.73N/AN/A9139416,8696,163
2016-12-27$21.10$20.0041.0%11.8%34.5%9.5%39.5%8.0%7.5%245.6K-2.5M-24.1K0.8823.24N/AN/A1,3231,1586,8105,730
2016-12-28$21.05$20.0040.8%11.7%32.8%9.2%38.7%7.6%4.5%286.8K-2.3M-24.2K1.0127.88N/AN/A9359446,9085,963
2016-12-29$20.95$20.0041.0%11.8%28.8%9.5%39.4%7.7%7.1%282.8K-2.0M-25.3K1.3192.06N/AN/A7429706,9835,992
2016-12-30$21.08$20.0044.1%12.6%28.7%12.4%43.4%1.9%5.3%294.5K-2.2M-24.9K0.8390.38N/AN/A1,1559587,0496,054