NGL Options History — March 2018

In March 2018, NGL traded between $10.28 and $12.68. ATM implied volatility averaged 47.8%, placing in the 49.8% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 6.0% (HV 20d: 53.8%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2018-03-15: Highest Volume — 2,418 contracts
  • 2018-03-14: Largest IV drop — 39.5% change
  • 2018-03-13: Highest IV Rank — 80.6%
  • 2018-03-19: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.40$10.28$12.68$12.20$10.98
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV47.8%37.3%64.2%44.4%46.7%
Expected Move13.2%11.0%15.3%12.7%13.4%
HV 20d53.8%34.2%69.8%68.6%52.5%
HV 60d53.1%50.2%55.1%54.1%54.6%
IV Rank49.8%29.9%80.6%43.3%47.7%
IV Percentile65.7%17.9%97.2%55.6%65.5%
Term Structure4.1%-0.7%7.3%1.2%4.1%
VWIV44.8%35.2%55.8%44.5%39.2%
Skew 25d4.9%-12.3%18.1%1.8%16.8%
Skew 10d11.4%-17.6%74.6%4.9%74.6%
Call IV 25d43.1%28.7%55.3%40.2%28.7%
Put IV 25d48.0%31.0%66.6%42.0%45.5%
Bid-Ask Spread %38.4612.1383.5127.6412.69
Gamma HHI0.390.280.540.470.37
Net GEX56.0K-88.9K330.2K220.7K-57.9K
Net DEX1.2M-2.6M3.5M-866.0K1.3M
Net VEX-26.0K-42.0K-19.1K-39.5K-19.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.211.770.940.26
Total Volume1,308.8577272,4181,192904
Total OI44,271.42942,42345,42644,76644,172

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$12.20$12.5044.4%12.7%68.6%43.3%44.5%1.8%1.2%220.7K-866.0K-39.5K0.9427.64N/AN/A61457834,16710,599
2018-03-02$12.35$12.5044.7%12.8%69.2%43.9%44.7%8.3%-0.7%248.7K-1.3M-39.1K1.6883.51N/AN/A42571634,26610,629
2018-03-05$12.68$12.5043.7%12.4%69.8%42.0%38.3%8.5%4.1%330.2K-2.6M-42.0K0.9233.95N/AN/A70664934,28210,801
2018-03-06$12.30$12.5044.9%12.1%69.5%44.2%41.7%3.6%4.4%241.9K-1.1M-35.6K1.3759.57N/AN/A41556734,53510,702
2018-03-07$12.23$12.5043.0%12.2%68.8%40.7%41.5%-11.3%4.7%181.4K-336.7K-32.9K0.7548.73N/AN/A41631134,52010,881
2018-03-08$11.75$12.5039.6%11.6%68.7%34.3%45.1%-12.3%4.7%82.4K1.4M-26.0K0.4163.97N/AN/A1,64667434,51610,910
2018-03-09$11.95$12.5037.3%11.3%69.5%29.9%42.8%5.0%5.6%102.6K866.6K-27.2K0.3145.39N/AN/A81525633,34710,762
2018-03-12$12.05$12.5049.8%11.2%34.2%53.5%41.1%3.1%6.9%107.3K814.0K-26.1K0.3451.12N/AN/A69523833,33810,759
2018-03-13$11.80$12.5064.2%11.0%34.3%80.6%44.4%1.0%7.3%52.9K1.7M-21.2K0.3846.77N/AN/A1,10341833,38910,770
2018-03-14$11.32$12.5038.8%11.1%35.0%32.8%44.5%7.1%6.2%-3.3K2.7M-19.4K1.1227.61N/AN/A54160733,55410,736
2018-03-15$10.63$12.5048.7%14.0%39.8%51.5%45.9%3.3%1.8%-54.1K3.5M-19.1K1.4352.41N/AN/A9951,42333,64210,546
2018-03-16$11.50$12.5038.6%11.1%49.3%32.4%52.8%13.7%7.1%44.8K1.7M-22.9K1.7727.63N/AN/A6821,20933,82210,803
2018-03-19$11.13$12.5053.3%15.3%50.0%60.1%50.9%11.0%1.8%27.4K1.3M-23.2K0.4858.18N/AN/A1,05550432,6019,822
2018-03-20$10.93$12.5052.7%15.1%49.8%59.0%55.8%10.8%0.9%-14.9K1.9M-21.7K0.4039.40N/AN/A56722833,06910,084
2018-03-21$11.05$12.5052.3%15.0%50.1%58.2%35.2%5.2%3.5%8.0K1.4M-23.2K0.3812.95N/AN/A1,13743133,06910,104
2018-03-22$10.73$12.5052.5%15.1%50.0%58.7%39.2%18.1%3.6%-44.4K2.2M-22.2K0.2117.03N/AN/A1,52531333,52810,177
2018-03-23$10.43$12.5053.0%15.2%50.5%59.6%41.9%-2.7%5.2%-62.8K2.5M-22.2K0.3027.48N/AN/A98029033,92810,207
2018-03-26$10.28$12.5052.1%14.9%49.5%57.9%52.9%-5.1%6.2%-88.9K2.9M-20.6K0.4113.01N/AN/A69528634,00510,181
2018-03-27$10.35$12.5052.0%14.9%49.8%57.7%51.0%14.3%3.8%-84.2K2.6M-20.6K0.2312.13N/AN/A77718234,09410,174
2018-03-28$10.73$12.5051.6%14.8%51.4%56.9%48.0%2.3%3.0%-61.0K1.8M-21.0K0.3146.39N/AN/A69721634,18410,025
2018-03-29$10.98$12.5046.7%13.4%52.5%47.7%39.2%16.8%4.1%-57.9K1.3M-19.8K0.2612.69N/AN/A71618834,1949,978