NGL Options History — January 2018

In January 2018, NGL traded between $14.63 and $17.20. ATM implied volatility averaged 47.9%, placing in the 57.7% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 11.7% (HV 20d: 36.2%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.35.

Notable Days

  • 2018-01-18: Highest Volume — 32,771 contracts
  • 2018-01-10: Largest IV spike — 26.4% change
  • 2018-01-31: Highest IV Rank — 79.3%
  • 2018-01-31: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.12$14.63$17.20$14.63$16.73
Max Pain$14.52$12.50$15.00$12.50$15.00
ATM IV47.9%36.7%57.8%39.6%57.8%
Expected Move14.3%11.3%16.6%11.3%16.6%
HV 20d36.2%31.8%48.9%48.9%33.4%
HV 60d49.8%45.7%51.2%50.9%45.7%
IV Rank57.7%33.3%79.3%39.5%79.3%
IV Percentile73.7%27.0%95.6%38.5%95.6%
Term Structure-5.6%-12.9%7.2%7.2%-12.2%
VWIV55.0%39.6%76.6%39.6%76.6%
Skew 25d8.0%3.2%15.6%15.6%11.3%
Skew 10d20.5%-6.9%50.5%25.0%34.1%
Call IV 25d46.3%32.9%54.3%34.5%51.6%
Put IV 25d54.3%37.2%68.2%50.1%62.9%
Bid-Ask Spread %47.7410.9072.2910.9056.58
Gamma HHI0.750.560.910.780.68
Net GEX784.1K372.3K1.4M611.2K729.8K
Net DEX-25.9M-39.9M-14.5M-14.5M-19.2M
Net VEX-57.6K-96.1K-28.4K-28.4K-88.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.020.770.200.37
Total Volume3,879.57198332,7714,8731,115
Total OI39,363.09529,66145,53829,66139,135

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$14.63$12.5039.6%11.3%48.9%39.5%39.6%15.6%7.2%611.2K-14.5M-28.4K0.2010.90N/AN/A4,04482917,92111,740
2018-01-03$14.93$12.5040.9%11.7%44.5%42.5%40.9%4.4%6.3%790.9K-18.2M-31.2K0.4049.00N/AN/A1,57863520,56711,906
2018-01-04$15.18$12.5038.4%13.8%42.0%37.1%48.4%4.6%-4.7%857.0K-20.3M-32.5K0.0752.81N/AN/A8,12560821,17412,204
2018-01-05$15.50$12.5036.7%13.7%40.5%33.3%56.7%5.1%-4.8%1.2M-29.1M-41.5K0.3717.76N/AN/A1,65261727,84712,530
2018-01-08$15.50$15.0038.5%13.8%37.1%37.2%48.5%7.6%-6.3%1.4M-28.6M-39.3K0.6542.10N/AN/A1,46794927,83912,758
2018-01-09$15.53$15.0037.8%13.8%33.8%35.6%52.1%6.0%-5.7%1.3M-29.4M-40.5K0.2661.82N/AN/A1,97352128,30313,275
2018-01-10$15.75$15.0047.7%13.7%33.3%57.3%51.2%6.5%-5.8%1.2M-33.4M-37.1K0.2761.10N/AN/A1,57842928,93513,355
2018-01-11$16.50$15.0044.7%12.8%35.5%50.8%51.5%9.7%-4.4%634.8K-38.0M-34.7K0.4420.22N/AN/A1,72676528,96013,430
2018-01-12$16.63$15.0044.8%12.8%34.6%50.9%51.1%6.3%-2.7%372.3K-39.9M-32.0K0.3965.41N/AN/A93136528,99313,633
2018-01-16$16.00$15.0053.4%15.3%32.3%69.7%50.0%8.8%-10.3%755.3K-36.6M-33.3K0.3546.78N/AN/A1,73761029,20213,676
2018-01-17$15.98$15.0052.3%15.0%32.4%67.3%52.9%4.2%-8.4%434.8K-37.6M-31.0K0.7761.80N/AN/A81462529,63813,866
2018-01-18$15.83$15.0051.6%14.8%32.8%65.9%52.3%3.2%-8.1%568.0K-36.9M-31.8K0.0233.22N/AN/A32,16760429,64913,905
2018-01-19$16.00$15.0054.2%15.5%31.8%71.4%53.1%5.8%-12.9%541.6K-24.8M-72.9K0.3365.01N/AN/A1,29542731,54813,990
2018-01-22$16.85$15.0051.7%14.8%35.4%66.1%53.6%12.4%-7.5%689.3K-17.5M-79.7K0.0612.25N/AN/A4,88828324,26510,187
2018-01-23$17.13$15.0050.8%14.6%34.7%64.1%53.2%6.3%-6.2%789.1K-21.5M-95.0K0.2546.21N/AN/A93923527,80710,238
2018-01-24$17.20$15.0050.4%14.4%34.6%63.1%59.8%15.6%-5.2%816.5K-22.0M-96.1K0.3842.48N/AN/A1,35751027,92810,247
2018-01-25$17.05$15.0051.1%14.7%35.1%64.7%58.0%3.9%-6.1%748.3K-21.4M-95.0K0.4446.73N/AN/A1,17952328,44810,499
2018-01-26$16.63$15.0053.1%15.2%35.9%69.0%62.8%5.1%-4.1%699.7K-19.5M-92.5K0.3368.67N/AN/A1,00332628,44810,572
2018-01-29$16.43$15.0055.8%16.0%35.6%74.9%72.4%13.9%-7.9%679.4K-17.0M-88.0K0.5569.32N/AN/A63434928,41010,573
2018-01-30$16.48$15.0054.9%15.7%35.5%73.0%70.7%12.6%-7.6%698.7K-17.7M-87.5K0.4672.29N/AN/A72633328,38810,636
2018-01-31$16.73$15.0057.8%16.6%33.4%79.3%76.6%11.3%-12.2%729.8K-19.2M-88.8K0.3756.58N/AN/A81430128,48610,649