NGL Options History — November 2018

In November 2018, NGL traded between $9.34 and $11.01. ATM implied volatility averaged 53.6%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 3.2% (HV 20d: 50.4%). 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 4 of 21 days. Put/call ratio averaged 1.71.

Notable Days

  • 2018-11-07: Highest Volume — 3,380 contracts
  • 2018-11-07: Largest IV drop — 36.8% change
  • 2018-11-02: Highest IV Rank — 100.0%
  • 2018-11-02: Largest Expected Move — 22.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.86$9.34$11.01$9.70$9.34
Max Pain$10.24$10.00$12.50$12.50$10.00
ATM IV53.6%40.5%88.0%75.3%45.3%
Expected Move13.7%11.6%22.4%21.6%13.0%
HV 20d50.4%45.7%56.2%45.7%47.3%
HV 60d44.1%40.8%46.3%40.8%46.3%
IV Rank45.1%22.0%100.0%95.0%29.8%
IV Percentile65.9%36.9%100.0%98.8%55.6%
Term Structure-3.1%-22.9%2.4%-22.9%-0.1%
VWIV48.9%40.1%88.0%78.3%45.2%
Skew 25d0.4%-11.4%18.9%1.4%-2.7%
Skew 10d3.4%-18.4%31.1%-7.0%-0.3%
Call IV 25d46.2%35.3%83.5%83.5%44.4%
Put IV 25d46.5%35.5%88.1%84.8%41.8%
Bid-Ask Spread %27.3910.8790.1123.8686.28
Gamma HHI0.550.450.660.450.56
Net GEX60.0K32.5K147.6K32.5K44.7K
Net DEX372.9K-2.6M1.8M1.7M790.0K
Net VEX-16.4K-23.5K-13.3K-15.6K-14.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.226.120.286.12
Total Volume1,443.5248253,3801,1691,374
Total OI20,309.61917,07723,03219,81219,525

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$9.70$12.5075.3%21.6%45.7%95.0%78.3%1.4%-22.9%32.5K1.7M-15.6K0.2823.86N/AN/A91125814,4885,324
2018-11-02$10.00$12.5078.2%22.4%47.6%100.0%88.0%18.9%-19.5%44.0K1.2M-17.9K0.2716.15N/AN/A87523614,5335,364
2018-11-05$10.30$10.0088.0%16.0%49.1%100.0%59.6%8.2%-4.7%64.8K282.9K-19.9K0.5518.87N/AN/A99154214,6715,379
2018-11-06$10.34$10.0086.9%17.0%48.4%98.1%62.0%3.6%-7.7%54.3K489.7K-20.0K0.2720.62N/AN/A1,71847114,6905,672
2018-11-07$11.01$10.0054.9%13.6%54.0%45.6%46.6%1.6%-1.5%147.6K-2.6M-23.5K0.4255.11N/AN/A2,3771,00315,8505,948
2018-11-08$10.53$10.0054.8%11.7%56.0%45.6%44.1%-4.0%2.4%85.2K-988.3K-20.3K0.2214.83N/AN/A2,02644015,8635,614
2018-11-09$10.32$10.0050.0%12.0%56.2%37.7%42.8%-4.8%0.3%77.3K-448.7K-19.2K0.2211.21N/AN/A1,72137117,1395,529
2018-11-12$10.17$10.0055.9%12.9%55.5%47.3%44.5%-6.0%-2.1%63.8K-237.5K-18.9K0.4912.44N/AN/A82040517,3405,509
2018-11-13$9.78$10.0061.8%12.6%53.1%57.0%43.3%-10.7%-1.5%35.3K1.1M-15.7K0.9710.90N/AN/A49347717,4595,573
2018-11-14$9.56$10.0044.4%12.7%51.1%28.3%44.5%-11.4%-1.4%35.6K1.2M-14.6K0.4113.72N/AN/A81133317,5024,981
2018-11-15$9.60$10.0042.9%12.3%51.3%26.0%41.8%0.3%-0.1%34.2K1.6M-14.3K2.5113.28N/AN/A29975117,5154,981
2018-11-16$9.62$10.0044.7%12.8%50.4%29.0%40.1%0.7%-2.4%64.1K1.8M-14.3K1.0818.52N/AN/A52456417,5285,095
2018-11-19$9.71$10.0042.0%12.0%50.9%24.5%42.1%0.1%-0.8%71.5K-86.5K-14.3K1.1913.68N/AN/A48257313,7693,308
2018-11-20$9.36$10.0043.6%12.5%51.8%27.1%41.4%-3.3%-0.3%56.5K394.4K-13.3K2.4412.78N/AN/A33782214,0333,468
2018-11-21$9.68$10.0042.1%12.1%51.1%24.6%42.1%-0.3%-0.4%67.7K35.6K-14.8K2.7414.89N/AN/A4081,11614,0983,697
2018-11-23$9.45$10.0040.5%11.6%50.7%22.0%40.2%-0.8%1.7%50.8K492.1K-14.0K3.6876.37N/AN/A2951,08714,3484,121
2018-11-26$9.81$10.0044.2%12.7%49.6%28.0%44.2%1.7%-2.0%67.3K36.0K-14.8K2.5211.63N/AN/A3991,00714,4734,123
2018-11-27$9.60$10.0041.9%12.0%46.4%24.3%41.9%-2.2%1.1%51.6K508.3K-14.7K4.6910.87N/AN/A2191,02714,7064,503
2018-11-28$9.57$10.0043.7%12.5%46.2%27.4%49.8%7.7%-1.4%52.6K407.9K-15.1K2.4428.97N/AN/A26965714,8694,506
2018-11-29$9.69$10.0044.9%12.9%46.2%29.2%45.3%9.9%-2.6%57.7K155.6K-15.7K2.3190.11N/AN/A24957614,9024,506
2018-11-30$9.34$10.0045.3%13.0%47.3%29.8%45.2%-2.7%-0.1%44.7K790.0K-14.1K6.1286.28N/AN/A1931,18114,9444,581