NGL Options History — March 2019

In March 2019, NGL traded between $12.99 and $13.99. ATM implied volatility averaged 34.0%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 1.1% (HV 20d: 35.2%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.15.

Notable Days

  • 2019-03-07: Highest Volume — 9,619 contracts
  • 2019-03-19: Largest IV spike — 60.6% change
  • 2019-03-07: Highest IV Rank — 25.9%
  • 2019-03-07: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.49$12.99$13.99$12.99$13.98
Max Pain$12.88$10.00$15.00$12.50$15.00
ATM IV34.0%24.3%42.9%34.3%25.9%
Expected Move9.9%7.1%12.3%9.8%8.8%
HV 20d35.2%20.7%53.4%53.4%20.7%
HV 60d42.5%38.1%45.0%45.0%38.1%
IV Rank13.4%0.0%25.9%11.9%2.6%
IV Percentile14.9%0.0%44.0%10.7%0.4%
Term Structure-0.6%-5.0%5.1%5.1%-2.2%
VWIV35.7%30.9%42.3%34.4%35.4%
Skew 25d5.9%-0.7%14.5%6.3%4.0%
Skew 10d9.1%-1.6%22.6%13.0%7.3%
Call IV 25d31.4%21.5%35.9%28.6%30.4%
Put IV 25d37.3%33.3%43.5%34.9%34.5%
Bid-Ask Spread %57.6519.3088.7423.9985.27
Gamma HHI0.560.460.650.460.58
Net GEX281.2K139.1K418.9K416.7K296.9K
Net DEX-10.2M-11.4M-7.6M-10.6M-11.4M
Net VEX-60.8K-64.8K-53.0K-54.9K-59.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.009.002.770.35
Total Volume1,190.714879,619536642
Total OI38,75534,52043,80038,30136,179

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$12.99$12.5034.3%9.8%53.4%11.9%34.4%6.3%5.1%416.7K-10.6M-54.9K2.7723.99N/AN/A14239425,28313,018
2019-03-04$13.07$12.5041.2%11.8%52.8%23.2%41.3%-0.7%0.2%418.9K-10.9M-53.0K9.0019.30N/AN/A3012,71025,29713,079
2019-03-05$13.07$12.5034.5%9.9%52.5%12.2%34.5%8.6%-1.4%315.8K-9.8M-56.0K0.0721.24N/AN/A3852825,38715,751
2019-03-06$13.06$12.5035.8%10.3%46.9%14.4%34.6%0.7%0.0%312.5K-10.3M-55.6K0.0854.30N/AN/A3663125,38915,772
2019-03-07$13.16$12.5042.9%12.3%46.2%25.9%42.3%8.9%-0.5%325.2K-11.0M-56.5K0.0021.04N/AN/A9,5873225,47915,775
2019-03-08$12.99$12.5034.0%9.7%46.2%11.3%38.2%7.6%-0.1%139.1K-7.6M-63.2K6.9723.46N/AN/A1971,37326,27515,780
2019-03-11$13.32$10.0032.9%10.8%46.5%9.6%36.8%3.1%-0.4%203.5K-10.1M-64.8K0.3434.35N/AN/A1816126,27817,123
2019-03-12$13.15$10.0038.7%11.0%44.2%19.1%37.0%0.7%-0.4%151.8K-8.6M-63.9K0.1830.95N/AN/A741326,31417,142
2019-03-13$13.26$10.0037.8%10.7%42.3%17.6%36.3%13.9%-0.4%195.0K-9.3M-63.9K2.8229.82N/AN/A11432226,32717,153
2019-03-14$13.19$10.0037.3%10.7%32.5%16.8%40.8%14.5%0.1%160.7K-8.8M-63.1K0.2655.70N/AN/A1022726,33417,466
2019-03-15$13.34$10.0035.8%10.4%32.0%14.3%36.0%13.9%0.5%223.8K-9.7M-62.8K0.3957.69N/AN/A1817026,19017,488
2019-03-18$13.84$0.0024.3%7.1%32.9%0.0%31.9%6.5%0.4%297.9K-11.0M-62.7K1.2485.09N/AN/A29036021,10713,413
2019-03-19$13.70$12.5039.0%11.2%32.1%23.1%33.7%4.4%2.7%291.3K-10.2M-62.8K3.8688.74N/AN/A23891921,04713,549
2019-03-20$13.85$15.0030.8%9.4%22.9%10.1%35.2%1.5%-0.3%282.2K-10.3M-63.0K8.6587.59N/AN/A9582221,07914,056
2019-03-21$13.97$15.0029.2%8.7%23.0%7.7%31.7%5.4%0.4%327.9K-11.2M-62.2K1.8381.27N/AN/A49791021,09314,081
2019-03-22$13.81$15.0032.5%8.8%22.1%12.9%32.6%6.8%-2.9%291.8K-10.1M-63.8K3.9383.53N/AN/A23893621,27514,169
2019-03-25$13.99$15.0035.7%9.1%22.4%17.9%30.9%3.5%-5.0%329.6K-11.2M-61.9K1.1581.40N/AN/A667621,22814,149
2019-03-26$13.84$15.0034.5%8.8%22.6%15.9%37.5%2.5%-4.6%295.6K-10.3M-61.2K0.4681.09N/AN/A54625221,25314,165
2019-03-27$13.86$15.0031.3%9.1%22.6%10.9%35.5%5.6%-1.8%320.6K-10.6M-61.8K0.4180.88N/AN/A56623021,69614,256
2019-03-28$13.82$15.0026.2%8.7%21.8%2.9%32.6%5.6%-2.6%308.3K-10.2M-60.9K0.3583.97N/AN/A46916221,67214,288
2019-03-29$13.98$15.0025.9%8.8%20.7%2.6%35.4%4.0%-2.2%296.9K-11.4M-59.4K0.3585.27N/AN/A47516721,81714,362