NGL Options History — October 2018

In October 2018, NGL traded between $9.45 and $12.26. ATM implied volatility averaged 52.6%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 7.1% (HV 20d: 45.5%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.98.

Notable Days

2018-10-18: Highest Volume — 11,254 contracts
2018-10-19: Largest IV spike — 50.1% change
2018-10-29: Highest IV Rank — 100.0%
2018-10-30: Largest Expected Move — 22.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.13	$9.45	$12.26	$11.82	$9.48
Max Pain	$11.74	$10.00	$12.50	$12.50	$12.50
ATM IV	52.6%	27.1%	77.8%	37.3%	75.4%
Expected Move	16.1%	9.0%	22.3%	10.7%	21.6%
HV 20d	45.5%	39.4%	49.9%	45.1%	45.4%
HV 60d	40.5%	39.2%	42.1%	40.1%	40.7%
IV Rank	53.1%	0.0%	100.0%	20.9%	95.2%
IV Percentile	62.3%	0.0%	100.0%	15.9%	99.2%
Term Structure	-9.9%	-20.6%	5.0%	2.6%	-20.1%
VWIV	58.0%	27.2%	83.5%	37.7%	83.5%
Skew 25d	5.1%	-12.7%	22.3%	10.9%	-1.9%
Skew 10d	5.3%	-14.7%	27.6%	16.4%	-12.6%
Call IV 25d	53.9%	37.6%	83.8%	37.6%	82.4%
Put IV 25d	58.9%	25.3%	87.6%	48.5%	80.5%
Bid-Ask Spread %	34.89	12.89	85.13	17.19	20.40
Gamma HHI	0.61	0.43	0.84	0.79	0.43
Net GEX	177.2K	26.8K	584.5K	304.4K	26.8K
Net DEX	-1.3M	-5.0M	1.9M	-3.4M	1.9M
Net VEX	-25.1K	-30.8K	-15.2K	-30.5K	-15.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.17	2.99	0.30	0.28
Total Volume	1,774.652	874	11,254	2,003	1,053
Total OI	21,450.565	18,028	28,254	21,423	19,409

