NGL Options History — November 2019

In November 2019, NGL traded between $9.85 and $11.41. ATM implied volatility averaged 39.8%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 9.2% (HV 20d: 30.7%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 48.32.

Notable Days

  • 2019-11-13: Highest Volume — 18,052 contracts
  • 2019-11-06: Largest IV spike — 44.2% change
  • 2019-11-07: Highest IV Rank — 90.5%
  • 2019-11-26: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.35$9.85$11.41$11.27$9.98
Max Pain$10.75$10.00$12.50$12.50$10.00
ATM IV39.8%28.2%62.5%28.2%39.0%
Expected Move10.6%8.1%12.2%8.1%11.2%
HV 20d30.7%27.5%36.0%30.9%35.7%
HV 60d38.1%37.4%39.0%38.6%38.0%
IV Rank41.8%14.7%90.5%14.7%42.8%
IV Percentile60.2%17.9%99.2%17.9%64.7%
Term Structure-0.9%-6.6%3.1%-6.6%2.0%
VWIV36.4%19.3%42.5%30.7%39.0%
Skew 25d11.8%2.0%49.5%5.0%3.7%
Skew 10d22.3%2.9%110.2%5.0%5.9%
Call IV 25d29.5%19.5%35.3%25.7%35.3%
Put IV 25d41.4%30.7%78.0%30.7%39.0%
Bid-Ask Spread %75.1511.1386.4686.4611.13
Gamma HHI0.560.420.850.520.44
Net GEX-199.0K-362.1K-18.1K-26.2K-362.1K
Net DEX4.9M1.4M8.5M1.6M8.5M
Net VEX-32.3K-62.2K-4.0K-4.0K-62.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio48.320.13368.290.917.49
Total Volume2,434.755218,0522461,375
Total OI22,778.655,38141,3695,38141,369

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$11.27$12.5028.2%8.1%30.9%14.7%30.7%5.0%-6.6%-26.2K1.6M-4.0K0.9186.46N/AN/A1291172,8242,557
2019-11-04$11.41$12.5031.7%10.3%31.8%19.7%35.3%3.6%-3.9%-27.6K1.5M-4.4K0.1380.91N/AN/A388522,9192,671
2019-11-05$11.07$12.5042.7%8.6%27.5%35.4%19.3%17.3%-1.6%-30.6K1.7M-4.2K0.2480.41N/AN/A42103,1492,709
2019-11-06$10.82$12.5061.7%11.3%27.5%63.5%39.6%18.1%-1.8%-18.1K1.6M-5.2K0.7881.43N/AN/A1431123,1892,719
2019-11-07$10.60$12.5062.5%11.3%27.9%90.5%38.9%16.8%-1.2%-20.8K1.4M-4.8K0.8482.15N/AN/A1281083,2852,532
2019-11-08$10.28$12.5036.5%10.2%28.3%37.7%35.3%2.0%-0.8%-36.1K1.7M-4.6K3.6284.51N/AN/A662393,3672,763
2019-11-11$10.22$10.0042.4%10.4%27.8%49.8%0.0%20.7%-1.9%-39.0K1.7M-4.8K0.6181.11N/AN/A82503,4182,867
2019-11-12$10.41$10.0033.5%10.4%29.1%31.6%36.3%49.5%-0.8%-35.1K1.5M-5.2K368.2984.54N/AN/A217,7343,4702,841
2019-11-13$10.23$10.0034.1%9.8%27.7%33.0%34.1%15.3%3.1%-151.3K3.2M-14.3K367.4178.30N/AN/A4918,0033,47410,434
2019-11-14$9.90$10.0035.0%10.0%29.2%34.7%35.0%5.9%1.8%-339.7K8.2M-47.9K0.4972.07N/AN/A5752843,51428,148
2019-11-15$10.14$10.0034.7%9.9%30.5%34.0%34.7%12.8%1.2%-328.5K7.2M-47.6K3.4981.88N/AN/A471643,99727,953
2019-11-18$9.85$10.0038.1%10.9%31.5%41.0%38.1%6.0%-0.8%-325.6K7.4M-45.5K5.4272.90N/AN/A1437753,44127,858
2019-11-19$10.02$10.0039.8%11.4%28.8%44.3%39.7%8.0%-3.1%-298.5K7.8M-50.7K0.1373.29N/AN/A1,3751853,56928,314
2019-11-20$9.89$10.0038.3%11.0%28.8%41.4%38.3%6.5%-0.4%-301.1K7.6M-52.7K3.8972.36N/AN/A3611,4054,89328,464
2019-11-21$10.03$10.0040.9%11.7%29.5%46.7%40.9%9.0%-2.2%-295.9K7.6M-56.6K4.2474.43N/AN/A3711,5735,20729,830
2019-11-22$10.47$10.0038.8%11.1%34.5%42.4%38.7%10.8%-0.2%-338.6K5.4M-47.6K3.2982.97N/AN/A1,0053,3055,57731,180
2019-11-25$10.47$10.0037.8%10.8%34.5%40.4%36.9%13.7%1.0%-322.1K6.6M-60.0K60.6983.02N/AN/A261,5786,41233,903
2019-11-26$10.09$10.0042.5%12.2%36.0%49.9%42.5%8.0%-2.9%-348.3K8.1M-62.2K73.7465.05N/AN/A392,8766,41333,503
2019-11-27$9.94$10.0038.7%11.1%36.0%42.2%38.7%4.0%1.7%-334.3K8.3M-61.4K60.6474.01N/AN/A613,6996,43234,408
2019-11-29$9.98$10.0039.0%11.2%35.7%42.8%39.0%3.7%2.0%-362.1K8.5M-62.1K7.4911.13N/AN/A1621,2136,46134,908