NGL Options History — April 2018

In April 2018, NGL traded between $10.60 and $12.70. ATM implied volatility averaged 43.9%, placing in the 42.4% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 3.4% (HV 20d: 47.3%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2018-04-20: Highest Volume — 1,384 contracts
  • 2018-04-10: Largest IV drop — 43.0% change
  • 2018-04-09: Highest IV Rank — 71.5%
  • 2018-04-05: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.75$10.60$12.70$10.60$12.62
Max Pain$11.19$10.00$12.50$12.50$12.50
ATM IV43.9%27.4%59.3%52.7%33.9%
Expected Move12.7%7.9%16.8%15.1%9.7%
HV 20d47.3%39.6%54.1%53.1%43.3%
HV 60d55.5%54.4%57.6%54.7%57.4%
IV Rank42.4%11.3%71.5%58.9%23.4%
IV Percentile45.6%1.2%95.2%87.3%3.6%
Term Structure1.9%-12.6%15.8%1.4%12.8%
VWIV46.9%29.8%60.2%52.1%33.9%
Skew 25d7.4%-3.4%25.5%15.9%1.7%
Skew 10d17.4%-2.9%102.6%19.7%2.3%
Call IV 25d40.0%30.8%51.5%36.6%34.3%
Put IV 25d47.4%27.4%62.7%52.6%36.0%
Bid-Ask Spread %38.2317.3077.2944.9739.54
Gamma HHI0.450.310.640.420.57
Net GEX30.0K-87.6K144.6K-82.8K96.4K
Net DEX-116.6K-2.9M2.0M1.9M-1.3M
Net VEX-17.1K-19.4K-15.6K-19.2K-16.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.261.070.490.26
Total Volume8144841,3847921,044
Total OI36,619.61916,37544,79144,32217,310

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$10.60$12.5052.7%15.1%53.1%58.9%52.1%15.9%1.4%-82.8K1.9M-19.2K0.4944.97N/AN/A53026234,3549,968
2018-04-03$10.73$12.5055.6%15.9%52.1%64.5%53.9%25.5%-4.5%-80.9K2.0M-18.7K0.4726.16N/AN/A53125234,3569,973
2018-04-04$10.98$12.5051.6%14.8%52.6%57.0%51.6%-0.8%5.1%-55.6K1.2M-19.1K0.3832.51N/AN/A61023234,3579,975
2018-04-05$11.08$12.5054.7%16.8%52.8%62.8%60.2%6.2%-12.6%-41.1K939.6K-19.4K0.4638.85N/AN/A52824334,3129,981
2018-04-06$10.83$10.0054.3%15.5%51.7%62.1%50.6%4.9%-7.4%-78.9K1.6M-18.8K0.4542.05N/AN/A58626334,39210,006
2018-04-09$10.78$10.0059.3%14.4%51.1%71.5%46.6%2.4%0.2%-87.6K1.7M-17.8K0.4046.87N/AN/A57622934,39610,058
2018-04-10$11.28$10.0033.8%13.1%54.0%23.4%51.3%7.8%1.9%-19.1K653.0K-18.7K0.4149.03N/AN/A55622934,45210,065
2018-04-11$11.50$10.0047.8%13.7%54.1%49.8%49.3%7.3%0.2%8.5K259.1K-17.2K0.3968.52N/AN/A70027434,47010,061
2018-04-12$11.38$10.0033.2%9.5%52.1%22.1%44.6%9.9%8.1%18.1K402.8K-16.0K0.4746.12N/AN/A47322334,48810,035
2018-04-13$11.48$10.0038.1%10.9%46.5%31.4%45.9%8.8%2.9%33.5K162.0K-16.2K0.4277.29N/AN/A46219434,48810,025
2018-04-16$12.03$10.0044.1%12.7%40.7%42.8%55.4%8.9%0.7%90.2K-637.6K-17.0K0.6624.88N/AN/A32521334,50010,028
2018-04-17$12.38$10.0045.0%12.9%39.6%44.4%49.5%16.0%-3.6%144.6K-1.2M-17.2K0.5928.01N/AN/A61536234,52710,031
2018-04-18$12.08$10.0047.6%13.6%40.1%49.3%50.6%6.6%-5.5%123.6K-763.5K-15.7K0.4929.84N/AN/A57728434,55010,091
2018-04-19$11.95$10.0035.3%10.1%40.5%26.2%43.7%6.2%1.8%74.6K-163.0K-15.6K0.4246.67N/AN/A49720834,68910,102
2018-04-20$12.70$10.0037.1%10.6%43.2%29.5%39.7%15.4%6.2%84.6K-2.9M-16.6K0.3247.63N/AN/A1,05233234,67710,101
2018-04-23$12.63$12.5042.3%12.1%41.3%39.4%50.1%5.5%6.5%80.9K-1.4M-16.1K0.6617.30N/AN/A39626211,1125,263
2018-04-24$12.03$12.5046.7%13.4%45.5%47.6%44.2%6.3%-0.5%60.6K-812.8K-15.7K1.0724.08N/AN/A23425011,3205,397
2018-04-25$12.53$12.5039.5%11.3%47.0%34.1%39.1%-1.1%6.7%76.0K-1.2M-16.0K0.6420.85N/AN/A38224311,3365,521
2018-04-26$12.68$12.5042.3%12.1%46.0%39.3%42.3%5.2%3.1%85.3K-1.5M-16.5K0.7218.88N/AN/A46233211,5125,518
2018-04-27$12.58$12.5027.4%7.9%46.0%11.3%29.8%-3.4%15.8%100.0K-1.3M-16.2K0.2932.71N/AN/A82824311,6125,603
2018-04-30$12.62$12.5033.9%9.7%43.3%23.4%33.9%1.7%12.8%96.4K-1.3M-16.1K0.2639.54N/AN/A83121311,6575,653