NGL Options History — January 2019

In January 2019, NGL traded between $9.86 and $11.70. ATM implied volatility averaged 52.1%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 7.5% (HV 20d: 44.5%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.80.

Notable Days

  • 2019-01-03: Highest Volume — 4,445 contracts
  • 2019-01-22: Largest IV spike — 37.6% change
  • 2019-01-24: Highest IV Rank — 54.5%
  • 2019-01-24: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.97$9.86$11.70$9.86$11.61
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV52.1%39.8%60.3%47.7%54.5%
Expected Move15.2%11.9%17.3%13.7%12.4%
HV 20d44.5%34.5%51.1%46.6%34.7%
HV 60d46.0%43.0%47.9%46.5%43.0%
IV Rank41.0%20.9%54.5%33.8%45.0%
IV Percentile74.0%31.0%92.1%61.1%83.3%
Term Structure-8.3%-19.5%6.1%6.1%0.6%
VWIV51.0%29.3%64.5%49.2%43.9%
Skew 25d12.7%-5.2%76.7%76.7%5.6%
Skew 10d19.8%-8.3%117.2%117.2%21.4%
Call IV 25d43.8%31.2%55.3%43.0%39.0%
Put IV 25d56.5%44.6%119.7%119.7%44.6%
Bid-Ask Spread %70.8318.3491.2118.3479.87
Gamma HHI0.360.290.450.410.34
Net GEX72.0K36.6K137.5K87.5K51.4K
Net DEX-2.0M-3.3M-843.5K-843.5K-1.7M
Net VEX-21.5K-25.4K-13.0K-13.0K-25.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.800.0914.760.440.97
Total Volume1,006.811894,4453921,019
Total OI20,277.23813,90424,63718,69917,129

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$9.86$10.0047.7%13.7%46.6%33.8%49.2%76.7%6.1%87.5K-843.5K-13.0K0.4418.34N/AN/A27311915,5653,134
2019-01-03$10.03$10.0047.8%15.8%46.8%34.0%51.8%22.5%-8.4%96.2K-1.1M-13.1K14.7684.12N/AN/A2824,16315,6923,186
2019-01-04$10.36$10.0051.5%15.6%48.0%40.1%54.1%-0.9%-8.7%94.3K-1.2M-22.2K0.8488.80N/AN/A29024315,8667,128
2019-01-07$10.73$10.0039.8%15.5%48.8%20.9%52.7%0.5%-8.9%106.6K-2.2M-21.6K0.4179.08N/AN/A47219416,0227,118
2019-01-08$10.90$10.0049.5%16.0%47.6%36.8%51.8%4.0%-8.8%137.5K-2.8M-23.1K0.4977.18N/AN/A50024616,2987,178
2019-01-09$11.14$10.0054.8%15.7%46.9%45.5%51.2%7.5%-9.1%66.6K-3.0M-21.3K1.4176.21N/AN/A24434416,3377,224
2019-01-10$10.98$10.0053.7%15.4%47.3%43.7%52.5%10.5%-5.0%55.3K-2.7M-21.0K0.4577.71N/AN/A79935716,3177,331
2019-01-11$10.52$10.0053.6%15.4%50.3%43.5%55.0%7.3%-9.0%82.6K-1.5M-21.6K0.1075.92N/AN/A9189016,8257,331
2019-01-14$10.45$10.0053.8%15.4%48.8%43.9%54.2%10.3%-8.0%83.4K-1.5M-21.8K0.5664.85N/AN/A1216816,9807,363
2019-01-15$10.93$10.0055.3%15.9%51.1%46.4%49.7%21.4%-9.3%36.7K-2.7M-21.7K0.1886.11N/AN/A61411017,0857,390
2019-01-16$11.09$10.0057.1%16.4%49.6%49.2%47.5%10.6%-11.9%64.8K-3.0M-22.0K0.2991.21N/AN/A37311017,2377,380
2019-01-17$11.14$10.0055.9%16.0%48.1%47.3%48.9%9.5%-17.5%36.6K-3.0M-21.8K0.3089.28N/AN/A44013117,2277,380
2019-01-18$11.30$10.0041.6%11.9%48.0%23.9%48.7%3.4%-5.7%47.0K-3.3M-22.3K0.0971.71N/AN/A2,10718817,2387,399
2019-01-22$11.09$10.0057.3%16.4%43.8%49.6%49.3%-5.2%-19.5%47.0K-1.1M-21.7K0.1840.10N/AN/A1,0901947,6606,244
2019-01-23$11.07$10.0056.1%16.1%43.9%47.7%29.3%24.6%-7.6%58.8K-1.1M-23.3K0.1134.76N/AN/A1,0551138,5096,424
2019-01-24$11.18$10.0060.3%17.3%40.8%54.5%44.4%15.5%-10.6%66.5K-1.4M-22.9K0.1875.16N/AN/A6891258,5636,378
2019-01-25$11.57$10.0051.3%14.7%39.4%39.8%53.3%8.8%-4.6%82.3K-2.0M-24.6K0.5074.68N/AN/A3031518,6196,427
2019-01-28$11.43$10.0045.0%12.9%35.4%29.3%61.5%8.5%-10.5%79.5K-1.9M-24.0K12.4860.92N/AN/A1191,4858,7636,416
2019-01-29$11.39$10.0058.9%16.9%34.5%52.1%57.8%7.0%-12.8%73.1K-2.0M-18.8K1.5572.25N/AN/A1712658,8067,846
2019-01-30$11.70$10.0047.6%13.6%34.7%33.7%64.5%17.9%-5.3%58.0K-1.9M-25.4K1.5169.25N/AN/A2263428,8018,006
2019-01-31$11.61$10.0054.5%12.4%34.7%45.0%43.9%5.6%0.6%51.4K-1.7M-25.2K0.9779.87N/AN/A5185018,9238,206