NGL Options History — February 2019

In February 2019, NGL traded between $10.82 and $13.90. ATM implied volatility averaged 41.8%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 4.3% (HV 20d: 46.1%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 2.16.

Notable Days

  • 2019-02-19: Highest Volume — 6,975 contracts
  • 2019-02-06: Largest IV drop — 31.0% change
  • 2019-02-05: Highest IV Rank — 65.8%
  • 2019-02-08: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.51$10.82$13.90$11.93$13.22
Max Pain$11.18$10.00$12.50$12.50$12.50
ATM IV41.8%29.8%67.2%50.0%29.8%
Expected Move11.3%8.5%15.1%12.4%8.5%
HV 20d46.1%34.8%54.0%35.2%53.0%
HV 60d44.3%41.8%46.7%42.9%45.0%
IV Rank24.1%4.4%65.8%37.6%4.4%
IV Percentile35.8%1.2%94.8%67.9%1.2%
Term Structure1.5%-4.0%13.0%-1.1%13.0%
VWIV39.1%29.4%50.8%45.4%29.7%
Skew 25d10.5%-2.8%39.9%9.6%11.4%
Skew 10d26.2%-5.8%94.0%24.2%16.5%
Call IV 25d32.6%20.6%46.3%37.5%23.0%
Put IV 25d43.1%33.5%65.6%47.1%34.3%
Bid-Ask Spread %33.809.5582.5982.5922.64
Gamma HHI0.470.310.740.460.48
Net GEX286.2K-12.0K557.2K100.6K431.9K
Net DEX-8.1M-15.6M276.1K-3.1M-12.7M
Net VEX-37.8K-57.7K-19.8K-20.6K-55.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.160.0513.691.173.19
Total Volume2,263.4211956,975994390
Total OI27,450.31617,87838,02417,87838,024

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-02-01$11.93$12.5050.0%12.4%35.2%37.6%45.4%9.6%-1.1%100.6K-3.1M-20.6K1.1782.59N/AN/A4595359,1608,718
2019-02-04$11.78$12.5057.6%12.1%34.8%50.1%42.1%11.3%0.8%83.0K-2.5M-19.8K0.6716.12N/AN/A8875939,3169,026
2019-02-05$11.11$12.5067.2%13.3%40.1%65.8%45.3%1.9%-0.7%14.1K-479.7K-24.2K0.2770.25N/AN/A1,1093009,0909,538
2019-02-06$10.97$10.0046.4%13.3%40.0%31.7%45.5%3.1%-1.0%7.1K-250.0K-24.7K5.5077.17N/AN/A301659,5629,534
2019-02-07$10.82$10.0047.5%13.6%39.5%33.4%46.0%5.1%0.1%-12.0K276.1K-24.1K1.5621.33N/AN/A4887609,5639,711
2019-02-08$10.89$10.0052.6%15.1%39.2%41.8%50.8%4.4%-4.0%-8.5K137.4K-25.1K7.0619.38N/AN/A2661,8789,80010,334
2019-02-11$11.49$10.0039.0%11.2%40.3%19.5%42.2%7.2%-1.1%70.5K-1.3M-23.7K1.5149.54N/AN/A1,5772,3779,97510,615
2019-02-12$11.97$10.0034.7%10.0%42.1%12.6%34.8%10.8%3.9%139.1K-2.2M-27.0K0.109.55N/AN/A6,13760710,54511,322
2019-02-13$12.94$10.0033.2%9.5%47.4%10.1%32.9%39.9%2.8%431.1K-10.0M-33.0K0.1246.09N/AN/A1,93322715,06211,686
2019-02-14$13.20$10.0033.5%9.6%47.5%10.5%33.3%12.9%2.6%381.0K-12.6M-31.9K0.2612.65N/AN/A94224215,78311,773
2019-02-15$13.60$10.0035.4%10.2%48.1%13.8%29.4%6.3%3.7%318.0K-14.4M-30.8K0.0521.93N/AN/A6,01827215,95511,840
2019-02-19$13.90$10.0035.9%10.3%48.2%14.5%36.8%0.5%-0.9%482.0K-15.6M-41.1K0.1124.87N/AN/A6,27270319,5688,868
2019-02-20$13.07$10.0039.1%11.2%53.7%19.7%41.7%-2.8%-1.0%537.5K-12.2M-53.6K0.3333.40N/AN/A1,36845423,8409,347
2019-02-21$13.10$12.5037.0%10.6%53.6%16.3%37.1%12.8%1.8%557.2K-12.1M-53.7K13.6930.30N/AN/A1952,67024,7149,651
2019-02-22$13.43$12.5038.3%11.0%54.0%18.4%31.1%16.3%0.6%477.5K-13.8M-57.3K0.4817.67N/AN/A49623624,71512,128
2019-02-25$13.48$12.5034.2%9.8%53.2%11.7%36.7%15.5%12.0%485.8K-14.2M-56.8K0.9719.03N/AN/A50148425,00812,177
2019-02-26$13.38$12.5041.3%11.9%53.0%23.4%41.8%16.6%-1.8%470.8K-13.6M-57.2K2.6419.11N/AN/A20855025,16512,453
2019-02-27$13.43$12.5040.9%11.7%52.8%22.7%40.6%16.1%-2.0%471.8K-13.7M-57.7K1.3848.55N/AN/A28439225,25512,735
2019-02-28$13.22$12.5029.8%8.5%53.0%4.4%29.7%11.4%13.0%431.9K-12.7M-55.2K3.1922.64N/AN/A9329725,26412,760