NGL Options History — July 2019 In July 2019, NGL traded between $14.81 and $15.57. ATM implied volatility averaged 34.7%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 14.0% (HV 20d: 20.6%). 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 3 of 22 days. Put/call ratio averaged 0.78.
Notable Days 2019-07-17 : Highest Volume — 4,812 contracts2019-07-08 : Largest IV spike — 13.7% change2019-07-29 : Highest IV Rank — 36.8%2019-07-29 : Largest Expected Move — 12.5%Monthly Statistics Metric Avg Min Max Open Close Price $15.20 $14.81 $15.57 $14.90 $15.48 Max Pain $14.20 $12.50 $15.00 $12.50 $15.00 ATM IV 34.7% 25.3% 43.7% 27.2% 42.9% Expected Move 10.1% 7.3% 12.5% 7.8% 12.3% HV 20d 20.6% 18.6% 22.3% 20.8% 20.6% HV 60d 24.3% 22.4% 25.1% 23.9% 22.4% IV Rank 23.9% 10.5% 36.8% 13.3% 35.6% IV Percentile 37.2% 5.2% 67.9% 9.1% 66.3% Term Structure -3.8% -11.8% 7.5% 5.9% -11.1% VWIV 36.7% 25.5% 59.3% 27.3% 42.4% Skew 25d 7.2% -3.9% 19.3% 15.2% -0.5% Skew 10d 11.1% -5.5% 29.0% 26.8% 0.5% Call IV 25d 28.0% 20.6% 41.5% 23.4% 41.5% Put IV 25d 35.2% 28.3% 41.6% 38.6% 41.0% Bid-Ask Spread % 62.28 7.78 90.89 15.06 89.76 Gamma HHI 0.88 0.74 0.97 0.93 0.76 Net GEX 1.1M 379.9K 2.5M 1.2M 419.9K Net DEX -14.3M -21.0M -6.8M -15.4M -9.3M Net VEX -35.8K -43.4K -31.6K -43.4K -32.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.78 0.02 6.00 1.01 1.00 Total Volume 893.545 138 4,812 325 415 Total OI 24,016.045 14,734 30,016 29,666 15,716
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2019-07-01 $14.90 $12.50 27.2% 7.8% 20.8% 13.3% 27.3% 15.2% 5.9% 1.2M -15.4M -43.4K 1.01 15.06 N/A N/A 162 163 21,863 7,803 2019-07-02 $14.93 $12.50 28.0% 8.0% 20.2% 14.4% 28.1% 4.7% 4.3% 1.3M -16.0M -43.1K 0.94 14.72 N/A N/A 97 91 21,941 7,803 2019-07-03 $14.81 $12.50 25.4% 7.3% 20.2% 10.7% 25.5% 4.2% 7.5% 1.4M -14.3M -42.3K 0.45 15.56 N/A N/A 203 91 21,929 7,812 2019-07-05 $15.10 $12.50 25.3% 9.5% 21.2% 10.5% 33.2% 5.1% -2.5% 1.5M -17.6M -41.8K 0.03 89.11 N/A N/A 2,996 97 22,131 7,814 2019-07-08 $15.06 $12.50 28.7% 9.5% 20.5% 15.5% 33.1% 14.1% -2.7% 1.5M -17.1M -40.2K 0.02 84.52 N/A N/A 2,604 63 22,181 7,835 2019-07-09 $15.22 $12.50 30.8% 9.8% 20.4% 18.5% 34.3% 16.8% -3.0% 1.1M -17.0M -37.0K 0.09 84.23 N/A N/A 455 43 19,770 7,878 2019-07-10 $15.57 $12.50 34.1% 9.8% 21.7% 23.1% 32.4% 19.3% -2.1% 993.0K -21.0M -34.8K 0.36 83.70 N/A N/A 550 196 20,090 7,884 2019-07-11 $15.22 $15.00 33.2% 9.5% 22.3% 21.9% 27.5% 6.2% -2.1% 1.3M -17.5M -37.1K 0.56 84.74 N/A N/A 172 96 20,168 8,037 2019-07-12 $15.14 $15.00 33.0% 9.5% 22.1% 21.5% 29.6% 16.2% -2.0% 1.6M -16.7M -36.5K 0.94 86.07 N/A N/A 127 120 20,187 8,046 2019-07-15 $15.24 $15.00 34.5% 9.9% 21.9% 23.7% 59.3% 18.2% -3.2% 1.4M -17.9M -34.4K 0.02 84.92 N/A N/A 369 7 20,289 8,052 2019-07-16 $15.30 $15.00 35.8% 10.3% 20.5% 25.6% 38.4% 6.9% -4.7% 1.8M -19.9M -32.6K 0.35 83.49 N/A N/A 486 168 20,259 8,049 2019-07-17 $15.26 $15.00 34.4% 9.8% 20.6% 23.5% 34.5% 14.0% -2.6% 2.0M -19.9M -32.3K 0.04 82.47 N/A N/A 4,644 168 20,278 8,172 2019-07-18 $15.06 $15.00 36.2% 10.4% 21.4% 26.1% 40.8% -3.9% -4.4% 2.5M -16.2M -35.3K 0.46 89.48 N/A N/A 524 243 21,227 8,197 2019-07-19 $15.10 $15.00 35.4% 10.2% 21.4% 25.0% 35.9% -0.9% -5.4% 2.2M -20.7M -32.8K 0.15 89.18 N/A N/A 1,616 248 21,123 8,254 2019-07-22 $15.26 $15.00 35.3% 10.1% 21.6% 24.9% 35.3% 3.7% -3.1% 384.8K -8.1M -33.0K 0.50 10.60 N/A N/A 296 148 11,557 3,177 2019-07-23 $15.45 $15.00 36.4% 10.4% 20.1% 26.5% 36.5% 7.8% -5.7% 398.3K -8.8M -33.6K 0.55 7.78 N/A N/A 397 217 11,829 3,262 2019-07-24 $15.49 $15.00 39.4% 11.3% 19.9% 30.7% 39.6% 5.6% -7.9% 379.9K -8.9M -35.3K 0.61 82.14 N/A N/A 219 134 12,165 3,331 2019-07-25 $15.31 $15.00 42.5% 12.2% 18.8% 35.1% 50.5% 8.1% -10.9% 389.8K -8.6M -33.8K 1.43 10.93 N/A N/A 88 126 12,208 3,333 2019-07-26 $15.18 $15.00 38.5% 11.0% 19.0% 29.4% 38.3% 2.2% -7.1% 411.5K -8.0M -32.9K 1.05 13.53 N/A N/A 155 162 12,188 3,314 2019-07-29 $14.95 $15.00 43.7% 12.5% 18.6% 36.8% 43.7% -2.8% -11.8% 390.1K -6.8M -31.6K 6.00 77.38 N/A N/A 52 312 12,236 3,321 2019-07-30 $15.31 $15.00 42.1% 12.1% 20.3% 34.6% 42.1% -2.0% -9.5% 422.4K -8.3M -31.8K 0.66 90.89 N/A N/A 83 55 12,265 3,379 2019-07-31 $15.48 $15.00 42.9% 12.3% 20.6% 35.6% 42.4% -0.5% -11.1% 419.9K -9.3M -32.5K 1.00 89.76 N/A N/A 208 207 12,302 3,414
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