NGL Options History — December 2018

In December 2018, NGL traded between $9.00 and $10.22. ATM implied volatility averaged 46.9%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 4.9% (HV 20d: 41.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.83.

Notable Days

  • 2018-12-10: Highest Volume — 2,574 contracts
  • 2018-12-10: Largest IV spike — 19.9% change
  • 2018-12-26: Highest IV Rank — 43.0%
  • 2018-12-26: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.64$9.00$10.22$9.61$9.61
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV46.9%41.5%53.3%43.0%47.2%
Expected Move13.4%11.9%15.3%12.3%13.5%
HV 20d41.9%37.0%48.0%47.2%46.8%
HV 60d45.9%44.3%46.8%46.7%46.2%
IV Rank32.5%23.7%43.0%26.1%33.1%
IV Percentile58.7%40.9%82.5%44.4%58.7%
Term Structure6.1%-2.2%96.2%-1.1%6.8%
VWIV47.1%38.2%57.4%43.0%47.2%
Skew 25d7.7%-9.7%77.1%1.0%77.1%
Skew 10d13.6%-15.6%108.5%2.8%108.5%
Call IV 25d42.1%31.4%54.0%41.9%44.7%
Put IV 25d49.8%36.7%121.8%42.9%121.8%
Bid-Ask Spread %50.7619.3893.5184.8519.38
Gamma HHI0.470.370.610.440.41
Net GEX123.8K48.0K229.9K66.0K72.3K
Net DEX-500.8K-2.4M1.1M269.1K-318.8K
Net VEX-14.7K-18.4K-10.4K-14.0K-11.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.054.720.050.45
Total Volume885.951622,5742,484162
Total OI21,200.4518,46223,39619,15018,650

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$9.61$10.0043.0%12.3%47.2%26.1%43.0%1.0%-1.1%66.0K269.1K-14.0K0.0584.85N/AN/A2,36811614,9594,191
2018-12-04$9.53$10.0044.0%12.6%45.7%27.7%44.0%0.6%-2.2%137.0K-143.3K-14.9K0.9186.08N/AN/A12411317,1274,287
2018-12-05$9.53$10.0041.5%11.9%45.6%23.7%57.4%3.4%0.2%125.9K-39.4K-14.3K0.9193.51N/AN/A12411317,1274,287
2018-12-06$9.75$10.0043.8%12.6%39.7%27.5%43.8%0.9%2.4%165.6K-855.3K-16.3K0.0631.89N/AN/A8004417,1174,286
2018-12-07$10.11$10.0043.5%12.3%39.6%26.9%38.2%7.9%2.0%211.2K-2.4M-18.4K0.6333.37N/AN/A24615417,7564,278
2018-12-10$9.88$10.0052.1%13.8%39.8%41.1%48.3%-9.7%1.4%195.8K-1.8M-18.3K0.0832.74N/AN/A2,37519918,2284,418
2018-12-11$9.84$10.0048.6%13.7%39.6%35.4%47.6%10.4%0.2%128.3K-1.0M-17.2K1.5247.72N/AN/A16124516,8344,505
2018-12-12$9.85$10.0044.4%12.7%37.0%28.4%44.4%4.9%2.3%127.5K-647.3K-15.7K0.3259.06N/AN/A78424916,9294,549
2018-12-13$10.22$10.0043.9%12.6%38.1%27.6%43.9%-4.9%3.7%124.0K-1.4M-14.8K0.1458.82N/AN/A1,42220116,6024,551
2018-12-14$10.16$10.0044.5%12.8%38.2%28.7%42.9%15.0%4.6%189.4K-2.3M-18.3K0.4658.05N/AN/A1,10651117,7884,552
2018-12-17$9.85$10.0045.6%13.1%40.1%30.5%45.9%11.0%2.4%181.6K-1.1M-17.6K4.7273.94N/AN/A7937318,6334,532
2018-12-18$9.60$10.0048.8%14.0%41.1%35.7%48.0%1.5%0.3%166.7K-421.7K-16.1K2.1544.20N/AN/A27559118,8764,480
2018-12-19$9.78$10.0045.8%13.1%39.3%30.8%45.9%4.7%1.3%229.9K-467.3K-16.0K0.2834.67N/AN/A67018718,8414,504
2018-12-20$9.28$10.0049.5%14.2%41.9%36.7%49.5%-4.4%-0.8%62.4K1.1M-12.9K0.2949.30N/AN/A87025618,8984,498
2018-12-21$9.32$10.0046.7%13.4%41.2%32.2%46.6%-6.1%1.0%59.3K1.1M-12.3K0.4636.46N/AN/A38417518,7124,423
2018-12-24$9.00$10.0051.7%14.8%40.3%40.4%51.0%11.5%96.2%48.0K705.9K-10.6K2.4646.02N/AN/A8721415,3873,518
2018-12-26$9.44$10.0053.3%15.3%43.7%43.0%53.2%22.3%-1.8%71.9K-381.2K-12.5K0.2045.64N/AN/A65813415,4153,047
2018-12-27$9.05$10.0051.3%14.7%46.1%39.8%53.8%10.2%-1.3%49.9K277.9K-10.4K0.2244.58N/AN/A68014815,5033,074
2018-12-28$9.39$10.0047.7%13.7%48.0%33.9%47.8%-3.2%5.2%63.2K-92.8K-11.6K0.3334.99N/AN/A2427915,5433,104
2018-12-31$9.61$10.0047.2%13.5%46.8%33.1%47.2%77.1%6.8%72.3K-318.8K-11.9K0.4519.38N/AN/A1125015,5403,110