NGL Options History — July 2017

In July 2017, NGL traded between $12.63 and $14.70. ATM implied volatility averaged 46.1%, placing in the 53.0% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 8.5% (HV 20d: 54.6%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.15.

Notable Days

  • 2017-07-06: Highest Volume — 1,781 contracts
  • 2017-07-07: Largest IV spike — 38.5% change
  • 2017-07-27: Highest IV Rank — 62.8%
  • 2017-07-27: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.27$12.63$14.70$14.65$12.83
Max Pain$12.75$12.50$15.00$15.00$12.50
ATM IV46.1%34.7%50.6%37.1%48.4%
Expected Move13.5%10.6%14.5%10.6%13.9%
HV 20d54.6%42.2%69.3%69.3%42.2%
HV 60d65.1%48.8%76.0%73.9%48.8%
IV Rank53.0%28.6%62.8%33.7%58.0%
IV Percentile75.9%27.4%94.0%35.7%86.5%
Term Structure-4.4%-8.3%4.5%4.5%-3.1%
VWIV46.7%36.6%58.1%42.9%58.1%
Skew 25d3.8%-15.7%19.0%19.0%-9.2%
Skew 10d6.6%-25.1%29.2%29.2%-14.7%
Call IV 25d43.6%33.0%55.7%33.0%55.2%
Put IV 25d47.5%38.0%55.9%51.9%46.0%
Bid-Ask Spread %21.5910.1662.9621.1110.94
Gamma HHI0.580.380.890.380.47
Net GEX-58.1K-203.8K7.8K-3.7K-35.5K
Net DEX3.7M2.3M5.0M2.9M3.2M
Net VEX-13.9K-17.4K-11.8K-17.3K-12.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.382.131.300.61
Total Volume1,232.755751,7811,671575
Total OI12,7007,59815,09214,3028,445

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$14.65$15.0037.1%10.6%69.3%33.7%42.9%19.0%4.5%-3.7K2.9M-17.3K1.3021.11N/AN/A7259466,5877,715
2017-07-05$14.70$15.0042.0%12.0%69.3%44.2%44.4%15.9%-3.5%7.8K2.3M-17.4K1.5825.39N/AN/A6189766,8377,803
2017-07-06$13.88$12.5034.7%12.4%60.7%28.6%44.0%4.1%-0.4%-19.3K3.6M-16.6K1.2114.75N/AN/A8069756,8297,708
2017-07-07$13.45$12.5048.1%14.5%62.1%57.3%51.9%9.1%-8.3%-57.8K4.1M-15.3K1.0718.38N/AN/A8168736,9117,649
2017-07-10$13.45$12.5043.6%14.2%58.8%47.7%39.0%12.5%-7.2%-55.2K4.0M-14.6K1.0122.47N/AN/A8108186,9097,639
2017-07-11$13.83$12.5041.2%12.9%59.2%42.5%43.2%2.1%-1.9%-34.8K3.8M-15.1K1.0114.45N/AN/A7497556,9097,728
2017-07-12$13.65$12.5049.2%14.1%59.3%59.7%36.6%4.3%-5.3%-39.9K3.7M-13.7K0.9515.85N/AN/A7497156,9497,716
2017-07-13$12.95$12.5050.5%14.5%58.0%62.5%50.8%7.9%-7.4%-93.4K4.7M-13.9K1.1926.17N/AN/A6317486,9497,697
2017-07-14$13.43$12.5048.3%13.9%56.0%57.8%49.6%8.8%-3.9%-72.3K4.1M-14.3K1.0617.83N/AN/A6176546,9247,792
2017-07-17$13.35$12.5047.9%13.7%55.8%56.9%45.8%-4.4%-5.5%-75.1K4.2M-13.5K2.1315.01N/AN/A4851,0316,9587,777
2017-07-18$13.00$12.5048.7%14.0%56.9%58.6%43.2%-6.6%-6.8%-131.4K4.5M-13.4K1.4517.95N/AN/A4786916,9997,967
2017-07-19$12.88$12.5046.9%13.4%52.6%54.7%40.1%5.1%-3.1%-141.5K4.6M-12.9K1.6110.61N/AN/A4186747,0117,924
2017-07-20$12.68$12.5045.7%13.1%53.0%52.2%41.8%0.7%-3.1%-203.8K5.0M-12.6K1.1810.16N/AN/A5136047,0887,913
2017-07-21$12.68$12.5045.6%13.1%49.0%52.0%49.0%3.9%-3.4%-31.8K4.1M-12.4K1.4124.65N/AN/A5077137,1367,956
2017-07-24$12.63$12.5047.2%13.5%48.0%55.4%49.2%4.6%-5.2%-32.8K3.3M-11.9K1.0816.42N/AN/A4614982,6644,934
2017-07-25$12.70$12.5048.3%13.9%47.7%57.9%49.0%2.8%-6.6%-33.4K3.3M-11.8K1.2626.43N/AN/A4175252,7455,008
2017-07-26$13.00$12.5049.0%14.0%45.7%59.2%51.6%6.5%-3.7%-38.1K3.2M-12.4K0.6162.96N/AN/A3752272,7965,108
2017-07-27$12.83$12.5050.6%14.5%44.8%62.8%54.2%5.7%-7.6%-37.9K3.2M-12.5K0.3840.56N/AN/A6192362,8315,172
2017-07-28$12.75$12.5048.6%13.9%43.4%58.5%49.2%-15.7%-6.4%-33.2K3.2M-13.0K0.9819.70N/AN/A3173103,1445,173
2017-07-31$12.83$12.5048.4%13.9%42.2%58.0%58.1%-9.2%-3.1%-35.5K3.2M-12.6K0.6110.94N/AN/A3572183,2435,202