NGL Options History — June 2018

In June 2018, NGL traded between $11.43 and $13.10. ATM implied volatility averaged 38.9%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 2.7% (HV 20d: 36.2%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2018-06-13: Highest Volume — 3,096 contracts
  • 2018-06-13: Largest IV drop — 23.2% change
  • 2018-06-12: Highest IV Rank — 44.9%
  • 2018-06-19: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.38$11.43$13.10$11.52$12.53
Max Pain$12.38$10.00$12.50$10.00$12.50
ATM IV38.9%34.0%48.2%34.0%37.5%
Expected Move10.6%9.8%11.2%9.8%10.7%
HV 20d36.2%33.2%38.6%38.2%33.2%
HV 60d43.2%41.0%47.5%47.5%41.2%
IV Rank26.8%15.8%44.9%23.7%22.4%
IV Percentile16.8%2.8%65.1%3.2%9.1%
Term Structure4.7%-4.8%10.3%-4.8%7.6%
VWIV36.9%33.2%39.0%36.7%37.5%
Skew 25d5.5%-11.5%33.2%-11.5%4.2%
Skew 10d14.8%-13.4%83.3%-13.4%6.0%
Call IV 25d35.2%27.6%40.6%39.0%30.5%
Put IV 25d40.7%27.5%72.9%27.5%34.8%
Bid-Ask Spread %14.858.3663.7430.7414.99
Gamma HHI0.640.400.890.730.40
Net GEX144.9K82.9K420.6K82.9K96.3K
Net DEX-4.2M-6.0M-1.7M-1.7M-3.9M
Net VEX-24.4K-27.5K-15.7K-15.7K-27.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.231.660.230.81
Total Volume1,6328553,0963,0501,008
Total OI23,228.71419,47626,06919,47625,306

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$11.52$10.0034.0%9.8%38.2%23.7%36.7%-11.5%-4.8%82.9K-1.7M-15.7K0.2330.74N/AN/A2,48256813,2766,200
2018-06-04$11.63$12.5038.3%10.8%36.3%31.8%38.0%0.7%0.8%112.1K-2.9M-19.8K0.2312.14N/AN/A1,88843414,6476,263
2018-06-05$11.45$12.5039.7%10.3%36.5%34.5%36.1%1.4%3.5%101.0K-2.4M-19.8K0.4512.17N/AN/A83938114,7146,295
2018-06-06$11.43$12.5043.4%10.7%36.5%41.4%37.6%0.6%1.1%103.4K-2.4M-20.5K0.4511.52N/AN/A83637814,9866,389
2018-06-07$11.70$12.5044.9%10.4%36.4%38.0%36.7%4.0%3.0%126.8K-3.1M-20.7K0.488.81N/AN/A71434215,1166,350
2018-06-08$11.98$12.5037.2%10.2%36.9%21.8%35.8%10.0%3.5%154.5K-3.7M-21.5K0.579.33N/AN/A58133415,3686,415
2018-06-11$12.38$12.5044.5%10.8%35.4%37.1%37.7%15.0%0.6%196.7K-4.4M-21.8K1.0412.69N/AN/A1,0681,11415,0566,434
2018-06-12$12.80$12.5048.2%10.5%36.3%44.9%36.7%5.1%2.6%144.4K-5.5M-22.3K0.2713.35N/AN/A1,75347415,2787,076
2018-06-13$12.53$12.5037.0%10.6%36.6%21.4%37.1%-7.3%1.8%165.1K-4.7M-24.6K0.8210.33N/AN/A1,6981,39816,1387,160
2018-06-14$12.33$12.5034.3%9.8%35.5%15.8%33.2%1.7%4.6%176.8K-3.6M-27.1K0.2310.94N/AN/A1,73340417,3158,104
2018-06-15$12.50$12.5038.0%10.9%35.5%23.6%36.8%14.3%1.6%420.6K-4.7M-27.3K0.2715.47N/AN/A1,53141917,9378,132
2018-06-18$12.72$12.5036.3%10.4%35.0%19.8%36.3%-7.1%9.0%123.7K-4.8M-26.9K0.2414.22N/AN/A1,25229616,4417,277
2018-06-19$12.78$12.5039.0%11.2%35.0%25.5%39.0%-5.5%6.3%129.0K-5.0M-27.0K0.439.08N/AN/A94140716,5267,263
2018-06-20$12.95$12.5037.9%10.9%35.0%23.2%38.0%33.2%6.3%136.8K-5.3M-27.3K0.298.61N/AN/A96428216,5537,226
2018-06-21$12.60$12.5035.9%10.3%36.8%19.0%36.1%-6.7%9.5%142.4K-4.8M-26.9K0.2563.74N/AN/A1,24031616,9347,239
2018-06-22$13.10$12.5037.4%10.7%35.1%22.2%35.4%23.4%8.9%139.1K-5.8M-27.1K0.6411.60N/AN/A52033516,6827,288
2018-06-25$13.10$12.5038.3%11.0%35.2%24.0%38.3%21.6%10.3%142.5K-6.0M-26.9K1.128.36N/AN/A68276616,8567,295
2018-06-26$12.70$12.5037.9%10.9%37.7%23.3%35.9%5.0%8.0%121.3K-4.7M-27.4K1.1712.48N/AN/A43751116,9387,722
2018-06-27$12.75$12.5038.3%11.0%37.4%24.1%38.3%8.6%7.1%122.4K-4.9M-27.1K1.6610.42N/AN/A54390216,9387,733
2018-06-28$12.50$12.5038.7%11.1%38.6%24.9%38.7%4.5%8.0%104.4K-3.9M-26.8K1.6110.82N/AN/A57592617,0117,926
2018-06-29$12.53$12.5037.5%10.7%33.2%22.4%37.5%4.2%7.6%96.3K-3.9M-27.5K0.8114.99N/AN/A55745117,1038,203