NGL Options History — July 2018

In July 2018, NGL traded between $11.90 and $12.78. ATM implied volatility averaged 45.4%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 13.7% (HV 20d: 31.7%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2018-07-18: Highest Volume — 4,680 contracts
  • 2018-07-11: Largest IV spike — 20.9% change
  • 2018-07-30: Highest IV Rank — 59.9%
  • 2018-07-30: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.36$11.90$12.78$12.65$12.38
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV45.4%35.7%55.4%39.0%47.7%
Expected Move13.5%11.2%15.9%11.2%13.7%
HV 20d31.7%27.4%40.2%33.2%40.2%
HV 60d38.1%35.8%41.2%40.9%36.2%
IV Rank39.0%18.7%59.9%25.5%43.9%
IV Percentile50.5%4.4%90.1%18.3%63.9%
Term Structure-5.1%-14.3%9.0%9.0%-5.9%
VWIV44.1%32.7%55.5%39.0%47.8%
Skew 25d8.8%-15.4%73.1%73.1%0.9%
Skew 10d15.3%-23.0%129.5%129.5%4.0%
Call IV 25d39.4%30.9%52.5%31.6%44.8%
Put IV 25d48.2%33.9%104.7%104.7%45.6%
Bid-Ask Spread %29.228.7881.2915.4564.81
Gamma HHI0.560.380.710.380.65
Net GEX133.0K93.4K224.3K93.4K164.2K
Net DEX-4.0M-7.1M-1.7M-4.0M-4.5M
Net VEX-27.9K-32.2K-21.9K-27.0K-29.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.091.411.410.53
Total Volume1,808.6674944,6801,3861,364
Total OI22,250.76213,70528,01225,37915,144

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$12.65$12.5039.0%11.2%33.2%25.5%39.0%73.1%9.0%93.4K-4.0M-27.0K1.4115.45N/AN/A57481217,1068,273
2018-07-03$12.40$12.5039.4%11.3%33.6%26.4%39.4%2.9%8.1%100.5K-3.5M-26.4K0.7115.57N/AN/A55339117,0498,039
2018-07-05$12.45$12.5035.7%13.6%33.5%18.7%32.7%20.2%-8.2%102.3K-3.4M-25.4K0.3862.97N/AN/A67725617,0358,065
2018-07-06$12.63$12.5037.6%13.6%33.0%22.7%35.6%19.6%-7.5%103.0K-4.1M-25.1K0.6279.80N/AN/A79348916,9948,075
2018-07-09$12.38$12.5038.7%13.8%33.2%25.0%32.9%15.2%-6.6%106.3K-3.2M-23.9K0.4720.94N/AN/A94444516,8777,894
2018-07-10$12.23$12.5037.6%13.2%31.3%22.7%48.5%2.7%-4.9%102.2K-2.5M-23.2K0.9127.21N/AN/A41938016,9968,013
2018-07-11$12.00$12.5045.5%13.0%29.3%39.3%47.3%1.4%-5.0%96.1K-1.7M-21.9K0.8712.44N/AN/A46039917,0238,071
2018-07-12$12.30$12.5047.2%13.5%30.0%42.7%43.9%17.0%-5.7%105.9K-2.9M-23.1K0.5653.01N/AN/A61434216,9878,132
2018-07-13$12.45$12.5047.4%13.6%29.8%43.2%36.0%16.0%-5.1%113.4K-3.2M-23.4K0.1018.97N/AN/A3,63937317,0038,123
2018-07-16$12.28$12.5047.7%13.7%29.8%43.9%41.7%13.3%-6.3%147.9K-4.2M-31.8K0.1012.75N/AN/A3,43235719,8578,128
2018-07-17$12.18$12.5046.9%13.5%29.1%42.2%47.1%10.4%-5.5%145.5K-3.6M-30.5K0.0917.38N/AN/A3,45732819,8728,140
2018-07-18$12.53$12.5046.2%13.2%31.0%40.6%41.7%15.8%-4.4%166.1K-5.4M-31.3K0.2817.14N/AN/A3,6471,03319,8358,130
2018-07-19$12.73$12.5049.3%14.1%31.1%47.1%43.7%3.8%-6.6%224.3K-7.1M-31.1K0.149.06N/AN/A3,70951719,7887,691
2018-07-20$12.33$12.5047.7%13.7%31.7%43.8%47.9%-15.4%-5.9%135.6K-3.0M-29.7K0.5810.04N/AN/A1,29975019,7957,638
2018-07-23$12.30$12.5050.8%14.6%27.9%50.4%50.8%-10.3%-8.7%139.1K-4.5M-30.1K0.4252.42N/AN/A1,31455510,8282,877
2018-07-24$12.25$12.5049.8%14.3%27.9%48.2%49.9%-3.6%-6.2%146.1K-4.5M-31.5K0.5310.28N/AN/A57130511,5633,208
2018-07-25$12.53$12.5048.8%14.0%27.4%46.2%48.9%17.2%-6.2%153.7K-5.3M-31.5K0.728.78N/AN/A28820611,4423,156
2018-07-26$12.78$12.5049.2%14.1%28.3%47.1%49.2%7.8%-5.6%163.7K-5.9M-32.2K0.6513.27N/AN/A31220411,4973,197
2018-07-27$11.90$12.5045.8%13.1%37.5%39.9%45.7%-9.8%-6.4%144.7K-3.7M-28.9K0.6481.29N/AN/A38824811,6243,204
2018-07-30$11.90$12.5055.4%15.9%37.5%59.9%55.5%-13.4%-14.3%138.8K-3.5M-28.5K0.3010.09N/AN/A87426411,5793,318
2018-07-31$12.38$12.5047.7%13.7%40.2%43.9%47.8%0.9%-5.9%164.2K-4.5M-29.7K0.5364.81N/AN/A89247211,8023,342