NGL Options History — March 2017 In March 2017, NGL traded between $21.10 and $23.05. ATM implied volatility averaged 33.3%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 2.5% (HV 20d: 30.8%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.24.
Notable Days 2017-03-29 : Highest Volume — 1,129 contracts2017-03-15 : Largest IV drop — 42.8% change2017-03-14 : Highest IV Rank — 44.8%2017-03-27 : Largest Expected Move — 10.2%Monthly Statistics Metric Avg Min Max Open Close Price $22.08 $21.10 $23.05 $22.15 $22.53 Max Pain $22.61 $22.50 $25.00 $25.00 $22.50 ATM IV 33.3% 27.5% 54.3% 33.4% 29.5% Expected Move 9.1% 8.2% 10.2% 9.6% 8.5% HV 20d 30.8% 25.6% 33.5% 32.1% 33.4% HV 60d 33.0% 32.1% 34.4% 32.9% 34.4% IV Rank 13.0% 4.7% 44.8% 10.7% 8.0% IV Percentile 11.7% 1.2% 70.2% 8.7% 3.2% Term Structure 3.0% -2.4% 8.2% -2.4% 3.4% VWIV 34.6% 30.2% 38.8% 34.6% 38.8% Skew 25d 6.3% 0.9% 25.1% 6.2% 0.9% Skew 10d 11.8% -2.6% 43.0% 7.9% 1.7% Call IV 25d 30.9% 23.4% 36.9% 36.9% 34.8% Put IV 25d 37.3% 33.9% 48.5% 43.1% 35.7% Bid-Ask Spread % 76.56 43.62 87.78 79.83 43.62 Gamma HHI 0.51 0.32 0.70 0.46 0.59 Net GEX 21.2K -601.6K 300.8K 111.1K 276.4K Net DEX 1.2M -1.9M 5.4M 1.6M -1.4M Net VEX -33.1K -44.7K -22.7K -42.7K -29.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.24 0.30 2.21 0.60 2.21 Total Volume 900.522 715 1,129 899 842 Total OI 18,993.87 13,327 23,419 22,655 13,909
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2017-03-01 $22.15 $25.00 33.4% 9.6% 32.1% 10.7% 34.6% 6.2% -2.4% 111.1K 1.6M -42.7K 0.60 79.83 N/A N/A 562 337 15,585 7,070 2017-03-02 $22.63 $22.50 32.1% 9.2% 33.4% 10.0% 32.2% 21.7% -0.5% 67.8K 407.3K -44.7K 0.67 69.88 N/A N/A 558 376 15,665 7,147 2017-03-03 $22.70 $22.50 32.8% 9.4% 33.5% 11.2% 33.0% 25.1% -0.3% 73.0K 201.5K -44.2K 0.67 71.69 N/A N/A 553 368 15,666 7,270 2017-03-06 $23.05 $22.50 34.6% 9.2% 33.0% 13.5% 31.8% 4.9% 1.3% 155.9K -1.8M -44.4K 0.30 66.16 N/A N/A 764 231 15,681 7,272 2017-03-07 $23.00 $22.50 35.8% 9.3% 31.9% 15.0% 33.6% 6.1% 5.0% 126.6K -1.1M -43.2K 0.41 65.82 N/A N/A 551 225 15,801 7,270 2017-03-08 $22.40 $22.50 35.4% 9.2% 28.6% 14.5% 32.6% 5.3% 3.5% -113.9K 1.5M -39.4K 0.52 84.58 N/A N/A 521 271 15,845 7,265 2017-03-09 $21.95 $22.50 32.1% 9.1% 28.9% 11.2% 34.7% 7.0% 7.0% -160.8K 3.9M -35.6K 0.87 80.89 N/A N/A 479 418 15,817 7,248 2017-03-10 $21.63 $22.50 27.5% 9.2% 28.4% 4.7% 36.5% 4.0% 5.2% -248.2K 4.6M -35.0K 1.27 83.94 N/A N/A 326 415 15,863 7,370 2017-03-13 $21.75 $22.50 38.3% 9.2% 27.5% 21.0% 37.5% 5.6% 5.4% -217.9K 4.9M -32.9K 1.34 84.64 N/A N/A 309 415 15,853 7,421 2017-03-14 $21.45 $22.50 54.3% 9.3% 25.6% 44.8% 34.9% 3.4% 5.7% -110.7K 5.4M -31.1K 0.85 84.49 N/A N/A 458 390 15,883 7,416 2017-03-15 $22.45 $22.50 31.1% 8.9% 31.4% 10.3% 36.0% 5.0% 5.9% -601.6K 2.8M -34.4K 1.18 87.78 N/A N/A 328 387 15,963 7,413 2017-03-16 $22.05 $22.50 30.8% 8.8% 31.5% 9.9% 35.2% 4.0% 6.6% -411.3K 4.2M -30.7K 1.17 87.60 N/A N/A 329 386 16,006 7,413 2017-03-17 $22.60 $22.50 31.4% 9.0% 31.1% 10.7% 33.9% 5.1% 8.2% 300.8K -1.9M -33.4K 1.31 77.11 N/A N/A 480 630 16,007 7,403 2017-03-20 $22.53 $22.50 31.4% 9.0% 31.0% 10.8% 36.4% 6.7% 1.4% 297.2K -1.5M -32.0K 2.03 86.42 N/A N/A 318 644 8,833 4,494 2017-03-21 $22.20 $22.50 31.9% 9.2% 31.3% 11.5% 37.0% 5.0% 1.9% 214.2K -335.5K -29.5K 1.85 83.33 N/A N/A 326 602 8,833 4,532 2017-03-22 $21.70 $22.50 33.2% 9.5% 32.0% 13.5% 35.2% 2.0% -0.4% 161.3K 522.9K -27.4K 1.95 83.05 N/A N/A 311 606 8,843 4,538 2017-03-23 $21.65 $22.50 31.1% 8.9% 32.0% 10.3% 34.2% 1.8% 0.8% 163.4K 383.9K -27.2K 1.38 82.29 N/A N/A 458 632 8,857 4,649 2017-03-24 $21.73 $22.50 31.0% 8.9% 30.3% 10.2% 34.7% 7.2% 1.5% 114.4K 749.0K -26.0K 2.19 58.29 N/A N/A 252 552 9,060 4,626 2017-03-27 $21.18 $22.50 35.6% 10.2% 30.6% 17.1% 37.0% 3.6% 2.9% 54.8K 1.4M -24.2K 1.83 75.09 N/A N/A 333 609 9,083 4,643 2017-03-28 $21.10 $22.50 32.7% 9.4% 29.6% 12.8% 32.7% 4.3% 4.4% 21.8K 1.7M -22.7K 1.54 71.92 N/A N/A 389 598 9,053 4,723 2017-03-29 $21.73 $22.50 31.4% 9.0% 31.6% 10.8% 32.6% 4.7% 0.4% 104.7K 938.1K -25.0K 1.06 68.39 N/A N/A 547 582 8,956 4,723 2017-03-30 $21.73 $22.50 28.5% 8.2% 30.5% 6.4% 30.2% 6.2% 2.1% 108.8K 595.6K -25.6K 1.26 83.96 N/A N/A 462 582 9,165 4,726 2017-03-31 $22.53 $22.50 29.5% 8.5% 33.4% 8.0% 38.8% 0.9% 3.4% 276.4K -1.4M -29.1K 2.21 43.62 N/A N/A 262 580 9,187 4,722
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