NGL Options History — December 2017

In December 2017, NGL traded between $12.20 and $14.65. ATM implied volatility averaged 41.6%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 10.5% (HV 20d: 52.1%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 4.35.

Notable Days

  • 2017-12-11: Highest Volume — 15,741 contracts
  • 2017-12-08: Largest IV spike — 52.6% change
  • 2017-12-08: Highest IV Rank — 82.2%
  • 2017-12-04: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.74$12.20$14.65$12.80$14.03
Max Pain$11.63$10.00$12.50$12.50$12.50
ATM IV41.6%34.8%59.6%43.1%34.8%
Expected Move11.5%10.0%13.7%12.4%10.0%
HV 20d52.1%47.5%59.9%54.5%47.5%
HV 60d53.0%50.3%56.0%54.7%50.3%
IV Rank43.8%29.1%82.2%46.6%29.1%
IV Percentile47.4%23.0%96.8%60.3%23.0%
Term Structure4.7%-0.7%9.3%-0.7%4.1%
VWIV40.9%33.1%46.2%43.1%33.1%
Skew 25d6.4%1.5%15.8%9.3%1.5%
Skew 10d14.0%2.2%37.7%12.3%8.7%
Call IV 25d37.5%31.4%42.5%33.4%40.2%
Put IV 25d43.9%40.5%47.5%42.7%41.8%
Bid-Ask Spread %18.4410.6267.3711.3822.06
Gamma HHI0.620.480.820.750.63
Net GEX575.7K401.5K1.1M806.3K497.7K
Net DEX-15.4M-26.0M-8.7M-14.0M-10.0M
Net VEX-39.6K-48.2K-29.4K-46.9K-31.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.350.368.461.404.58
Total Volume5,362.553,86015,7416,3254,048
Total OI34,958.6529,28941,58335,34729,734

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$12.80$12.5043.1%12.4%54.5%46.6%43.1%9.3%-0.7%806.3K-14.0M-46.9K1.4011.38N/AN/A2,6353,69023,65611,691
2017-12-04$12.20$10.0043.3%13.7%57.9%47.0%46.2%5.0%0.1%858.2K-10.2M-48.2K5.4620.05N/AN/A6293,43525,58811,822
2017-12-05$12.83$10.0043.6%11.9%59.9%47.6%41.0%9.5%5.7%979.3K-15.4M-47.1K3.0423.61N/AN/A1,0793,28325,62411,927
2017-12-06$12.53$10.0041.4%12.0%48.6%42.8%41.6%5.9%4.6%1.1M-12.6M-47.5K4.8821.03N/AN/A6683,25726,16411,944
2017-12-07$13.23$10.0039.1%11.7%51.6%37.9%40.1%7.8%6.0%843.4K-20.6M-42.3K8.4667.37N/AN/A7456,29926,17311,944
2017-12-08$13.90$10.0059.6%11.5%51.8%82.2%38.9%4.4%3.6%448.1K-21.0M-47.1K0.8013.81N/AN/A5,2744,21326,07414,857
2017-12-11$14.23$10.0043.2%11.4%51.4%46.8%40.7%10.9%5.1%460.3K-26.0M-41.4K0.3612.29N/AN/A11,5824,15926,71914,864
2017-12-12$14.65$10.0049.3%11.6%51.2%59.9%42.0%15.8%2.8%486.9K-25.6M-41.4K2.7512.92N/AN/A1,5724,31925,79614,851
2017-12-13$14.43$12.5040.3%11.6%51.4%41.2%42.6%12.2%5.0%485.8K-24.4M-41.0K3.2812.88N/AN/A1,0333,39025,93815,032
2017-12-14$13.73$12.5042.8%12.3%54.4%46.5%39.9%3.5%9.3%415.0K-20.6M-37.6K4.7216.74N/AN/A7303,44626,03115,098
2017-12-15$13.78$12.5039.4%11.3%54.2%39.2%41.4%4.8%4.9%401.5K-20.2M-42.6K4.4514.89N/AN/A7963,54326,01115,109
2017-12-18$14.00$12.5038.7%11.1%54.2%37.7%42.4%6.7%6.1%448.4K-11.0M-35.9K6.2317.10N/AN/A5533,44318,11111,364
2017-12-19$13.78$12.5041.0%11.8%53.6%42.7%41.2%1.5%3.3%426.0K-9.9M-35.0K6.1116.64N/AN/A5833,56518,18411,435
2017-12-20$13.85$12.5039.1%11.2%53.3%38.4%40.2%3.1%5.8%448.9K-10.3M-34.7K5.2310.62N/AN/A6473,38318,23611,307
2017-12-21$14.28$12.5037.8%10.8%50.2%35.6%46.2%6.7%6.1%489.6K-12.5M-37.5K1.7115.58N/AN/A1,9673,36118,31011,478
2017-12-22$14.28$12.5037.8%10.8%49.6%35.6%37.9%8.3%5.5%470.7K-12.1M-36.8K6.3816.78N/AN/A5523,52417,87411,415
2017-12-26$14.30$12.5039.6%11.3%48.7%39.5%40.5%5.4%4.8%509.0K-11.8M-34.2K6.6110.80N/AN/A5143,39917,91711,549
2017-12-27$14.05$12.5039.8%11.4%48.9%40.1%39.7%2.0%5.0%493.6K-10.3M-33.0K4.6115.68N/AN/A7263,34917,97111,624
2017-12-28$13.83$12.5039.1%11.2%49.6%38.6%40.0%2.9%6.2%449.5K-8.7M-29.4K5.9816.66N/AN/A5533,30718,06111,690
2017-12-29$14.03$12.5034.8%10.0%47.5%29.1%33.1%1.5%4.1%497.7K-10.0M-31.6K4.5822.06N/AN/A7263,32218,01311,721