NGL Options History — December 2019

In December 2019, NGL traded between $9.69 and $11.60. ATM implied volatility averaged 38.7%, placing in the 42.1% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 1.7% (HV 20d: 37.0%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 10.71.

Notable Days

  • 2019-12-23: Highest Volume — 6,361 contracts
  • 2019-12-30: Largest IV spike — 52.3% change
  • 2019-12-09: Highest IV Rank — 70.6%
  • 2019-12-16: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.80$9.69$11.60$9.80$11.30
Max Pain$10.95$10.00$12.50$10.00$10.00
ATM IV38.7%28.2%52.7%38.8%33.6%
Expected Move10.8%8.1%13.2%11.1%9.6%
HV 20d37.0%33.4%40.7%35.7%36.8%
HV 60d35.8%34.1%38.0%37.8%36.0%
IV Rank42.1%20.9%70.6%42.5%31.9%
IV Percentile59.7%18.3%92.9%64.3%42.1%
Term Structure2.3%-6.0%7.5%0.0%-0.8%
VWIV38.2%26.5%54.1%38.8%38.7%
Skew 25d3.2%-17.6%22.7%10.7%-10.5%
Skew 10d11.5%-11.7%71.6%16.0%-11.7%
Call IV 25d34.5%20.5%48.8%37.7%38.6%
Put IV 25d37.7%22.8%50.4%48.4%28.1%
Bid-Ask Spread %61.258.3881.8442.4172.38
Gamma HHI0.490.400.650.450.42
Net GEX-255.6K-424.5K-32.0K-393.1K-32.0K
Net DEX4.1M-103.8K10.0M9.2M-103.8K
Net VEX-44.8K-62.7K-25.6K-59.8K-25.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.710.00166.392.980.09
Total Volume847.333366,3611,135312
Total OI42,659.76237,92645,31840,60838,425

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$9.80$10.0038.8%11.1%35.7%42.5%38.8%10.7%0.0%-393.1K9.2M-59.8K2.9842.41N/AN/A2858506,62333,985
2019-12-03$9.69$10.0044.9%12.9%34.9%54.8%44.9%5.1%-6.0%-344.7K10.0M-62.7K5.5373.53N/AN/A3611,9986,88934,713
2019-12-04$9.77$10.0043.7%12.5%34.4%52.4%43.7%1.9%-2.3%-379.1K8.6M-59.3K8.0681.84N/AN/A1199597,10134,379
2019-12-05$9.72$12.5043.2%10.9%33.8%51.3%38.1%16.1%7.0%-362.8K9.2M-61.9K1.2558.63N/AN/A73917,20335,311
2019-12-06$9.85$12.5041.1%11.2%33.9%47.2%38.9%17.4%4.8%-424.5K8.0M-54.4K0.8823.96N/AN/A101897,22435,312
2019-12-09$10.31$12.5052.7%11.8%36.6%70.6%28.9%16.4%-2.6%-423.6K5.2M-43.2K1.7150.55N/AN/A4497707,29535,310
2019-12-10$10.85$12.5043.9%12.0%40.7%52.7%39.9%3.3%6.6%-315.0K4.9M-56.3K1.4656.17N/AN/A3965797,08836,146
2019-12-11$10.77$12.5042.6%12.2%40.4%50.1%36.0%18.7%2.5%-380.1K4.3M-49.3K1.7069.41N/AN/A1492537,25036,710
2019-12-12$10.61$12.5043.1%12.4%40.3%51.2%43.2%2.3%5.8%-341.1K5.8M-58.9K12.7961.11N/AN/A476017,26236,485
2019-12-13$10.73$12.5041.8%12.0%38.2%48.6%0.0%20.8%1.6%-249.4K3.8M-37.7K0.0069.96N/AN/A6307,27436,751
2019-12-16$11.16$12.5045.9%13.2%39.7%56.9%45.7%22.7%-3.9%-175.3K2.0M-37.3K1.388.38N/AN/A2092897,33436,801
2019-12-17$11.35$10.0036.0%10.3%37.8%36.7%38.3%5.7%2.8%-155.0K1.5M-37.1K1.4964.24N/AN/A1932877,43237,076
2019-12-18$11.52$10.0031.6%9.1%37.7%27.8%30.4%0.9%7.5%-146.1K1.0M-36.1K10.5074.31N/AN/A343577,44537,319
2019-12-19$11.36$10.0032.6%9.4%37.8%29.9%26.5%-2.7%6.7%-180.2K1.6M-37.5K6.0372.47N/AN/A382297,45037,635
2019-12-20$11.09$10.0033.3%9.5%39.2%31.2%40.5%-14.8%3.3%-212.3K2.4M-38.2K0.0573.19N/AN/A5937,45737,861
2019-12-23$11.26$10.0028.2%8.1%36.8%20.9%33.0%-6.5%1.8%-167.9K2.3M-36.1K166.3971.33N/AN/A386,3237,12936,374
2019-12-24$11.52$10.0030.1%8.6%37.4%24.8%0.0%-2.9%5.3%-171.7K1.4M-34.8K0.2061.60N/AN/A3067,14036,690
2019-12-26$11.60$10.0033.2%9.5%34.0%31.1%32.6%-7.6%6.0%-138.0K1.2M-35.9K2.2864.83N/AN/A962197,17736,688
2019-12-27$11.53$10.0028.3%8.1%33.4%21.1%34.3%-11.5%3.2%-167.8K1.2M-38.2K0.0864.48N/AN/A263207,22630,700
2019-12-30$11.07$10.0043.1%12.4%37.5%51.1%54.1%-17.6%-0.6%-208.7K2.6M-40.2K0.1371.43N/AN/A493637,46530,720
2019-12-31$11.30$10.0033.6%9.6%36.8%31.9%38.7%-10.5%-0.8%-32.0K-103.8K-25.6K0.0972.38N/AN/A285277,74430,681