NGL Options History — August 2018

In August 2018, NGL traded between $11.43 and $13.23. ATM implied volatility averaged 38.8%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 2.7% (HV 20d: 41.5%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.97.

Notable Days

2018-08-16: Highest Volume — 7,299 contracts
2018-08-07: Largest IV drop — 30.9% change
2018-08-06: Highest IV Rank — 66.9%
2018-08-01: Largest Expected Move — 15.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.67	$11.43	$13.23	$12.55	$11.43
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	38.8%	30.2%	58.7%	53.8%	30.2%
Expected Move	10.9%	8.7%	15.4%	15.4%	8.7%
HV 20d	41.5%	32.3%	46.4%	39.8%	34.4%
HV 60d	36.8%	35.4%	37.6%	36.2%	36.2%
IV Rank	25.1%	7.2%	66.9%	56.7%	7.2%
IV Percentile	21.5%	0.8%	93.7%	86.5%	0.8%
Term Structure	-0.5%	-12.6%	2.9%	-11.0%	0.3%
VWIV	36.8%	25.6%	54.0%	54.0%	34.4%
Skew 25d	2.0%	-13.9%	32.7%	17.3%	-13.9%
Skew 10d	3.9%	-16.5%	73.3%	28.9%	-13.7%
Call IV 25d	35.2%	23.8%	43.2%	43.2%	36.3%
Put IV 25d	37.2%	22.5%	69.4%	60.5%	22.5%
Bid-Ask Spread %	19.14	8.26	66.74	11.49	15.91
Gamma HHI	0.59	0.44	0.83	0.64	0.51
Net GEX	292.6K	91.8K	586.5K	172.3K	91.8K
Net DEX	-7.1M	-12.9M	-1.2M	-5.3M	-1.2M
Net VEX	-32.0K	-34.9K	-26.9K	-31.9K	-26.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.06	2.63	2.32	0.06
Total Volume	1,685.739	490	7,299	984	4,793
Total OI	18,124.261	15,387	19,870	15,600	16,110

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2018-08-01	$12.55	$12.50	53.8%	15.4%	39.8%	56.7%	54.0%	17.3%	-11.0%	172.3K	-5.3M	-31.9K	2.32	11.49	N/A	N/A	296	688	12,048	3,552
2018-08-02	$12.88	$12.50	52.6%	15.1%	40.8%	54.1%	52.6%	5.7%	-10.6%	198.7K	-6.2M	-31.7K	0.37	10.86	N/A	N/A	495	184	12,075	3,312
2018-08-03	$12.63	$12.50	53.0%	15.2%	41.2%	54.9%	53.4%	0.2%	-12.6%	203.0K	-5.7M	-31.6K	0.35	12.71	N/A	N/A	390	135	12,261	3,336
2018-08-06	$12.98	$12.50	58.7%	12.5%	41.6%	66.9%	35.1%	-5.6%	-1.9%	212.6K	-6.6M	-31.0K	0.17	14.36	N/A	N/A	2,055	353	12,161	3,344
2018-08-07	$12.35	$12.50	40.5%	10.7%	45.3%	28.8%	37.0%	1.3%	1.1%	237.7K	-5.1M	-31.0K	0.10	9.71	N/A	N/A	4,087	423	12,567	3,506
2018-08-08	$12.58	$12.50	38.0%	10.9%	45.1%	23.5%	36.6%	7.0%	-0.6%	569.7K	-8.3M	-34.6K	0.56	16.94	N/A	N/A	524	296	16,266	3,570
2018-08-09	$12.63	$12.50	36.0%	10.4%	44.4%	19.3%	34.0%	-4.9%	2.3%	586.5K	-8.8M	-33.8K	2.41	12.78	N/A	N/A	145	350	16,126	3,567
2018-08-10	$13.15	$12.50	36.4%	10.6%	46.4%	20.1%	25.6%	2.4%	0.9%	464.4K	-12.0M	-33.1K	2.10	63.60	N/A	N/A	215	451	16,158	3,564
2018-08-13	$13.00	$12.50	44.4%	10.7%	46.3%	37.0%	34.8%	-1.1%	1.2%	522.4K	-11.3M	-31.7K	0.72	8.26	N/A	N/A	542	389	16,184	3,446
2018-08-14	$13.13	$12.50	32.2%	10.9%	46.1%	11.2%	37.2%	0.8%	-0.5%	340.8K	-12.9M	-30.1K	1.44	17.35	N/A	N/A	339	487	16,013	3,532
2018-08-15	$12.95	$12.50	37.3%	10.7%	45.6%	22.0%	36.6%	32.7%	0.9%	538.7K	-10.7M	-30.6K	0.74	12.33	N/A	N/A	658	490	16,185	3,520
2018-08-16	$12.97	$12.50	37.5%	10.7%	45.3%	22.4%	36.5%	-2.1%	1.3%	285.3K	-12.1M	-29.0K	0.09	11.38	N/A	N/A	6,701	598	15,912	3,540
2018-08-17	$13.23	$12.50	34.7%	10.0%	44.0%	16.6%	33.8%	1.8%	2.5%	286.4K	-10.2M	-34.9K	0.67	13.78	N/A	N/A	381	256	16,318	3,552
2018-08-20	$13.23	$12.50	33.2%	9.5%	44.0%	13.4%	33.0%	-0.5%	2.9%	293.2K	-7.4M	-33.5K	0.99	18.87	N/A	N/A	285	283	14,330	2,800
2018-08-21	$13.05	$12.50	34.8%	10.0%	44.3%	16.9%	34.0%	10.2%	1.5%	283.1K	-7.1M	-33.9K	0.51	18.95	N/A	N/A	445	229	14,373	2,848
2018-08-22	$12.93	$12.50	33.2%	9.5%	43.9%	13.5%	33.0%	6.6%	2.8%	274.3K	-6.5M	-33.4K	2.53	15.92	N/A	N/A	282	714	14,552	2,936
2018-08-23	$12.80	$12.50	34.8%	10.0%	43.5%	16.8%	34.4%	5.7%	1.4%	245.8K	-5.9M	-33.7K	2.63	12.63	N/A	N/A	135	355	14,550	3,535
2018-08-24	$12.45	$12.50	33.4%	9.6%	36.2%	13.7%	33.3%	1.1%	1.7%	212.3K	-4.8M	-32.2K	0.88	14.03	N/A	N/A	399	353	14,529	3,639
2018-08-27	$12.30	$12.50	33.3%	9.6%	36.5%	13.7%	33.8%	-9.9%	2.2%	199.3K	-4.3M	-31.3K	1.09	31.46	N/A	N/A	605	660	14,701	3,842
2018-08-28	$12.28	$12.50	33.9%	9.7%	33.7%	14.9%	34.0%	-1.6%	-0.0%	184.0K	-3.8M	-33.1K	1.16	66.74	N/A	N/A	475	550	15,092	4,302
2018-08-29	$12.10	$12.50	34.4%	9.9%	33.6%	16.0%	34.7%	-1.9%	1.5%	173.1K	-3.4M	-32.0K	0.34	16.73	N/A	N/A	760	256	15,140	4,287
2018-08-30	$11.90	$12.50	35.5%	10.2%	32.3%	18.2%	35.5%	-5.5%	1.2%	153.8K	-2.7M	-31.4K	0.08	13.45	N/A	N/A	4,878	387	15,308	4,369
2018-08-31	$11.43	$12.50	30.2%	8.7%	34.4%	7.2%	34.4%	-13.9%	0.3%	91.8K	-1.2M	-26.9K	0.06	15.91	N/A	N/A	4,529	264	11,505	4,605