NGL Options History — June 2017

In June 2017, NGL traded between $11.55 and $13.93. ATM implied volatility averaged 43.1%, placing in the 46.1% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 10.3% (HV 20d: 53.4%). 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 11 of 22 days. Put/call ratio averaged 2.02.

Notable Days

  • 2017-06-07: Highest Volume — 2,724 contracts
  • 2017-06-07: Largest IV spike — 115.5% change
  • 2017-06-13: Highest IV Rank — 92.6%
  • 2017-06-01: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.83$11.55$13.93$13.75$13.93
Max Pain$17.05$15.00$17.50$15.00$15.00
ATM IV43.1%21.4%64.5%51.5%31.1%
Expected Move12.0%8.9%14.8%14.8%8.9%
HV 20d53.4%28.0%67.4%38.2%67.4%
HV 60d69.8%65.2%73.0%65.3%73.0%
IV Rank46.1%0.0%92.6%62.5%20.8%
IV Percentile58.4%0.0%99.2%88.1%10.7%
Term Structure-0.8%-21.0%20.2%-21.0%3.4%
VWIV41.4%28.2%51.7%45.9%28.2%
Skew 25d6.5%-7.1%21.9%-2.7%7.3%
Skew 10d11.3%-12.2%34.0%3.4%8.2%
Call IV 25d38.8%31.2%46.5%45.3%35.9%
Put IV 25d45.3%34.8%56.5%42.6%43.2%
Bid-Ask Spread %18.217.4341.0329.3920.37
Gamma HHI0.570.360.800.790.36
Net GEX-60.9K-78.9K-26.0K-64.0K-26.1K
Net DEX5.9M4.2M6.8M5.7M4.2M
Net VEX-11.1K-16.9K-6.4K-9.2K-16.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.020.753.111.501.44
Total Volume1,293.9557552,7247811,506
Total OI12,637.86410,80714,47010,80714,470

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$13.75$15.0051.5%14.8%38.2%62.5%45.9%-2.7%-21.0%-64.0K5.7M-9.2K1.5029.39N/AN/A3134685,0975,710
2017-06-02$13.55$15.0049.8%14.3%31.7%58.6%40.9%-3.3%-19.4%-48.7K5.9M-8.3K1.5622.46N/AN/A3084825,2065,737
2017-06-05$13.85$17.5027.0%9.4%29.6%6.5%33.9%4.3%-0.1%-58.8K5.8M-8.9K1.5214.55N/AN/A3004555,2015,698
2017-06-06$13.90$17.5021.4%9.5%28.0%0.0%34.5%7.0%0.0%-51.2K5.7M-8.7K1.9313.68N/AN/A2605025,2175,702
2017-06-07$12.50$17.5046.2%12.6%45.0%53.2%44.3%10.0%-4.5%-26.0K6.0M-6.4K3.1129.79N/AN/A6632,0615,2505,724
2017-06-08$12.56$17.5041.9%12.3%45.4%44.1%41.7%6.4%-3.1%-65.1K6.4M-9.9K1.9619.62N/AN/A3817465,5777,178
2017-06-09$13.30$17.5046.2%12.5%51.3%53.3%44.3%7.6%-4.3%-74.3K6.3M-11.5K2.1017.03N/AN/A4118645,5617,419
2017-06-12$13.10$17.5062.5%12.5%51.3%88.3%40.2%7.7%-2.3%-78.9K6.4M-11.0K2.4711.98N/AN/A3548735,5167,545
2017-06-13$13.30$17.5064.5%12.7%52.0%92.6%41.9%3.1%-3.3%-77.7K6.4M-10.6K2.3235.94N/AN/A2766415,5037,520
2017-06-14$12.50$17.5044.1%12.6%55.3%48.7%43.1%-7.1%-4.3%-72.7K6.8M-10.3K2.6941.03N/AN/A3709945,6247,701
2017-06-15$11.90$17.5043.0%12.3%56.9%46.4%45.9%4.2%-2.4%-69.3K6.2M-9.9K1.6611.50N/AN/A4587605,6247,160
2017-06-16$12.15$17.5040.0%11.5%57.9%40.0%40.1%14.7%0.4%-64.5K6.4M-9.8K1.8212.65N/AN/A3416225,6487,301
2017-06-19$12.23$17.5041.3%11.8%56.3%42.7%37.3%15.4%-0.3%-68.3K5.9M-10.5K2.3412.68N/AN/A3417985,0437,033
2017-06-20$11.55$17.5044.4%12.7%58.0%49.3%47.0%7.7%1.2%-56.1K6.3M-9.5K1.6711.26N/AN/A6891,1545,1057,273
2017-06-21$11.70$17.5043.4%12.4%58.7%47.1%46.1%3.3%0.5%-56.8K6.0M-11.2K2.4415.87N/AN/A5331,3035,4217,380
2017-06-22$12.40$17.5043.7%12.5%63.7%47.8%46.4%17.7%3.0%-63.1K5.7M-12.6K2.897.43N/AN/A4191,2115,5977,452
2017-06-23$12.08$17.5041.3%11.9%63.9%42.8%37.6%-0.1%2.6%-64.0K6.0M-12.3K2.0210.17N/AN/A3767585,6177,540
2017-06-26$12.28$17.5042.9%12.3%64.0%46.2%51.7%21.9%3.3%-68.3K5.9M-12.3K2.7814.86N/AN/A3941,0965,6207,599
2017-06-27$12.85$17.5042.5%12.2%65.8%45.3%41.5%9.8%4.3%-76.5K5.4M-14.3K2.0510.84N/AN/A3717595,6697,863
2017-06-28$13.20$17.5041.2%11.8%66.6%42.4%41.7%-0.5%8.8%-72.0K4.9M-14.6K0.7514.08N/AN/A1,0157645,7097,891
2017-06-29$13.58$15.0037.6%10.8%67.0%34.8%36.4%8.7%20.2%-36.9K4.5M-16.1K1.3323.46N/AN/A4636146,3927,940
2017-06-30$13.93$15.0031.1%8.9%67.4%20.8%28.2%7.3%3.4%-26.1K4.2M-16.9K1.4420.37N/AN/A6188886,4867,984