NGL Options History — August 2017

In August 2017, NGL traded between $8.98 and $12.80. ATM implied volatility averaged 44.3%, placing in the 49.1% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 37.8% (HV 20d: 82.1%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 1.76.

Notable Days

  • 2017-08-03: Highest Volume — 2,798 contracts
  • 2017-08-09: Largest IV spike — 24.3% change
  • 2017-08-02: Highest IV Rank — 59.0%
  • 2017-08-02: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.92$8.98$12.80$12.80$8.98
Max Pain$10.33$10.00$12.50$12.50$10.00
ATM IV44.3%38.8%48.9%48.4%45.0%
Expected Move12.8%11.7%14.0%13.9%12.9%
HV 20d82.1%37.1%90.6%37.1%42.3%
HV 60d66.6%48.1%69.1%48.1%65.8%
IV Rank49.1%37.3%59.0%58.0%50.6%
IV Percentile70.9%42.1%89.3%86.5%74.6%
Term Structure-0.7%-6.8%3.5%-4.8%-0.2%
VWIV44.1%41.1%49.2%49.2%45.0%
Skew 25d1.8%-9.8%28.9%1.1%-8.6%
Skew 10d9.7%-15.7%71.7%2.4%10.1%
Call IV 25d40.0%28.9%47.6%42.0%44.8%
Put IV 25d41.7%33.9%59.4%43.1%36.3%
Bid-Ask Spread %14.287.6562.9811.319.51
Gamma HHI0.440.290.600.470.57
Net GEX-7.3K-35.7K7.1K-35.7K5.9K
Net DEX3.4M2.3M4.6M3.2M2.7M
Net VEX-9.4K-12.4K-6.8K-12.4K-8.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.760.214.050.871.83
Total Volume1,330.6526022,7988171,629
Total OI10,089.7398,48711,7638,48710,181

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$12.80$12.5048.4%13.9%37.1%58.0%49.2%1.1%-4.8%-35.7K3.2M-12.4K0.8711.31N/AN/A4363813,2755,212
2017-08-02$12.26$12.5048.9%14.0%39.0%59.0%48.0%0.8%-6.8%-35.1K3.2M-12.3K0.8613.07N/AN/A4223643,3075,346
2017-08-03$9.78$12.5045.7%12.6%85.2%52.1%44.0%-9.8%-2.4%-17.8K4.1M-6.8K2.3262.98N/AN/A8441,9543,4415,292
2017-08-04$10.03$10.0041.4%11.9%86.4%42.8%41.3%7.8%0.2%-17.9K4.6M-8.5K2.147.65N/AN/A4941,0583,8986,386
2017-08-07$10.68$10.0042.2%12.7%90.6%44.7%43.9%28.9%0.6%-20.0K4.4M-10.0K1.4213.46N/AN/A3454894,0256,341
2017-08-08$10.60$10.0038.8%12.6%89.4%37.3%43.5%0.3%1.4%-17.3K4.4M-9.9K1.3910.71N/AN/A3214474,1116,411
2017-08-09$10.60$10.0048.2%13.8%89.5%57.5%43.0%17.5%-3.6%-16.7K4.0M-9.7K0.649.54N/AN/A3662364,1156,146
2017-08-10$10.20$10.0047.9%13.7%88.8%56.8%45.3%9.0%-1.8%-13.7K4.2M-9.1K0.638.88N/AN/A4763004,2256,149
2017-08-11$9.97$10.0045.5%13.1%87.0%51.8%45.4%7.6%0.4%-13.3K4.3M-8.9K0.499.23N/AN/A7683734,1976,144
2017-08-14$9.70$10.0045.2%13.0%87.0%51.1%45.1%22.2%-0.3%-11.0K4.1M-8.1K0.699.36N/AN/A5964104,3275,954
2017-08-15$9.60$10.0044.3%12.7%87.0%49.1%44.3%0.9%-1.5%-13.0K4.1M-7.8K0.678.97N/AN/A5883924,3486,004
2017-08-16$9.48$10.0042.7%12.2%86.9%45.7%42.6%-2.5%0.8%-13.1K4.2M-7.0K0.219.65N/AN/A1,6733484,4216,028
2017-08-17$9.13$10.0042.9%12.3%87.3%46.2%44.7%16.0%0.0%1.2K3.8M-8.9K1.1221.63N/AN/A7097935,7436,020
2017-08-18$9.23$10.0040.8%11.7%87.7%41.6%41.1%-7.4%3.5%2.5K3.4M-9.7K1.7314.80N/AN/A5088785,8215,689
2017-08-21$9.15$10.0044.7%12.8%87.6%49.9%43.4%-8.6%-0.8%2.1K2.6M-9.6K2.5214.33N/AN/A4861,2264,9054,870
2017-08-22$9.57$10.0042.8%12.3%90.0%46.0%42.7%1.3%1.3%4.6K2.4M-10.3K2.7210.69N/AN/A4641,2615,0004,797
2017-08-23$9.78$10.0044.3%12.7%89.9%49.1%44.3%-0.1%0.8%5.8K2.3M-10.7K2.8111.78N/AN/A4431,2445,0644,832
2017-08-24$9.60$10.0043.7%12.5%89.9%47.9%43.6%-5.0%1.4%6.1K2.4M-10.7K3.869.97N/AN/A3181,2275,0724,832
2017-08-25$9.35$10.0044.0%12.6%89.9%48.6%44.0%-8.6%-0.2%7.1K2.6M-9.2K4.0515.93N/AN/A3291,3335,0734,831
2017-08-28$9.43$10.0044.9%12.9%90.0%50.5%44.9%-4.9%-1.2%7.0K2.6M-9.8K2.5911.44N/AN/A3348665,1114,911
2017-08-29$9.20$10.0041.3%11.8%89.9%42.8%41.6%-7.5%1.7%7.0K2.7M-8.9K2.4317.14N/AN/A3628795,1264,949
2017-08-30$9.15$10.0044.4%12.7%89.4%49.3%44.7%-9.4%-3.6%6.8K2.7M-8.9K2.4716.36N/AN/A3568795,1604,974
2017-08-31$8.98$10.0045.0%12.9%42.3%50.6%45.0%-8.6%-0.2%5.9K2.7M-8.7K1.839.51N/AN/A5751,0545,1725,009