NGL Options History — August 2019

In August 2019, NGL traded between $12.30 and $15.03. ATM implied volatility averaged 38.5%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 8.4% (HV 20d: 30.2%). 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 5 of 22 days. Put/call ratio averaged 1.08.

Notable Days

  • 2019-08-30: Highest Volume — 1,317 contracts
  • 2019-08-12: Largest IV spike — 85.3% change
  • 2019-08-07: Highest IV Rank — 70.1%
  • 2019-08-02: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.43$12.30$15.03$15.03$13.61
Max Pain$13.41$12.50$15.00$15.00$12.50
ATM IV38.5%26.5%67.0%43.0%26.9%
Expected Move9.8%7.2%12.7%12.3%7.7%
HV 20d30.2%22.5%40.2%23.2%40.2%
HV 60d25.3%23.1%28.9%23.3%28.9%
IV Rank29.5%12.3%70.1%35.8%12.8%
IV Percentile48.0%8.3%95.2%67.5%8.7%
Term Structure-1.7%-12.5%1.7%-9.9%-0.8%
VWIV32.6%18.2%44.3%43.0%23.2%
Skew 25d8.0%-9.3%18.0%-9.3%2.0%
Skew 10d11.9%-14.7%29.1%-14.7%7.2%
Call IV 25d27.9%16.8%45.9%45.9%18.7%
Put IV 25d36.0%20.7%57.0%36.7%20.7%
Bid-Ask Spread %82.7673.1892.5192.5181.38
Gamma HHI0.640.460.770.760.70
Net GEX153.8K30.4K397.5K397.5K149.3K
Net DEX-925.2K-7.1M1.1M-7.1M-812.2K
Net VEX-18.7K-32.3K-11.5K-32.3K-17.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.043.770.670.09
Total Volume266.864521,3172571,317
Total OI13,097.40910,68115,85015,85011,680

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$15.03$15.0043.0%12.3%23.2%35.8%43.0%-9.3%-9.9%397.5K-7.1M-32.3K0.6792.51N/AN/A15410312,3483,502
2019-08-02$14.87$15.0044.3%12.7%22.5%37.6%44.3%18.0%-12.5%383.5K-6.5M-31.1K0.1687.81N/AN/A1472312,3343,509
2019-08-05$14.49$15.0049.4%10.0%24.2%44.9%33.8%13.4%-0.2%336.2K-4.6M-28.7K2.8679.55N/AN/A5014312,2523,521
2019-08-06$13.95$15.0042.5%9.3%26.8%35.1%31.8%7.5%-0.5%272.9K-1.9M-24.3K0.6979.85N/AN/A18312610,6063,472
2019-08-07$13.75$15.0067.0%12.0%25.0%70.1%40.6%8.1%-3.0%224.5K-1.7M-23.4K1.0979.78N/AN/A12914010,7083,390
2019-08-08$13.61$15.0043.2%9.6%24.3%36.1%18.2%15.8%-0.7%209.6K-565.1K-20.3K3.7786.49N/AN/A4717710,7003,469
2019-08-09$13.82$15.0028.0%7.2%25.4%14.4%26.0%6.9%1.7%173.0K-870.1K-20.2K0.2289.60N/AN/A831810,7383,330
2019-08-12$13.80$15.0051.9%8.3%25.1%48.5%36.1%8.1%-0.0%175.0K-917.3K-20.1K0.0880.45N/AN/A3202710,8033,335
2019-08-13$13.55$12.5041.8%10.0%25.3%34.1%34.9%15.8%0.2%134.8K-636.3K-19.4K0.7087.38N/AN/A604210,9603,354
2019-08-14$13.02$12.5035.5%10.2%28.0%25.1%22.4%11.2%-0.4%74.3K389.3K-16.1K0.0880.31N/AN/A1351110,9993,396
2019-08-15$12.82$12.5034.5%9.9%28.0%23.7%34.5%10.2%1.1%30.4K717.2K-14.4K1.9286.10N/AN/A244610,9333,289
2019-08-16$12.78$12.5034.4%9.8%27.8%23.5%34.4%5.6%-0.9%69.1K721.7K-13.5K3.7785.12N/AN/A3914710,9553,276
2019-08-19$13.32$12.5026.5%7.6%32.4%12.3%32.2%2.4%0.7%106.2K-69.3K-16.1K0.8090.07N/AN/A4113297,7972,884
2019-08-20$13.53$12.5034.2%9.8%32.6%23.3%0.0%14.9%-0.9%140.1K-846.7K-18.3K0.0475.78N/AN/A232108,1142,938
2019-08-21$13.05$12.5034.7%10.0%34.1%24.0%20.0%11.4%-2.7%102.1K131.7K-15.5K0.7675.87N/AN/A55428,2922,938
2019-08-22$12.74$12.5035.2%10.1%34.5%24.7%35.2%5.1%-2.3%75.9K646.7K-13.5K1.0074.69N/AN/A26268,3182,890
2019-08-23$12.30$12.5035.1%10.1%35.7%24.6%35.1%12.3%-1.1%46.9K1.1M-11.5K3.1581.18N/AN/A712248,3212,902
2019-08-26$12.64$12.5036.7%10.5%38.1%26.8%36.7%6.9%-2.9%56.3K894.9K-13.3K0.0586.56N/AN/A390218,2993,099
2019-08-27$12.68$12.5034.3%9.8%36.4%23.5%34.3%1.7%-0.3%59.1K764.6K-13.6K0.1180.28N/AN/A6378,3543,116
2019-08-28$12.86$12.5033.0%9.5%36.7%21.6%0.0%6.7%0.3%72.6K528.1K-13.7K1.6773.18N/AN/A30508,3773,121
2019-08-29$13.14$12.5036.0%10.3%37.4%25.8%36.0%1.4%-3.1%93.7K190.1K-14.7K0.0686.81N/AN/A182118,3733,151
2019-08-30$13.61$12.5026.9%7.7%40.2%12.8%23.2%2.0%-0.8%149.3K-812.2K-17.2K0.0981.38N/AN/A1,2041138,5303,150