NGL Options History — May 2019

In May 2019, NGL traded between $13.39 and $15.03. ATM implied volatility averaged 34.0%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 5.6% (HV 20d: 28.4%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.51.

Notable Days

  • 2019-05-14: Highest Volume — 4,056 contracts
  • 2019-05-02: Largest IV spike — 86.4% change
  • 2019-05-02: Highest IV Rank — 33.6%
  • 2019-05-02: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.30$13.39$15.03$14.09$14.94
Max Pain$14.20$12.50$15.00$15.00$15.00
ATM IV34.0%22.2%41.4%22.2%31.3%
Expected Move10.3%6.4%11.9%6.4%9.0%
HV 20d28.4%17.1%33.0%17.1%27.8%
HV 60d26.8%22.8%33.6%33.6%24.0%
IV Rank23.0%6.2%33.6%6.2%19.2%
IV Percentile26.3%2.4%54.4%2.4%13.9%
Term Structure-1.1%-5.8%15.2%15.2%-1.2%
VWIV38.7%32.3%73.1%33.4%32.3%
Skew 25d9.2%-1.4%16.8%2.1%-1.4%
Skew 10d15.2%-7.7%28.9%-7.7%-0.9%
Call IV 25d31.1%21.4%38.1%21.4%29.1%
Put IV 25d40.3%23.5%47.8%23.5%27.7%
Bid-Ask Spread %70.7716.4288.5488.5450.73
Gamma HHI0.870.810.910.840.85
Net GEX555.0K399.4K790.2K485.5K790.2K
Net DEX-12.0M-16.6M-6.2M-8.8M-16.6M
Net VEX-56.8K-62.7K-43.1K-49.0K-56.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.0618.250.410.24
Total Volume1,087.818414,056310908
Total OI29,646.04525,24431,67025,24431,670

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-05-01$14.09$15.0022.2%6.4%17.1%6.2%33.4%2.1%15.2%485.5K-8.8M-49.0K0.4188.54N/AN/A2209018,6886,556
2019-05-02$13.51$15.0041.4%11.9%22.7%33.6%42.0%15.4%-4.0%399.4K-6.2M-43.1K0.8588.05N/AN/A1,6861,42618,8886,531
2019-05-03$13.89$15.0026.9%7.7%24.1%12.9%73.1%4.3%10.0%466.0K-8.7M-53.1K0.0687.22N/AN/A3,12418620,5097,787
2019-05-06$13.64$12.5027.9%11.2%24.8%14.2%38.7%5.0%-1.7%469.7K-9.5M-55.2K2.4573.43N/AN/A25863221,0597,878
2019-05-07$13.64$12.5029.2%11.6%24.7%16.2%40.1%6.3%-2.6%441.4K-9.1M-55.3K2.6716.42N/AN/A23863521,0838,485
2019-05-08$13.57$12.5030.6%10.9%24.7%18.1%36.5%3.6%-0.5%440.9K-9.0M-55.7K0.6975.48N/AN/A25117221,1048,485
2019-05-09$13.39$12.5028.4%11.3%25.1%15.1%39.5%1.4%-2.0%408.5K-8.0M-52.9K1.4075.64N/AN/A39054621,1268,490
2019-05-10$13.80$12.5034.0%9.8%27.6%22.9%39.4%4.7%-2.7%483.7K-9.0M-56.7K18.2582.41N/AN/A2036520,6148,766
2019-05-13$13.86$12.5035.4%10.2%27.4%25.0%36.4%7.9%-2.1%490.9K-9.7M-56.6K0.1481.85N/AN/A36520,6148,766
2019-05-14$14.45$12.5038.1%10.3%31.3%28.8%38.7%3.6%-2.7%589.9K-12.9M-60.1K0.5082.98N/AN/A2,7121,34420,6389,124
2019-05-15$14.58$15.0034.9%10.0%31.3%24.3%36.2%13.0%-1.7%595.9K-13.4M-62.7K0.0885.23N/AN/A1,39311121,0569,715
2019-05-16$14.74$15.0034.5%9.9%31.5%23.7%36.5%12.1%-1.5%620.5K-14.3M-61.4K0.2283.73N/AN/A63014120,6969,730
2019-05-17$14.77$15.0035.7%10.2%31.4%25.5%34.1%15.4%-2.4%591.8K-14.7M-60.8K0.2781.20N/AN/A78120820,7599,737
2019-05-20$14.76$15.0036.6%10.5%30.3%26.7%36.3%13.4%-2.0%580.7K-14.6M-59.7K0.3477.00N/AN/A39213420,5269,184
2019-05-21$14.93$15.0035.9%10.3%30.5%25.7%34.1%15.4%-2.5%620.5K-15.7M-59.8K1.3377.20N/AN/A26635420,6829,221
2019-05-22$15.03$15.0036.4%10.4%30.4%26.4%34.1%16.8%-2.9%630.5K-16.3M-59.7K0.7677.93N/AN/A39630020,8639,432
2019-05-23$14.51$15.0039.1%11.2%33.0%30.3%36.2%10.1%-2.8%553.4K-13.1M-59.8K0.7079.80N/AN/A45431620,9619,483
2019-05-24$14.60$15.0035.4%10.1%32.5%25.0%40.0%11.7%-1.2%600.3K-13.5M-59.6K0.5916.97N/AN/A41324421,1229,500
2019-05-28$14.69$15.0041.3%11.8%32.5%33.4%41.0%14.2%-5.8%618.0K-14.2M-57.7K0.6778.15N/AN/A15810621,1189,536
2019-05-29$14.59$15.0040.0%11.5%32.2%31.5%40.2%14.8%-5.0%606.7K-13.4M-56.9K0.1718.92N/AN/A70812321,1179,576
2019-05-30$14.57$15.0032.6%9.3%31.4%21.0%32.7%13.1%-1.9%725.1K-13.6M-56.0K0.4378.08N/AN/A74231821,7299,609
2019-05-31$14.94$15.0031.3%9.0%27.8%19.2%32.3%-1.4%-1.2%790.2K-16.6M-56.8K0.2450.73N/AN/A73217621,8899,781