NGL Options History — February 2017

In February 2017, NGL traded between $21.88 and $25.25. ATM implied volatility averaged 32.5%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 4.7% (HV 20d: 37.3%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.56.

Notable Days

  • 2017-02-07: Highest Volume — 4,936 contracts
  • 2017-02-07: Largest IV drop — 34.8% change
  • 2017-02-06: Highest IV Rank — 15.5%
  • 2017-02-06: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.62$21.88$25.25$24.33$22.30
Max Pain$24.74$20.00$25.00$20.00$25.00
ATM IV32.5%24.1%47.0%38.9%31.9%
Expected Move9.1%6.9%11.2%11.2%9.1%
HV 20d37.3%31.9%41.1%35.9%32.9%
HV 60d33.9%32.4%34.6%33.4%32.9%
IV Rank4.2%0.0%15.5%8.0%8.4%
IV Percentile7.7%0.0%41.3%14.7%6.0%
Term Structure1.6%-3.6%8.4%-3.6%-0.0%
VWIV32.5%22.9%45.3%45.3%27.3%
Skew 25d5.3%-1.4%15.4%5.6%15.4%
Skew 10d16.6%-2.2%36.2%27.8%36.2%
Call IV 25d31.1%24.8%38.0%36.7%26.8%
Put IV 25d36.3%30.1%42.6%42.3%42.3%
Bid-Ask Spread %73.7222.7593.8522.7587.30
Gamma HHI0.700.440.870.790.44
Net GEX814.4K-65.7K1.7M757.2K28.7K
Net DEX-9.3M-17.0M2.6M-13.1M2.0M
Net VEX-56.0K-67.4K-40.9K-55.5K-42.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.085.570.910.48
Total Volume1,467.0535224,936548714
Total OI22,415.36816,33829,50416,33822,615

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$24.33$20.0038.9%11.2%35.9%8.0%45.3%5.6%-3.6%757.2K-13.1M-55.5K0.9122.75N/AN/A28726112,3983,940
2017-02-02$24.25$25.0042.1%10.8%35.9%11.0%39.8%11.2%-1.0%734.7K-13.1M-55.3K0.9763.37N/AN/A31730712,4483,969
2017-02-03$24.78$25.0042.2%10.7%35.8%11.0%38.8%2.8%-1.6%782.0K-15.4M-55.1K5.5756.19N/AN/A3591,99912,5214,007
2017-02-06$25.25$25.0047.0%11.2%35.7%15.5%41.0%5.1%-1.3%728.8K-17.0M-55.6K1.0956.47N/AN/A32235112,6125,723
2017-02-07$24.05$25.0030.7%8.9%41.0%0.4%30.7%4.9%2.1%763.8K-10.3M-53.1K0.0877.91N/AN/A4,57236412,6275,792
2017-02-08$23.68$25.0033.4%9.6%41.1%2.9%33.5%4.0%0.8%1.2M-12.9M-65.7K1.1854.44N/AN/A25329919,0435,868
2017-02-09$24.00$25.0030.3%8.7%41.1%0.0%30.0%5.2%3.1%1.7M-16.9M-67.4K0.8176.53N/AN/A37630519,0505,845
2017-02-10$23.37$25.0032.2%9.2%40.3%2.1%31.5%4.5%4.3%1.0M-10.4M-59.3K1.0856.17N/AN/A27730019,1005,855
2017-02-13$23.95$25.0034.1%9.8%40.9%4.0%34.2%4.4%-0.4%1.3M-13.8M-61.8K0.7375.52N/AN/A32723919,1075,884
2017-02-14$23.90$25.0033.0%9.4%39.6%2.9%35.9%7.0%1.2%1.4M-14.0M-61.5K0.8974.09N/AN/A27624619,1495,883
2017-02-15$24.10$25.0031.5%9.0%39.4%1.3%32.0%5.9%1.6%1.6M-16.6M-63.4K0.2981.90N/AN/A88826119,6855,901
2017-02-16$23.30$25.0030.3%8.7%41.1%0.0%32.6%3.5%4.1%662.6K-9.0M-52.8K3.2887.46N/AN/A1,0753,53119,8115,901
2017-02-17$23.43$25.0028.0%8.0%36.9%0.0%27.9%4.8%2.9%652.0K-6.7M-58.6K2.5085.69N/AN/A1,3063,26020,4619,043
2017-02-21$23.48$25.0024.1%6.9%37.0%0.0%25.8%6.9%8.4%784.2K-4.9M-56.8K3.5493.32N/AN/A22178315,3346,591
2017-02-22$23.25$25.0028.5%8.2%35.3%4.7%22.9%5.2%2.0%704.9K-5.4M-57.9K3.5089.63N/AN/A20471315,3386,828
2017-02-23$23.10$25.0024.8%7.1%31.9%0.7%26.6%0.8%4.4%508.5K-2.7M-52.1K1.8693.85N/AN/A41176315,3486,863
2017-02-24$22.40$25.0029.0%8.3%32.8%5.3%29.8%-1.4%0.9%194.5K569.6K-48.7K0.5888.99N/AN/A46627015,5687,069
2017-02-27$21.88$25.0025.9%7.4%33.1%1.9%31.3%4.0%2.9%-65.7K2.6M-40.9K0.3779.06N/AN/A71126015,6267,089
2017-02-28$22.30$25.0031.9%9.1%32.9%8.4%27.3%15.4%-0.0%28.7K2.0M-42.7K0.4887.30N/AN/A48223215,5557,060