NGL Options History — September 2017

In September 2017, NGL traded between $8.70 and $11.53. ATM implied volatility averaged 44.9%, placing in the 50.5% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 2.0% (HV 20d: 46.9%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.99.

Notable Days

  • 2017-09-25: Highest Volume — 2,586 contracts
  • 2017-09-08: Largest IV spike — 55.7% change
  • 2017-09-08: Highest IV Rank — 83.5%
  • 2017-09-08: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.13$8.70$11.53$8.95$11.53
Max Pain$13.13$10.00$15.00$10.00$12.50
ATM IV44.9%26.8%60.3%26.8%45.0%
Expected Move13.0%7.7%14.7%7.7%12.9%
HV 20d46.9%31.8%55.7%40.8%55.2%
HV 60d65.6%63.4%68.4%65.7%65.4%
IV Rank50.5%11.6%83.5%11.6%50.6%
IV Percentile70.4%2.0%98.8%2.0%71.4%
Term Structure5.0%-2.6%16.8%16.8%2.9%
VWIV44.8%29.9%48.3%29.9%43.4%
Skew 25d3.0%-6.3%20.9%3.7%5.2%
Skew 10d8.2%-15.9%47.2%8.2%20.0%
Call IV 25d44.2%29.9%49.0%29.9%44.2%
Put IV 25d47.2%33.5%59.8%33.5%49.4%
Bid-Ask Spread %16.367.0238.147.0238.14
Gamma HHI0.550.410.740.560.74
Net GEX30.0K6.6K62.2K7.3K54.5K
Net DEX1.0M-954.8K2.9M2.9M-954.8K
Net VEX-16.5K-25.2K-8.7K-8.7K-25.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.483.082.360.61
Total Volume1,775.551,1112,5861,4832,496
Total OI13,369.5510,59116,84610,59116,846

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$8.95$10.0026.8%7.7%40.8%11.6%29.9%3.7%16.8%7.3K2.9M-8.7K2.367.02N/AN/A4421,0415,4015,190
2017-09-05$8.85$15.0037.6%13.5%31.8%34.8%47.4%0.8%-2.6%6.9K2.8M-8.9K3.0814.08N/AN/A3411,0495,4225,200
2017-09-06$8.98$15.0037.3%13.0%33.0%34.2%46.2%10.7%-0.8%6.6K2.8M-9.1K1.2310.75N/AN/A7228875,4315,211
2017-09-07$8.95$15.0038.7%12.6%32.9%37.2%44.8%6.8%-0.7%11.0K2.8M-9.4K1.1017.84N/AN/A7047735,8615,221
2017-09-08$8.70$15.0060.3%14.7%31.8%83.5%45.0%5.2%4.2%7.2K2.8M-10.6K0.4815.67N/AN/A1,1325395,9215,432
2017-09-11$9.00$15.0048.3%12.3%34.6%57.7%45.6%10.8%0.9%16.3K2.5M-12.0K0.9510.34N/AN/A5705416,7425,503
2017-09-12$9.20$15.0041.8%12.5%34.8%43.9%43.8%20.9%5.3%17.6K2.0M-13.2K0.6123.73N/AN/A8775346,8815,365
2017-09-13$10.38$12.5046.7%13.4%55.7%54.3%46.5%-5.1%0.7%37.0K704.0K-17.4K0.7012.72N/AN/A1,1067727,4065,437
2017-09-14$10.45$12.5044.8%12.9%55.4%50.3%45.0%-3.3%3.1%33.0K611.7K-17.2K0.8415.15N/AN/A7616427,5285,527
2017-09-15$10.18$12.5047.7%13.7%54.4%56.5%42.7%8.6%0.4%28.6K891.9K-17.1K0.9610.21N/AN/A6826567,6655,563
2017-09-18$10.38$12.5045.3%13.0%54.6%51.4%46.8%-6.3%6.5%30.8K801.1K-17.7K0.4814.35N/AN/A1,2736117,4925,572
2017-09-19$10.55$12.5047.3%13.6%54.4%55.6%46.8%1.4%6.6%27.9K695.6K-17.4K0.889.63N/AN/A9228157,4115,608
2017-09-20$10.53$12.5042.8%12.3%52.6%45.9%43.1%-5.4%11.2%27.3K793.9K-18.2K0.5714.58N/AN/A1,2557157,8005,907
2017-09-21$10.98$12.5047.6%13.6%53.9%56.2%47.5%2.5%6.3%38.2K203.1K-19.6K1.0115.42N/AN/A1,0951,1028,3105,962
2017-09-22$10.90$12.5046.4%13.3%53.4%53.6%45.9%-0.1%9.3%46.0K-267.4K-19.7K0.7918.03N/AN/A1,4331,1378,7395,644
2017-09-25$11.13$12.5047.5%13.6%52.2%56.1%47.2%0.1%11.0%62.2K-848.0K-21.5K0.5929.17N/AN/A1,6229649,4955,747
2017-09-26$11.23$12.5050.5%14.5%52.2%62.5%44.5%4.1%5.2%57.4K-914.2K-22.7K0.6522.52N/AN/A1,1887769,6126,245
2017-09-27$10.99$12.5046.6%13.4%51.9%54.1%46.0%-0.8%8.8%46.9K-252.7K-22.0K0.8617.89N/AN/A9848469,8186,627
2017-09-28$10.80$12.5049.8%14.3%52.5%60.9%48.3%0.7%5.1%36.6K275.2K-22.4K1.0010.02N/AN/A7537539,7606,889
2017-09-29$11.53$12.5045.0%12.9%55.2%50.6%43.4%5.2%2.9%54.5K-954.8K-25.2K0.6138.14N/AN/A1,5469509,7767,070