NGL Options History — May 2018

In May 2018, NGL traded between $10.45 and $12.63. ATM implied volatility averaged 48.2%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 2.9% (HV 20d: 45.4%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.44.

Notable Days

  • 2018-05-31: Highest Volume — 2,686 contracts
  • 2018-05-31: Largest IV drop — 40.9% change
  • 2018-05-30: Highest IV Rank — 79.5%
  • 2018-05-30: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.08$10.45$12.63$12.63$10.85
Max Pain$11.48$10.00$12.50$12.50$10.00
ATM IV48.2%35.5%63.6%40.9%37.6%
Expected Move14.3%10.2%18.2%11.7%10.8%
HV 20d45.4%32.5%52.9%43.3%32.5%
HV 60d48.9%45.8%58.2%56.8%45.8%
IV Rank50.6%26.5%79.5%36.7%30.4%
IV Percentile60.4%5.2%96.8%23.4%7.1%
Term Structure-6.6%-17.6%5.6%5.6%4.2%
VWIV47.3%34.9%63.7%40.8%38.1%
Skew 25d2.3%-11.1%15.3%-3.1%-11.1%
Skew 10d14.0%-19.1%71.3%-3.8%38.3%
Call IV 25d48.0%37.9%64.4%38.9%51.4%
Put IV 25d50.3%30.2%63.9%35.9%40.2%
Bid-Ask Spread %18.2212.1038.7415.2514.30
Gamma HHI0.440.370.580.550.58
Net GEX32.3K10.9K88.2K88.2K38.8K
Net DEX167.9K-1.3M704.8K-1.3M45.1K
Net VEX-12.4K-16.2K-10.6K-16.2K-11.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.210.990.230.37
Total Volume860.6364692,6869332,686
Total OI17,578.04516,61818,83317,30618,833

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$12.63$12.5040.9%11.7%43.3%36.7%40.8%-3.1%5.6%88.2K-1.3M-16.2K0.2315.25N/AN/A76017311,6485,658
2018-05-02$11.80$12.5035.5%10.2%50.6%26.5%42.6%-9.8%3.9%55.2K-304.6K-14.6K0.4814.82N/AN/A37918211,6655,668
2018-05-03$11.45$12.5038.1%13.2%51.9%31.4%45.9%4.0%-4.5%47.4K-33.0K-13.9K0.5218.93N/AN/A41621511,8075,695
2018-05-04$11.08$12.5036.6%14.6%52.7%28.6%48.2%5.1%-7.4%37.7K308.0K-13.3K0.4813.16N/AN/A52625211,7745,755
2018-05-07$11.25$12.5042.8%14.8%52.9%40.3%45.9%8.0%-7.4%40.9K239.9K-13.5K0.2114.41N/AN/A66613811,8655,866
2018-05-08$11.23$12.5047.7%14.8%50.3%49.5%48.1%6.8%-6.5%41.5K269.8K-13.4K0.2615.04N/AN/A59315211,8755,873
2018-05-09$11.50$12.5044.5%12.7%50.6%43.4%45.2%0.9%-5.8%59.0K-163.1K-13.8K0.4038.74N/AN/A58823411,8955,785
2018-05-10$11.35$12.5046.1%13.2%50.7%46.5%46.8%6.5%-4.3%49.9K-49.5K-13.4K0.3831.33N/AN/A60522811,9225,763
2018-05-11$10.95$12.5048.3%13.8%52.1%50.6%37.4%1.4%-5.5%23.2K429.2K-12.1K0.3915.74N/AN/A57122211,8965,784
2018-05-14$10.88$12.5049.3%14.1%48.8%52.5%34.9%10.1%-5.1%14.9K535.7K-11.3K0.4618.28N/AN/A44120311,8805,764
2018-05-15$11.23$12.5051.8%14.9%49.0%57.3%48.0%4.7%-8.9%27.6K190.4K-12.1K0.2434.09N/AN/A80319311,8115,797
2018-05-16$10.93$12.5045.9%13.2%49.2%46.2%46.3%-1.8%-4.6%20.8K184.5K-11.5K0.2419.38N/AN/A67916512,1555,799
2018-05-17$10.90$12.5049.2%14.1%49.1%52.4%47.3%2.7%-6.1%18.6K186.1K-11.2K0.2513.25N/AN/A67717012,1795,783
2018-05-18$10.78$10.0053.9%15.5%42.6%61.3%52.8%6.1%-10.9%15.9K285.4K-11.1K0.5218.75N/AN/A42922112,2635,802
2018-05-21$10.83$10.0054.3%15.6%42.9%62.0%47.4%11.4%-12.3%18.4K465.3K-10.6K0.9917.70N/AN/A23723510,8805,738
2018-05-22$10.90$10.0055.9%16.0%40.3%65.0%51.4%4.9%-10.5%22.0K289.7K-11.3K0.6014.43N/AN/A34220611,0185,785
2018-05-23$10.80$10.0052.1%14.9%36.5%57.8%49.5%-0.7%-7.0%21.0K347.0K-11.8K0.7112.10N/AN/A27519411,1755,837
2018-05-24$10.45$10.0052.3%15.0%36.8%58.3%55.2%-7.6%-7.9%10.9K704.8K-10.8K0.7915.64N/AN/A34927411,2845,865
2018-05-25$10.65$10.0054.4%15.6%38.2%62.2%46.1%15.3%-11.4%16.2K534.0K-11.4K0.4112.52N/AN/A56723111,3345,957
2018-05-29$10.58$10.0060.9%17.4%37.9%74.4%58.7%-3.6%-16.1%16.4K479.9K-11.6K0.5119.35N/AN/A74638211,6006,002
2018-05-30$10.83$10.0063.6%18.2%39.5%79.5%63.7%-0.1%-17.6%25.7K29.9K-12.8K0.2613.52N/AN/A1,05927011,8876,095
2018-05-31$10.85$10.0037.6%10.8%32.5%30.4%38.1%-11.1%4.2%38.8K45.1K-11.7K0.3714.30N/AN/A1,96572112,7106,123