NGL Options History — September 2018

In September 2018, NGL traded between $10.70 and $11.83. ATM implied volatility averaged 37.3%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 4.8% (HV 20d: 32.5%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.63.

Notable Days

  • 2018-09-04: Highest Volume — 4,815 contracts
  • 2018-09-24: Largest IV spike — 39.6% change
  • 2018-09-24: Highest IV Rank — 39.6%
  • 2018-09-24: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.32$10.70$11.83$11.53$11.55
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV37.3%31.1%46.1%32.9%41.3%
Expected Move10.7%8.9%13.2%9.4%11.8%
HV 20d32.5%23.2%46.7%32.7%46.7%
HV 60d36.0%34.4%39.9%35.9%39.9%
IV Rank21.0%7.8%39.6%12.7%29.6%
IV Percentile19.4%0.8%57.1%1.6%37.3%
Term Structure3.6%-2.8%20.0%-2.8%0.6%
VWIV38.2%32.1%44.9%32.3%41.8%
Skew 25d1.6%-13.5%11.5%-13.5%6.4%
Skew 10d10.7%-13.2%45.1%-13.2%12.4%
Call IV 25d39.0%33.3%47.3%39.1%41.5%
Put IV 25d40.6%25.6%47.9%25.6%47.9%
Bid-Ask Spread %22.9313.8868.2516.9917.19
Gamma HHI0.630.450.740.450.73
Net GEX145.1K90.6K240.0K112.1K219.8K
Net DEX-1.5M-3.3M27.8K-1.4M-2.3M
Net VEX-27.2K-31.9K-23.0K-27.4K-28.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.051.310.050.17
Total Volume1,324.7374414,8154,8152,590
Total OI18,834.10516,12220,60819,59420,608

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$11.53$12.5032.9%9.4%32.7%12.7%32.3%-13.5%-2.8%112.1K-1.4M-27.4K0.0516.99N/AN/A4,56924615,0844,510
2018-09-05$11.55$12.5031.1%8.9%28.4%7.8%32.1%-5.1%3.3%95.5K-1.4M-27.1K0.4114.56N/AN/A59424611,5744,661
2018-09-06$11.38$12.5038.5%10.8%27.4%23.6%38.7%3.9%-0.9%90.6K-962.6K-26.0K0.4318.69N/AN/A59225311,4614,661
2018-09-07$11.45$12.5035.7%10.6%27.5%17.6%37.5%5.9%1.0%93.1K-1.0M-25.7K0.5818.96N/AN/A40023311,5434,667
2018-09-10$11.63$12.5040.2%10.0%23.2%27.2%35.8%2.5%2.4%106.2K-1.5M-26.3K1.0322.60N/AN/A21722411,6534,657
2018-09-11$11.70$12.5032.6%10.5%23.5%11.0%36.8%9.4%1.3%109.1K-1.7M-27.3K0.4519.33N/AN/A70531411,7604,652
2018-09-12$11.40$12.5031.3%9.0%23.9%8.3%36.2%4.5%-0.2%117.2K-1.8M-27.0K0.5126.66N/AN/A64832812,0224,752
2018-09-13$10.92$12.5035.1%10.1%27.0%16.4%38.8%3.2%11.1%93.5K-562.8K-24.2K0.2668.25N/AN/A2,39661812,3224,780
2018-09-14$11.23$12.5042.2%12.1%29.8%31.4%42.2%2.3%-0.0%168.6K-1.2M-28.7K1.3121.29N/AN/A35546615,3404,998
2018-09-17$11.83$12.5038.5%11.0%35.3%23.6%38.7%11.5%-0.6%240.0K-3.3M-31.9K0.5520.24N/AN/A68837515,3565,028
2018-09-18$11.48$12.5033.6%9.6%36.3%13.2%37.0%3.8%0.7%214.4K-2.6M-30.6K0.6826.08N/AN/A68847015,4765,028
2018-09-19$11.40$12.5040.2%11.5%36.2%27.2%41.4%0.2%0.5%185.8K-1.9M-29.1K0.6026.63N/AN/A62737415,4765,042
2018-09-20$11.43$12.5040.9%11.7%36.4%28.6%37.0%2.2%-1.0%198.5K-2.3M-29.0K0.9919.65N/AN/A54053715,7654,520
2018-09-21$11.28$12.5033.0%9.5%36.4%11.8%35.9%-0.8%-0.9%186.3K-1.9M-28.6K0.6613.88N/AN/A52834615,7804,732
2018-09-24$10.98$12.5046.1%13.2%36.4%39.6%41.4%5.9%6.0%154.2K-1.2M-25.6K0.9417.75N/AN/A50647414,9194,698
2018-09-25$10.95$12.5037.3%10.7%36.3%21.1%41.1%-2.5%19.8%140.9K-804.3K-25.3K0.6830.04N/AN/A49733715,0664,905
2018-09-26$10.70$12.5037.0%10.6%36.8%20.3%37.1%-2.6%20.0%127.1K-384.1K-24.3K0.9018.16N/AN/A45841215,1554,945
2018-09-27$10.70$12.5041.0%11.8%36.7%29.0%44.9%-5.8%7.3%103.7K27.8K-23.0K0.7418.76N/AN/A75656315,1825,070
2018-09-28$11.55$12.5041.3%11.8%46.7%29.6%41.8%6.4%0.6%219.8K-2.3M-28.8K0.1717.19N/AN/A2,21637415,4305,178