NGL Options History — October 2019

In October 2019, NGL traded between $11.09 and $13.82. ATM implied volatility averaged 32.6%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 5.0% (HV 20d: 37.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 2.00.

Notable Days

  • 2019-10-29: Highest Volume — 391 contracts
  • 2019-10-22: Largest IV spike — 92.7% change
  • 2019-10-31: Highest IV Rank — 47.3%
  • 2019-10-31: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.15$11.09$13.82$13.79$11.19
Max Pain$12.72$12.50$15.00$15.00$12.50
ATM IV32.6%19.9%51.1%28.7%51.1%
Expected Move10.0%5.9%14.6%8.2%14.6%
HV 20d37.7%30.2%49.9%45.3%31.1%
HV 60d38.5%36.5%40.0%37.0%38.5%
IV Rank21.0%2.8%47.3%15.4%47.3%
IV Percentile35.2%0.4%87.3%16.3%87.3%
Term Structure-2.1%-27.0%16.4%-0.0%-27.0%
VWIV38.1%23.5%68.8%30.4%52.1%
Skew 25d7.4%-8.5%21.3%-8.5%18.4%
Skew 10d17.2%-8.8%92.2%-8.8%25.2%
Call IV 25d31.0%19.9%43.9%33.6%30.2%
Put IV 25d38.4%21.2%48.6%25.1%48.6%
Bid-Ask Spread %78.5210.9898.6110.9880.12
Gamma HHI0.520.330.860.860.48
Net GEX34.9K-45.2K355.9K355.9K-25.1K
Net DEX1.2M-1.3M2.3M-1.3M1.5M
Net VEX-6.9K-16.1K-3.9K-16.1K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.000.0014.300.5114.30
Total Volume133.6095391146153
Total OI11,653.0874,54116,14916,0335,238

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-10-01$13.79$15.0028.7%8.2%45.3%15.4%30.4%-8.5%-0.0%355.9K-1.3M-16.1K0.5110.98N/AN/A974912,9643,069
2019-10-02$13.68$15.0040.6%11.6%45.3%32.3%32.3%16.0%5.2%316.6K-1.1M-15.6K0.5865.70N/AN/A311812,9053,106
2019-10-03$13.69$12.5026.3%12.1%45.2%11.9%32.7%2.9%-12.8%168.0K323.6K-10.8K0.3277.08N/AN/A712312,8953,124
2019-10-04$13.82$12.5019.9%10.0%44.0%2.8%33.0%8.8%-1.3%193.7K234.2K-11.1K0.1432.36N/AN/A771112,9173,150
2019-10-07$13.61$12.5026.7%11.7%44.4%12.6%0.0%19.2%-5.8%65.4K673.1K-9.3K0.6726.06N/AN/A3212,9343,159
2019-10-08$12.85$12.5040.1%12.3%49.3%31.7%29.7%14.3%-7.5%12.2K1.4M-8.7K0.7786.22N/AN/A1048012,9343,169
2019-10-09$12.57$12.5042.7%12.3%49.8%35.4%35.5%7.6%-7.5%-28.0K1.5M-7.9K1.1598.61N/AN/A273112,9873,041
2019-10-10$12.44$12.5042.9%12.3%49.9%35.7%42.9%-0.9%-8.3%-35.9K1.3M-7.2K6.6487.68N/AN/A2516612,9802,718
2019-10-11$12.11$12.5040.4%11.6%40.1%32.1%40.4%-0.8%-5.7%-45.2K1.8M-6.6K1.1293.29N/AN/A819113,0052,872
2019-10-14$11.85$12.5040.9%11.7%31.6%32.8%40.9%4.4%-7.2%-24.3K2.2M-5.6K0.1592.23N/AN/A2143213,0182,946
2019-10-15$11.88$12.5038.6%11.1%31.9%29.6%38.8%-0.3%-5.5%-19.5K2.1M-5.5K0.8391.83N/AN/A605013,1402,911
2019-10-16$11.49$12.5036.0%10.3%32.8%25.8%36.7%4.3%-2.7%-6.1K2.3M-4.8K2.5094.62N/AN/A266513,1422,949
2019-10-17$11.34$12.5030.1%8.6%31.3%17.5%37.5%20.6%10.9%-9.7K2.1M-4.3K2.6993.09N/AN/A8422613,1342,794
2019-10-18$11.47$12.5021.6%6.2%32.3%5.3%30.9%18.2%10.9%-14.7K2.2M-4.7K0.9791.52N/AN/A302913,1413,008
2019-10-21$11.31$12.5020.5%5.9%32.1%3.8%23.5%21.3%16.4%-13.9K1.4M-4.2K0.2785.67N/AN/A182502,5611,980
2019-10-22$11.72$12.5039.6%11.4%35.2%31.0%39.8%-0.4%-8.7%-10.9K1.3M-5.2K0.8583.56N/AN/A101862,6712,009
2019-10-23$11.59$12.5039.9%11.4%35.0%31.4%39.9%-0.1%-5.0%-9.8K1.3M-5.2K0.0088.03N/AN/A1502,7202,048
2019-10-24$11.64$12.5021.2%6.1%34.4%4.7%0.0%1.5%12.3%-7.8K1.4M-4.9K0.6581.33N/AN/A17112,7252,048
2019-10-25$11.62$12.5021.2%6.1%34.5%4.7%0.0%0.1%11.1%-7.8K1.4M-4.8K8.2988.30N/AN/A141162,7232,058
2019-10-28$11.50$12.5021.2%6.1%30.2%4.8%0.0%2.6%12.3%-9.8K1.4M-4.6K1.5087.34N/AN/A26392,7632,169
2019-10-29$11.27$12.5025.7%7.4%30.5%11.1%68.8%15.1%-4.8%-17.8K1.5M-4.4K1.1481.70N/AN/A1832082,7892,207
2019-10-30$11.09$12.5034.9%10.0%30.5%24.3%0.0%5.9%-17.2%-21.7K1.6M-3.9K0.0588.75N/AN/A6632,7842,416
2019-10-31$11.19$12.5051.1%14.6%31.1%47.3%52.1%18.4%-27.0%-25.1K1.5M-4.3K14.3080.12N/AN/A101432,8202,418