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
2018-10-01	$11.82	$12.50	37.3%	10.7%	45.1%	20.9%	37.7%	10.9%	2.6%	304.4K	-3.4M	-30.5K	0.30	17.19	N/A	N/A	1,540	463	16,227	5,196
2018-10-02	$11.54	$12.50	31.5%	9.0%	45.9%	8.7%	27.2%	-12.7%	-2.1%	259.9K	-2.5M	-28.9K	0.70	34.46	N/A	N/A	652	457	16,259	5,195
2018-10-03	$11.63	$12.50	37.7%	10.8%	46.0%	21.9%	38.1%	-8.6%	5.0%	274.7K	-2.7M	-29.0K	0.54	20.21	N/A	N/A	780	423	16,361	5,205
2018-10-04	$11.20	$12.50	27.3%	14.3%	47.7%	0.0%	48.0%	1.0%	-10.4%	186.6K	-1.3M	-26.1K	0.66	32.74	N/A	N/A	766	503	16,429	5,209
2018-10-05	$11.17	$10.00	27.1%	14.9%	47.6%	0.0%	50.4%	-0.7%	-12.6%	177.9K	-1.2M	-25.9K	0.69	12.89	N/A	N/A	617	425	16,362	5,214
2018-10-08	$11.20	$10.00	31.9%	15.6%	47.2%	10.2%	52.2%	3.6%	-10.9%	121.6K	-608.0K	-23.6K	1.70	42.78	N/A	N/A	914	1,556	16,488	5,227
2018-10-09	$11.43	$10.00	41.5%	14.7%	47.8%	30.4%	51.8%	7.9%	-7.3%	206.0K	-1.4M	-27.7K	0.79	18.09	N/A	N/A	488	386	16,893	6,287
2018-10-10	$11.50	$10.00	45.7%	13.1%	47.0%	39.4%	51.4%	3.9%	-11.8%	233.9K	-2.0M	-28.3K	1.01	78.72	N/A	N/A	458	464	16,897	6,292
2018-10-11	$11.46	$10.00	52.8%	15.1%	44.1%	54.3%	58.5%	21.1%	-6.7%	217.6K	-1.9M	-28.5K	0.98	85.13	N/A	N/A	468	459	16,897	6,250
2018-10-12	$11.50	$10.00	52.9%	15.2%	43.1%	54.6%	52.5%	9.0%	-7.7%	224.9K	-1.8M	-27.2K	1.02	49.30	N/A	N/A	443	451	16,950	6,245
2018-10-15	$11.73	$10.00	38.9%	11.1%	39.4%	24.9%	51.0%	12.6%	0.0%	336.9K	-3.3M	-27.5K	1.30	41.52	N/A	N/A	473	613	16,995	6,240
2018-10-16	$12.26	$12.50	52.3%	15.0%	40.8%	53.2%	54.2%	4.1%	-14.2%	584.5K	-5.0M	-29.4K	0.61	17.71	N/A	N/A	981	596	17,042	6,330
2018-10-17	$11.64	$12.50	50.9%	14.6%	45.2%	50.3%	61.8%	11.7%	-6.9%	95.3K	-1.2M	-25.5K	1.85	36.56	N/A	N/A	325	601	16,808	6,478
2018-10-18	$11.43	$12.50	44.6%	12.8%	45.7%	36.9%	44.1%	22.3%	-0.4%	125.2K	-1.5M	-25.9K	0.17	23.68	N/A	N/A	9,649	1,605	17,840	6,480
2018-10-19	$11.64	$12.50	66.9%	19.2%	45.8%	84.1%	62.0%	1.6%	-13.2%	185.5K	-2.7M	-30.8K	0.53	20.37	N/A	N/A	2,053	1,094	21,524	6,730
2018-10-22	$11.54	$12.50	60.7%	17.4%	44.8%	71.1%	62.9%	10.1%	-11.4%	135.2K	-2.5M	-27.3K	2.99	23.91	N/A	N/A	359	1,072	12,867	5,165
2018-10-23	$11.45	$12.50	70.7%	20.3%	44.9%	92.1%	81.1%	12.8%	-9.3%	125.4K	-2.2M	-26.9K	2.78	25.76	N/A	N/A	296	823	12,942	5,246
2018-10-24	$10.83	$12.50	73.0%	20.9%	48.7%	96.9%	66.0%	6.1%	-19.7%	90.9K	-567.0K	-22.8K	0.85	26.58	N/A	N/A	700	597	12,937	5,091
2018-10-25	$10.50	$12.50	67.2%	19.3%	49.9%	84.8%	63.5%	-8.0%	-15.3%	67.1K	266.0K	-21.0K	0.99	51.49	N/A	N/A	618	612	13,247	5,262
2018-10-26	$9.96	$12.50	69.9%	20.0%	44.1%	90.4%	76.2%	9.7%	-16.6%	37.0K	1.3M	-17.9K	0.64	56.50	N/A	N/A	751	477	13,268	5,262
2018-10-29	$9.45	$12.50	76.2%	21.8%	45.3%	100.0%	78.1%	-0.7%	-18.4%	29.2K	1.7M	-15.8K	0.49	27.78	N/A	N/A	1,259	619	13,551	5,258
2018-10-30	$9.58	$12.50	77.8%	22.3%	45.9%	100.0%	82.1%	0.4%	-20.6%	30.0K	1.8M	-16.1K	0.71	38.80	N/A	N/A	514	364	13,998	5,310
2018-10-31	$9.48	$12.50	75.4%	21.6%	45.4%	95.2%	83.5%	-1.9%	-20.1%	26.8K	1.9M	-15.2K	0.28	20.40	N/A	N/A	821	232	14,085	5,324