NGL Options History — May 2017

In May 2017, NGL traded between $13.48 and $15.98. ATM implied volatility averaged 38.7%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 46.4% (HV 20d: 85.1%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.13.

Notable Days

  • 2017-05-04: Highest Volume — 1,603 contracts
  • 2017-05-02: Largest IV spike — 24.0% change
  • 2017-05-31: Highest IV Rank — 39.8%
  • 2017-05-02: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.23$13.48$15.98$15.98$13.48
Max Pain$17.05$15.00$17.50$17.50$15.00
ATM IV38.7%32.7%45.6%36.8%41.6%
Expected Move11.1%9.4%13.1%10.6%11.9%
HV 20d85.1%35.0%104.9%101.7%37.0%
HV 60d65.0%64.2%65.5%64.7%65.0%
IV Rank27.6%18.6%39.8%21.4%39.8%
IV Percentile39.1%17.1%59.5%32.1%57.1%
Term Structure-2.1%-16.5%10.1%7.1%-2.6%
VWIV38.2%32.7%51.8%33.8%40.5%
Skew 25d3.2%-9.4%13.1%6.8%12.6%
Skew 10d3.8%-14.5%23.8%4.4%17.5%
Call IV 25d34.5%26.9%41.9%35.0%28.1%
Put IV 25d37.7%24.3%46.4%41.8%40.7%
Bid-Ask Spread %19.7110.2431.2421.2222.05
Gamma HHI0.690.590.790.630.75
Net GEX-83.3K-112.9K-41.0K-41.0K-47.6K
Net DEX4.6M3.8M6.0M5.0M6.0M
Net VEX-13.4K-15.6K-7.9K-15.1K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.402.530.401.54
Total Volume1,022.55861,6031,578902
Total OI11,469.6369,30212,44411,81710,897

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$15.98$17.5036.8%10.6%101.7%21.4%33.8%6.8%7.1%-41.0K5.0M-15.1K0.4021.22N/AN/A1,1294496,2205,597
2017-05-02$15.88$17.5045.6%13.1%100.6%36.3%51.8%0.4%-16.5%-51.7K5.1M-15.1K0.5525.56N/AN/A9044966,3285,630
2017-05-03$15.90$17.5038.3%11.0%100.8%23.9%35.1%13.1%2.6%-52.0K4.7M-14.8K0.6425.32N/AN/A8325316,3405,486
2017-05-04$14.90$17.5039.1%11.0%102.0%25.3%38.4%4.6%-2.7%-65.1K5.3M-12.8K0.8422.39N/AN/A8737306,3675,533
2017-05-05$15.45$17.5039.5%11.5%103.8%26.0%39.1%10.4%-1.0%-73.8K5.0M-14.7K0.5224.28N/AN/A8064206,4185,949
2017-05-08$15.80$17.5036.2%11.4%104.7%20.4%37.7%7.7%-3.8%-74.9K3.9M-15.3K0.4517.15N/AN/A6352856,4945,445
2017-05-09$15.78$17.5041.1%10.9%104.8%28.7%37.2%0.5%-0.9%-80.8K3.9M-15.6K1.1420.96N/AN/A4354956,5525,447
2017-05-10$15.68$17.5039.3%11.3%104.7%26.8%38.4%-1.7%-1.9%-92.3K4.1M-15.3K1.3423.43N/AN/A3684946,6045,584
2017-05-11$15.75$17.5038.0%10.9%104.5%24.4%36.0%0.5%-1.9%-94.9K4.2M-15.5K1.6515.79N/AN/A3145196,6135,661
2017-05-12$15.58$17.5037.2%10.7%104.4%23.9%37.6%1.0%-0.6%-98.4K4.2M-14.9K1.6620.91N/AN/A3335526,6085,671
2017-05-15$15.38$17.5041.7%11.9%103.8%32.2%40.9%-4.6%-5.2%-104.0K4.6M-14.3K1.4931.24N/AN/A3735566,5985,762
2017-05-16$15.43$17.5040.0%11.5%103.9%29.1%36.0%-2.9%-4.1%-108.8K4.6M-14.2K1.1622.13N/AN/A3684266,6565,788
2017-05-17$15.35$17.5039.5%11.3%104.0%28.2%40.1%8.3%-3.4%-107.6K4.5M-14.2K0.9720.21N/AN/A3493376,6425,739
2017-05-18$15.40$17.5038.0%10.9%103.9%25.5%35.6%7.6%-1.5%-112.9K4.5M-13.8K1.3811.25N/AN/A3995526,6355,746
2017-05-19$15.85$17.5040.1%11.5%104.9%29.3%38.6%4.5%-4.3%-95.3K3.8M-13.9K0.9020.73N/AN/A5254746,6295,596
2017-05-22$15.30$17.5040.1%11.5%104.8%34.7%39.8%-3.0%-4.9%-96.9K3.8M-13.1K2.5311.44N/AN/A2075244,3674,935
2017-05-23$15.18$17.5037.8%10.8%35.0%29.7%36.2%4.8%-2.2%-107.4K4.1M-12.5K1.6610.24N/AN/A2203664,3735,016
2017-05-24$14.83$17.5040.8%11.7%35.7%36.3%40.7%-9.4%-5.6%-104.1K4.5M-11.7K0.7211.46N/AN/A6654764,3835,114
2017-05-25$14.50$15.0032.7%9.4%35.3%18.6%32.7%-5.8%-0.4%-94.0K4.8M-11.3K1.1215.91N/AN/A4695264,7805,244
2017-05-26$14.08$15.0032.9%9.4%35.8%19.0%33.6%7.2%-2.7%-75.8K5.2M-10.1K1.3216.34N/AN/A5046644,9995,315
2017-05-30$13.63$15.0035.9%10.3%37.0%26.8%40.1%7.3%10.1%-54.2K5.9M-8.4K0.9923.66N/AN/A5085055,0375,534
2017-05-31$13.48$15.0041.6%11.9%37.0%39.8%40.5%12.6%-2.6%-47.6K6.0M-7.9K1.5422.05N/AN/A3555475,1985,699