NGL Options History — February 2018

In February 2018, NGL traded between $12.28 and $16.35. ATM implied volatility averaged 53.2%, placing in the 61.6% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 7.1% (HV 20d: 60.2%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.81.

Notable Days

2018-02-12: Highest Volume — 21,978 contracts
2018-02-07: Largest IV drop — 26.7% change
2018-02-05: Highest IV Rank — 100.0%
2018-02-05: Largest Expected Move — 16.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.70	$12.28	$16.35	$16.35	$12.28
Max Pain	$14.47	$12.50	$17.50	$17.50	$12.50
ATM IV	53.2%	44.7%	74.4%	58.2%	44.9%
Expected Move	14.4%	12.8%	16.5%	13.4%	12.9%
HV 20d	60.2%	34.5%	72.4%	34.5%	69.4%
HV 60d	51.7%	42.1%	56.2%	46.0%	54.4%
IV Rank	61.6%	43.9%	100.0%	80.1%	44.2%
IV Percentile	81.9%	59.9%	100.0%	95.6%	59.9%
Term Structure	-2.9%	-7.2%	-0.2%	-2.1%	-1.7%
VWIV	47.1%	32.4%	53.8%	46.3%	44.9%
Skew 25d	4.8%	-6.8%	14.5%	2.8%	2.9%
Skew 10d	9.8%	-12.0%	33.9%	4.0%	6.2%
Call IV 25d	45.4%	30.6%	55.1%	46.4%	39.2%
Put IV 25d	50.2%	41.5%	64.1%	49.2%	42.0%
Bid-Ask Spread %	45.43	10.67	87.42	47.76	26.44
Gamma HHI	0.52	0.39	0.67	0.67	0.51
Net GEX	379.5K	147.2K	677.5K	677.5K	242.0K
Net DEX	-5.5M	-17.2M	116.5K	-17.2M	-1.1M
Net VEX	-57.1K	-87.4K	-37.0K	-87.4K	-37.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.02	1.97	0.33	1.22
Total Volume	2,596.947	726	21,978	1,082	1,019
Total OI	40,638.737	38,142	44,460	39,236	44,460

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2018-02-01	$16.35	$17.50	58.2%	13.4%	34.5%	80.1%	46.3%	2.8%	-2.1%	677.5K	-17.2M	-87.4K	0.33	47.76	N/A	N/A	812	270	28,587	10,649
2018-02-02	$15.66	$17.50	65.1%	14.7%	38.1%	95.3%	51.2%	7.0%	-6.6%	576.8K	-13.1M	-80.3K	0.22	59.36	N/A	N/A	1,093	237	28,670	10,651
2018-02-05	$15.10	$15.00	69.3%	16.5%	39.6%	100.0%	52.0%	7.9%	-6.3%	486.7K	-9.7M	-73.2K	0.33	87.42	N/A	N/A	1,044	347	27,973	10,656
2018-02-06	$15.35	$15.00	74.4%	16.0%	40.1%	100.0%	53.1%	10.0%	-7.2%	592.8K	-9.9M	-75.1K	0.50	65.53	N/A	N/A	994	493	28,167	10,675
2018-02-07	$15.60	$15.00	54.6%	15.7%	40.6%	62.6%	50.8%	12.8%	-5.7%	591.4K	-12.9M	-79.7K	1.23	48.76	N/A	N/A	441	543	28,290	10,850
2018-02-08	$15.28	$15.00	55.6%	15.9%	40.9%	64.5%	53.8%	5.3%	-6.6%	524.2K	-11.3M	-77.5K	1.97	48.52	N/A	N/A	327	643	28,420	10,851
2018-02-09	$12.83	$15.00	56.4%	16.2%	70.9%	65.9%	53.8%	9.4%	-1.5%	147.2K	116.5K	-44.7K	1.90	66.98	N/A	N/A	1,391	2,636	28,416	10,836
2018-02-12	$12.98	$15.00	52.7%	15.1%	71.0%	59.1%	50.7%	9.4%	-0.9%	174.8K	-65.4K	-42.5K	0.02	33.07	N/A	N/A	21,573	405	28,429	11,119
2018-02-13	$13.28	$15.00	52.2%	15.0%	71.4%	58.0%	52.1%	0.5%	-2.2%	361.6K	-4.1M	-56.7K	0.88	39.27	N/A	N/A	508	448	30,102	11,110
2018-02-14	$13.30	$15.00	50.1%	14.4%	71.4%	54.1%	47.6%	0.4%	-2.5%	359.8K	-3.7M	-56.0K	0.65	40.36	N/A	N/A	556	363	30,105	11,311
2018-02-15	$12.75	$15.00	50.6%	14.5%	72.4%	55.1%	48.4%	-3.1%	-2.0%	270.0K	-2.0M	-50.4K	1.18	42.62	N/A	N/A	488	578	30,256	11,303
2018-02-16	$12.85	$15.00	46.8%	13.4%	72.3%	47.8%	46.0%	-2.9%	-0.2%	282.2K	-1.7M	-49.6K	1.70	70.71	N/A	N/A	383	652	30,319	11,488
2018-02-20	$12.95	$15.00	48.2%	13.8%	68.8%	50.4%	47.7%	1.3%	-2.1%	304.8K	-3.6M	-47.1K	0.37	58.57	N/A	N/A	929	348	28,088	10,054
2018-02-21	$13.00	$12.50	45.6%	13.1%	68.2%	45.5%	32.4%	14.5%	-0.3%	306.8K	-3.6M	-46.8K	1.15	40.61	N/A	N/A	360	413	28,359	10,136
2018-02-22	$12.60	$12.50	47.3%	13.6%	68.1%	48.9%	45.1%	8.2%	-2.1%	245.6K	-2.1M	-41.3K	0.07	10.94	N/A	N/A	6,042	431	28,427	10,185
2018-02-23	$12.55	$12.50	44.7%	12.8%	68.2%	43.9%	34.6%	5.6%	-1.4%	322.4K	-2.5M	-45.4K	0.68	37.95	N/A	N/A	433	293	34,056	10,294
2018-02-26	$12.78	$12.50	46.0%	13.2%	69.1%	46.3%	37.5%	6.3%	-2.1%	372.4K	-3.4M	-46.4K	0.47	27.59	N/A	N/A	640	303	34,087	10,337
2018-02-27	$12.73	$12.50	47.4%	13.6%	69.2%	49.0%	47.6%	-6.8%	-2.6%	370.7K	-3.4M	-46.7K	0.45	10.67	N/A	N/A	624	282	34,103	10,317
2018-02-28	$12.28	$12.50	44.9%	12.9%	69.4%	44.2%	44.9%	2.9%	-1.7%	242.0K	-1.1M	-37.0K	1.22	26.44	N/A	N/A	460	559	34,145	10,315