NGL Options History — September 2019

In September 2019, NGL traded between $12.82 and $14.88. ATM implied volatility averaged 32.1%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 10.6% (HV 20d: 42.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.31.

Notable Days

  • 2019-09-17: Highest Volume — 5,713 contracts
  • 2019-09-26: Largest IV spike — 40.7% change
  • 2019-09-27: Highest IV Rank — 28.2%
  • 2019-09-27: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.68$12.82$14.88$13.35$13.90
Max Pain$14.75$12.50$15.00$12.50$15.00
ATM IV32.1%26.3%37.6%34.1%26.5%
Expected Move9.2%7.5%10.8%9.8%7.6%
HV 20d42.7%35.1%48.6%39.8%45.8%
HV 60d33.2%29.0%37.0%29.1%37.0%
IV Rank20.3%12.0%28.2%23.2%12.3%
IV Percentile28.0%7.9%53.2%33.7%9.1%
Term Structure1.0%-2.4%5.9%0.4%1.1%
VWIV30.3%19.4%36.3%25.7%31.2%
Skew 25d6.3%-5.0%16.0%10.5%-5.0%
Skew 10d9.4%-5.2%18.9%17.3%-5.2%
Call IV 25d27.4%20.3%33.7%23.2%30.4%
Put IV 25d33.7%25.4%41.3%33.7%25.4%
Bid-Ask Spread %69.3210.7383.6483.6410.73
Gamma HHI0.730.540.900.700.88
Net GEX245.2K44.0K541.9K139.2K406.7K
Net DEX-1.5M-6.5M877.5K-489.4K-1.5M
Net VEX-17.3K-27.2K-11.9K-17.0K-16.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.001.690.010.01
Total Volume610.8665,7133,124202
Total OI13,498.0510,74716,63912,38315,955

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$13.35$12.5034.1%9.8%39.8%23.2%25.7%10.5%0.4%139.2K-489.4K-17.0K0.0183.64N/AN/A3,102229,2193,164
2019-09-04$13.27$12.5033.9%9.7%37.7%22.8%33.9%5.7%-1.2%159.0K-406.8K-16.9K0.7783.58N/AN/A534110,5083,169
2019-09-05$13.17$15.0032.4%9.5%37.5%20.7%33.2%2.8%0.4%72.9K176.9K-14.2K0.3277.43N/AN/A152497,5573,190
2019-09-06$12.82$15.0033.1%9.1%38.5%21.6%22.2%10.0%2.1%44.0K877.5K-11.9K0.2675.81N/AN/A106287,6673,199
2019-09-09$12.93$15.0031.6%9.3%38.1%19.5%34.1%-1.7%1.3%54.8K554.0K-12.6K0.0276.71N/AN/A8827,7643,219
2019-09-10$12.97$15.0033.0%9.4%38.2%21.6%19.4%10.5%0.8%54.4K581.9K-12.4K0.6176.45N/AN/A107657,7663,220
2019-09-11$12.99$15.0032.1%9.2%37.8%20.3%32.1%11.7%1.1%51.3K640.0K-12.3K0.4669.78N/AN/A96447,6923,265
2019-09-12$12.94$15.0033.1%9.5%35.1%21.7%33.1%9.3%0.4%48.9K677.4K-12.3K0.6571.57N/AN/A40267,6883,275
2019-09-13$14.02$15.0028.6%8.2%44.7%15.2%25.9%4.2%-0.8%160.0K-1.3M-16.0K0.0273.43N/AN/A21447,6493,280
2019-09-16$14.88$15.0031.1%8.9%48.6%18.8%31.1%1.3%-0.3%250.5K-3.8M-18.6K0.4073.47N/AN/A6502597,6373,290
2019-09-17$14.69$15.0032.6%9.3%47.4%21.0%32.6%-1.5%-0.9%239.8K-3.2M-18.9K0.0169.34N/AN/A5,648657,9043,307
2019-09-18$14.64$15.0034.4%9.9%47.3%23.6%34.4%11.6%-2.4%541.9K-6.5M-27.2K0.2972.86N/AN/A682013,2733,285
2019-09-19$14.09$15.0031.9%9.1%47.6%19.9%31.9%5.3%0.4%447.3K-3.6M-22.9K0.1272.89N/AN/A76913,3193,295
2019-09-20$13.98$15.0033.5%9.6%46.7%22.2%32.3%3.4%-2.2%422.1K-3.4M-22.8K0.0074.16N/AN/A207113,3363,303
2019-09-23$13.99$15.0032.3%9.3%44.3%20.5%33.3%5.1%2.7%413.8K-2.7M-21.3K0.2275.70N/AN/A1082412,8073,011
2019-09-24$14.16$15.0027.8%8.0%43.7%14.2%28.1%10.4%5.7%504.9K-2.7M-20.0K0.3672.53N/AN/A843012,8353,020
2019-09-25$13.89$15.0026.3%7.5%44.6%12.0%32.5%4.1%2.0%402.3K-2.5M-20.4K0.0172.20N/AN/A176112,8793,049
2019-09-26$13.48$15.0037.0%10.6%46.0%27.3%36.3%16.0%5.9%250.9K-682.4K-16.6K1.6973.37N/AN/A8314012,8913,050
2019-09-27$13.39$15.0037.6%10.8%45.5%28.2%22.1%12.2%4.5%239.8K-539.3K-15.8K0.0230.70N/AN/A124212,9543,070
2019-09-30$13.90$15.0026.5%7.6%45.8%12.3%31.2%-5.0%1.1%406.7K-1.5M-16.0K0.0110.73N/AN/A201112,8853,070