NGL Options History — April 2017

In April 2017, NGL traded between $15.88 and $23.10. ATM implied volatility averaged 32.8%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 14.4% (HV 20d: 47.2%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.78.

Notable Days

  • 2017-04-25: Highest Volume — 5,155 contracts
  • 2017-04-25: Largest IV spike — 40.1% change
  • 2017-04-25: Highest IV Rank — 30.1%
  • 2017-04-25: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.59$15.88$23.10$23.10$16.05
Max Pain$21.71$17.50$22.50$22.50$17.50
ATM IV32.8%26.0%41.9%30.9%40.1%
Expected Move9.7%7.6%12.0%8.8%11.5%
HV 20d47.2%29.0%104.2%34.2%103.4%
HV 60d40.1%30.5%64.8%34.7%64.7%
IV Rank13.7%2.8%30.1%10.0%27.0%
IV Percentile16.6%1.2%48.8%6.3%40.1%
Term Structure0.3%-6.4%4.0%2.4%-2.4%
VWIV37.7%30.2%42.5%31.0%39.6%
Skew 25d6.0%-3.5%12.8%-0.1%2.4%
Skew 10d11.8%-13.8%27.4%-1.8%0.7%
Call IV 25d32.8%28.0%40.2%31.0%37.7%
Put IV 25d38.8%30.9%44.4%30.9%40.0%
Bid-Ask Spread %56.7324.5587.3347.5827.92
Gamma HHI0.460.320.700.670.70
Net GEX37.9K-75.6K395.4K395.4K-50.0K
Net DEX2.0M-2.9M5.3M-2.9M5.1M
Net VEX-20.4K-30.0K-8.1K-30.0K-15.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.312.031.130.44
Total Volume1,129.5265175,1551,1131,516
Total OI13,139.5796,91814,58313,92911,589

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$23.10$22.5030.9%8.8%34.2%10.0%31.0%-0.1%2.4%395.4K-2.9M-30.0K1.1347.58N/AN/A5225919,2074,722
2017-04-04$22.77$22.5031.8%9.1%34.5%11.4%35.3%-3.5%0.2%255.4K-1.6M-28.1K1.0561.80N/AN/A4925169,2554,763
2017-04-05$21.90$22.5031.8%9.1%36.0%11.4%32.4%5.4%-0.1%128.3K104.6K-25.9K2.0363.21N/AN/A4799719,2564,802
2017-04-06$21.70$22.5027.3%9.7%35.5%4.7%36.6%3.2%1.7%34.5K1.4M-24.4K1.4371.26N/AN/A4746769,2675,230
2017-04-07$21.53$22.5027.5%7.6%35.2%5.0%40.0%11.3%4.0%15.9K1.8M-23.7K0.4687.33N/AN/A4682139,2705,235
2017-04-10$21.35$22.5026.0%9.4%35.2%2.8%39.2%8.0%0.3%-9472.5M-21.1K0.3161.06N/AN/A6832159,2705,235
2017-04-11$21.35$22.5030.9%10.3%34.9%10.0%38.7%8.4%1.9%56.6K1.8M-23.1K0.5974.72N/AN/A4382579,2835,226
2017-04-12$21.60$22.5033.7%9.7%30.8%14.5%39.8%12.0%3.1%20.1K1.7M-21.7K0.6647.93N/AN/A4172769,2995,272
2017-04-13$21.55$22.5033.1%9.5%30.2%13.7%39.5%11.4%1.4%12.1K1.9M-21.8K0.6060.11N/AN/A4022409,3055,270
2017-04-17$21.85$22.5035.6%10.2%29.2%17.4%42.5%12.8%1.9%14.0K1.4M-21.4K0.6083.84N/AN/A4022409,2995,280
2017-04-18$21.85$22.5032.8%9.4%29.2%13.2%40.8%9.2%1.5%19.0K1.5M-21.3K0.6481.02N/AN/A3522259,3035,280
2017-04-19$21.35$22.5032.5%9.3%29.9%12.7%40.9%12.1%0.6%-2.0K2.5M-19.0K0.8975.41N/AN/A2742439,3035,273
2017-04-20$21.50$22.5032.8%9.4%29.0%13.2%36.3%7.0%-0.6%1.4K2.2M-19.4K0.8845.77N/AN/A3262869,2865,238
2017-04-21$21.55$22.5032.8%9.4%29.0%13.2%37.8%5.8%-2.9%-16.0K2.7M-17.9K0.9575.66N/AN/A3042889,3465,229
2017-04-24$21.70$22.5029.9%8.6%29.1%9.8%30.2%6.0%3.7%-7.0K1.1M-17.9K0.4329.41N/AN/A4101773,1873,731
2017-04-25$16.37$22.5041.9%12.0%104.2%30.1%39.5%4.2%-6.4%-75.6K4.3M-8.1K0.5629.46N/AN/A3,3101,8453,4223,758
2017-04-26$16.33$17.5031.4%9.0%104.2%12.3%35.9%-1.6%-2.2%-23.5K4.7M-14.7K0.6624.55N/AN/A8975945,6545,105
2017-04-27$15.88$17.5040.3%11.6%103.1%27.4%39.6%0.3%-2.5%-57.2K5.3M-13.4K0.4829.75N/AN/A9774655,8665,336
2017-04-28$16.05$17.5040.1%11.5%103.4%27.0%39.6%2.4%-2.4%-50.0K5.1M-15.1K0.4427.92N/AN/A1,0534636,0395,550