NGL Options History — January 2017

In January 2017, NGL traded between $21.00 and $25.70. ATM implied volatility averaged 38.6%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 10.6% (HV 20d: 28.0%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.48.

Notable Days

  • 2017-01-23: Highest Volume — 8,016 contracts
  • 2017-01-10: Largest IV spike — 30.4% change
  • 2017-01-04: Highest IV Rank — 14.8%
  • 2017-01-10: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.03$21.00$25.70$21.23$24.38
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV38.6%30.3%46.7%42.6%38.5%
Expected Move11.5%9.9%13.6%12.2%11.0%
HV 20d28.0%23.9%35.7%27.4%35.7%
HV 60d32.9%31.2%34.7%31.2%34.7%
IV Rank7.6%0.0%14.8%11.0%7.6%
IV Percentile14.3%0.0%32.1%21.0%13.5%
Term Structure-1.0%-3.6%4.2%4.2%-1.9%
VWIV43.5%34.7%55.1%43.0%42.1%
Skew 25d8.4%5.6%13.5%7.5%6.2%
Skew 10d16.7%4.0%27.9%26.9%15.6%
Call IV 25d36.7%29.4%42.9%38.4%37.2%
Put IV 25d45.1%40.2%51.0%45.9%43.4%
Bid-Ask Spread %47.9614.4087.5487.5421.65
Gamma HHI0.550.350.740.560.69
Net GEX437.3K189.8K858.7K257.7K858.7K
Net DEX-8.7M-19.3M-1.9M-2.2M-13.9M
Net VEX-36.0K-60.4K-23.0K-24.2K-53.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.065.540.791.07
Total Volume2,115.64788,0162,175539
Total OI15,291.19,01317,10812,93617,097

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$21.23$20.0042.6%12.2%27.4%11.0%43.0%7.5%4.2%257.7K-2.2M-24.2K0.7987.54N/AN/A1,2179586,8616,075
2017-01-04$21.15$20.0046.7%13.4%27.1%14.8%40.3%8.2%1.4%242.7K-2.0M-24.5K1.3628.83N/AN/A6919376,8746,140
2017-01-05$21.00$20.0040.8%13.2%27.2%9.2%45.7%11.5%-3.6%309.4K-1.9M-23.0K2.0358.12N/AN/A5651,1456,8816,154
2017-01-06$21.45$20.0030.3%11.7%26.5%0.0%45.0%9.3%0.4%324.7K-3.0M-23.6K1.7523.55N/AN/A6051,0587,2786,405
2017-01-09$21.53$20.0030.3%11.5%26.1%0.1%46.7%10.5%0.8%270.5K-3.9M-25.0K2.7129.62N/AN/A4511,2247,5656,558
2017-01-10$21.22$20.0039.6%13.6%24.3%8.6%40.0%8.1%-2.0%332.5K-3.4M-25.7K0.5881.41N/AN/A1,6939827,8466,815
2017-01-11$21.53$20.0040.3%11.6%24.0%9.3%40.5%10.4%-0.0%409.8K-4.5M-28.0K0.5634.93N/AN/A1,7219728,9696,828
2017-01-12$22.43$20.0041.8%12.0%25.9%10.7%41.6%8.3%-3.4%350.7K-7.1M-26.4K1.0123.44N/AN/A9749798,9256,820
2017-01-13$22.73$20.0041.5%11.9%24.0%10.4%49.2%10.1%-1.5%281.4K-8.0M-27.8K1.3068.54N/AN/A7299459,2826,818
2017-01-17$23.43$20.0040.2%11.5%23.9%9.2%44.1%6.4%-2.0%211.6K-9.6M-25.4K1.0671.21N/AN/A9691,0249,3126,798
2017-01-18$23.15$20.0040.3%11.6%24.7%9.3%39.5%5.6%-1.6%251.6K-9.5M-27.1K1.4878.36N/AN/A7361,0879,5656,813
2017-01-19$22.88$20.0039.7%11.4%25.8%8.7%55.1%8.1%-0.5%292.9K-8.5M-29.9K5.5484.94N/AN/A5833,2329,8587,005
2017-01-20$24.05$20.0034.5%9.9%29.5%3.9%53.0%7.3%0.3%189.8K-10.7M-29.2K3.1858.82N/AN/A1,1533,6709,8197,041
2017-01-23$24.05$20.0035.7%10.2%28.1%5.0%34.7%6.2%0.1%204.1K-6.8M-32.4K0.0628.80N/AN/A7,5784385,6603,353
2017-01-24$24.75$20.0036.2%10.4%28.7%5.5%39.3%9.7%-1.6%799.6K-15.5M-59.0K1.7431.77N/AN/A26145512,9803,558
2017-01-25$25.70$20.0037.3%10.7%30.3%6.5%38.9%13.5%-2.5%798.6K-19.3M-59.5K0.7114.40N/AN/A51436313,0013,742
2017-01-26$25.20$20.0037.6%10.8%31.9%6.8%44.3%7.7%-2.0%805.1K-18.0M-60.4K0.8426.99N/AN/A36630813,2923,816
2017-01-27$24.75$20.0036.4%10.4%33.1%5.7%42.1%6.5%-1.5%835.8K-15.2M-59.3K0.6221.44N/AN/A44027213,1103,872
2017-01-30$24.00$20.0041.5%11.9%35.6%10.4%44.7%6.5%-3.3%719.8K-11.8M-55.6K1.3084.85N/AN/A20827013,1403,896
2017-01-31$24.38$20.0038.5%11.0%35.7%7.6%42.1%6.2%-1.9%858.7K-13.9M-53.3K1.0721.65N/AN/A26127813,1723,925