NGL Options History — October 2017

In October 2017, NGL traded between $10.30 and $12.40. ATM implied volatility averaged 49.9%, placing in the 61.3% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 2.0% (HV 20d: 47.9%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.11.

Notable Days

  • 2017-10-17: Highest Volume — 3,527 contracts
  • 2017-10-31: Largest IV spike — 37.7% change
  • 2017-10-31: Highest IV Rank — 85.9%
  • 2017-10-31: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.49$10.30$12.40$11.85$11.65
Max Pain$10.34$10.00$12.50$12.50$10.00
ATM IV49.9%41.9%61.4%42.7%61.4%
Expected Move14.8%12.2%17.6%12.2%17.6%
HV 20d47.9%39.8%58.1%55.1%48.0%
HV 60d63.4%48.7%66.3%65.5%48.7%
IV Rank61.3%44.0%85.9%45.8%85.9%
IV Percentile82.7%54.4%98.8%60.7%98.8%
Term Structure-2.8%-13.2%7.7%6.1%-8.9%
VWIV53.6%44.4%62.0%44.4%62.0%
Skew 25d9.1%-10.5%20.9%17.6%6.3%
Skew 10d15.0%-16.6%33.0%26.0%11.8%
Call IV 25d48.1%36.4%59.9%40.3%59.2%
Put IV 25d57.2%49.4%65.6%57.9%65.5%
Bid-Ask Spread %36.469.3287.189.3224.50
Gamma HHI0.660.470.770.770.67
Net GEX57.1K15.2K81.4K65.1K81.4K
Net DEX-1.1M-2.9M675.4K-1.7M-1.8M
Net VEX-22.6K-27.0K-18.4K-26.2K-20.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.322.820.930.52
Total Volume1,635.0459343,5271,2111,411
Total OI16,415.13613,84217,88517,68014,878

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$11.85$12.5042.7%12.2%55.1%45.8%44.4%17.6%6.1%65.1K-1.7M-26.2K0.939.32N/AN/A62958210,3517,329
2017-10-03$12.40$12.5042.9%12.3%55.3%46.1%50.3%20.9%7.7%75.9K-2.9M-26.6K1.7810.46N/AN/A45881610,4947,348
2017-10-04$12.00$12.5044.5%12.8%58.1%49.7%52.8%20.7%7.3%71.9K-2.1M-27.0K0.6711.29N/AN/A1,7361,16910,6397,246
2017-10-05$12.00$10.0042.1%15.0%58.0%44.5%53.5%15.6%-4.2%69.0K-2.1M-26.1K1.3113.90N/AN/A55372610,3126,997
2017-10-06$11.75$10.0043.3%14.9%57.3%46.9%55.2%10.0%-1.3%64.9K-1.4M-25.5K1.5914.84N/AN/A36157310,2717,006
2017-10-09$11.68$10.0043.8%14.9%57.3%48.1%56.4%9.1%-2.1%66.0K-1.3M-24.5K1.8714.80N/AN/A36668310,2787,000
2017-10-10$11.65$10.0041.9%14.8%57.5%44.0%61.3%9.3%-1.8%65.0K-1.1M-23.8K1.8312.06N/AN/A35564910,2557,023
2017-10-11$11.90$10.0051.2%14.7%40.9%64.1%50.8%11.8%-3.9%68.8K-1.7M-24.3K1.3017.36N/AN/A51166610,2697,044
2017-10-12$11.75$10.0049.7%14.2%41.5%60.7%57.6%12.3%-0.1%61.1K-1.3M-23.5K2.8244.82N/AN/A26474510,0607,079
2017-10-13$11.88$10.0049.7%14.2%39.8%60.7%53.9%10.6%-0.1%60.4K-1.7M-21.9K2.4646.79N/AN/A28570010,0707,094
2017-10-16$11.68$10.0051.0%14.6%40.4%63.6%58.4%8.0%-0.6%59.3K-1.2M-22.8K1.2983.40N/AN/A7891,01910,0547,105
2017-10-17$11.35$10.0049.3%14.1%42.0%59.9%49.5%2.4%-4.1%55.4K-387.7K-20.4K0.5487.18N/AN/A2,2851,24210,0066,992
2017-10-18$11.10$10.0057.3%16.4%43.0%77.2%50.8%4.2%-11.0%38.5K-130.0K-20.9K0.5086.54N/AN/A1,55077910,0877,255
2017-10-19$11.05$10.0058.8%16.9%40.5%80.4%55.1%6.1%-13.2%42.4K76.0K-21.7K0.7083.86N/AN/A1,05874210,3347,329
2017-10-20$11.40$10.0051.5%14.8%41.8%64.6%57.5%7.6%1.1%55.4K-434.2K-22.4K0.6676.23N/AN/A1,08371510,3567,341
2017-10-23$11.03$10.0059.2%17.0%43.0%81.2%52.4%7.8%-7.4%41.1K-521.4K-20.4K0.8035.88N/AN/A7706168,1485,694
2017-10-24$11.02$10.0059.0%16.9%42.8%80.7%48.5%8.3%-8.2%39.1K-443.2K-20.1K0.6230.08N/AN/A9535938,1915,729
2017-10-25$10.55$10.0056.2%16.1%44.9%74.7%55.9%0.0%-6.9%23.4K171.8K-18.8K0.6931.44N/AN/A1,1768078,2675,614
2017-10-26$10.30$10.0052.9%15.2%45.2%67.6%52.6%-10.5%-5.6%15.2K675.4K-18.4K0.8312.08N/AN/A9257678,4465,772
2017-10-27$11.30$10.0045.3%13.0%51.3%51.4%49.0%17.6%-0.5%62.7K-1.3M-21.9K0.3221.27N/AN/A1,6955448,5795,924
2017-10-30$11.53$10.0044.6%12.8%50.8%49.7%52.5%4.0%-3.1%74.2K-1.7M-20.3K0.4434.06N/AN/A1,1255008,9345,933
2017-10-31$11.65$10.0061.4%17.6%48.0%85.9%62.0%6.3%-8.9%81.4K-1.8M-20.3K0.5224.50N/AN/A9264858,9385,940