NGL Options History — November 2017

In November 2017, NGL traded between $10.90 and $12.88. ATM implied volatility averaged 47.6%, placing in the 56.2% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 11.8% (HV 20d: 59.4%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.41.

Notable Days

  • 2017-11-30: Highest Volume — 14,905 contracts
  • 2017-11-06: Largest IV drop — 18.7% change
  • 2017-11-01: Highest IV Rank — 98.6%
  • 2017-11-01: Largest Expected Move — 19.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.97$10.90$12.88$11.20$12.50
Max Pain$11.55$10.00$12.50$10.00$12.50
ATM IV47.6%41.0%67.3%67.3%44.5%
Expected Move13.3%11.8%19.3%19.3%12.8%
HV 20d59.4%48.6%65.0%48.6%55.6%
HV 60d52.6%49.1%54.6%49.4%54.6%
IV Rank56.2%42.1%98.6%98.6%49.7%
IV Percentile71.0%44.0%99.6%99.6%68.7%
Term Structure-1.4%-15.9%2.6%-15.9%-1.3%
VWIV46.3%41.0%67.0%67.0%44.5%
Skew 25d3.2%-11.3%18.3%-1.4%3.5%
Skew 10d6.9%-14.3%29.3%-7.4%5.1%
Call IV 25d42.8%33.3%67.6%67.6%37.1%
Put IV 25d46.0%31.5%66.2%66.2%40.6%
Bid-Ask Spread %26.738.1763.8241.7015.97
Gamma HHI0.690.500.910.560.66
Net GEX260.3K28.4K481.5K45.4K481.5K
Net DEX-4.8M-8.0M-428.8K-835.3K-7.7M
Net VEX-26.1K-42.1K-19.6K-20.4K-42.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.0812.470.510.83
Total Volume2,921.71469614,9051,66914,905
Total OI20,000.76214,59929,61614,99029,616

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$11.20$10.0067.3%19.3%48.6%98.6%67.0%-1.4%-15.9%45.4K-835.3K-20.4K0.5141.70N/AN/A1,1095609,0495,941
2017-11-02$10.90$10.0064.5%14.8%49.3%92.6%50.1%0.0%-2.8%28.4K-428.8K-19.6K0.5016.36N/AN/A1,6578269,1175,938
2017-11-03$11.08$10.0064.2%14.4%49.4%92.0%50.6%-0.5%-0.1%53.0K-942.0K-19.9K0.8044.87N/AN/A7566058,7545,845
2017-11-06$11.30$10.0052.2%14.3%50.1%66.2%52.5%4.8%-2.8%65.5K-1.8M-19.9K1.1117.07N/AN/A6256969,1965,730
2017-11-07$12.53$10.0043.8%13.1%62.4%48.2%46.3%16.0%-2.4%192.8K-5.3M-21.9K0.6950.01N/AN/A1,3249189,4375,849
2017-11-08$12.28$10.0044.1%12.6%62.6%48.7%44.1%14.1%0.3%212.5K-5.0M-22.4K0.4563.82N/AN/A2,5961,1789,9845,797
2017-11-09$12.88$10.0046.4%13.3%64.4%53.7%45.6%-7.0%0.3%279.2K-8.0M-25.3K0.1534.11N/AN/A4,38766212,1306,310
2017-11-10$12.63$10.0046.6%13.3%64.9%54.0%41.2%-7.7%-0.2%348.0K-7.9M-31.6K1.0237.38N/AN/A55656815,4346,429
2017-11-13$12.40$12.5046.7%13.4%65.0%54.2%47.5%3.7%-0.7%345.8K-6.7M-29.2K1.3516.09N/AN/A53972515,4536,482
2017-11-14$12.25$12.5044.4%12.7%64.2%49.4%45.7%3.3%1.2%359.3K-5.9M-28.3K1.0839.50N/AN/A49152815,4396,441
2017-11-15$11.98$12.5046.0%13.2%64.2%52.8%46.1%13.1%-0.1%288.2K-4.9M-27.4K1.4322.40N/AN/A36452215,4766,546
2017-11-16$11.90$12.5042.6%12.2%64.2%45.5%43.2%11.8%2.6%202.0K-3.9M-26.1K1.8523.35N/AN/A32059315,5176,546
2017-11-17$12.00$12.5041.1%11.8%63.4%42.4%41.8%11.1%1.5%218.2K-4.1M-25.8K1.748.17N/AN/A33458215,5786,598
2017-11-20$11.70$12.5043.6%12.5%62.9%47.7%43.6%8.6%1.3%197.9K-4.0M-24.6K1.5328.99N/AN/A27542113,4504,799
2017-11-21$11.63$12.5042.4%12.2%63.0%45.1%42.6%6.2%-0.9%195.2K-3.3M-23.2K0.6614.05N/AN/A70546413,5035,021
2017-11-22$12.38$12.5044.0%12.6%63.9%48.6%44.0%18.3%-2.3%245.7K-5.5M-25.8K0.089.12N/AN/A5,61545013,5125,076
2017-11-24$12.20$12.5041.0%11.8%63.3%42.1%41.0%-3.0%-1.2%464.4K-7.4M-30.2K0.0810.60N/AN/A4,94437818,2755,121
2017-11-27$11.98$12.5042.9%12.3%55.5%46.2%43.0%-7.7%-0.5%428.2K-6.2M-28.4K0.4812.38N/AN/A77637418,3085,172
2017-11-28$11.80$12.5045.6%13.1%55.5%51.9%45.5%-11.3%-2.9%393.6K-5.5M-27.3K0.7237.12N/AN/A61644618,3155,152
2017-11-29$11.93$12.5045.4%13.0%55.5%51.4%45.6%-7.9%-2.3%422.4K-6.0M-28.5K12.4718.26N/AN/A5176,44918,3985,282
2017-11-30$12.50$12.5044.5%12.8%55.6%49.7%44.5%3.5%-1.3%481.5K-7.7M-42.1K0.8315.97N/AN/A8,1346,77118,41311,203