NGL Options History — January 2020

In January 2020, NGL traded between $10.07 and $11.98. ATM implied volatility averaged 36.7%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 2.6% (HV 20d: 34.2%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 2.91.

Notable Days

2020-01-27: Highest Volume — 901 contracts
2020-01-10: Largest IV spike — 38.4% change
2020-01-31: Highest IV Rank — 74.9%
2020-01-31: Largest Expected Move — 15.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.35	$10.07	$11.98	$11.44	$10.07
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	36.7%	18.1%	54.8%	20.3%	54.8%
Expected Move	11.9%	5.8%	15.7%	5.8%	15.7%
HV 20d	34.2%	30.6%	37.0%	36.2%	34.9%
HV 60d	35.0%	33.5%	36.7%	36.1%	36.7%
IV Rank	38.2%	0.5%	74.9%	4.9%	74.9%
IV Percentile	53.8%	0.4%	98.0%	0.8%	98.0%
Term Structure	-0.1%	-10.8%	20.5%	19.5%	-7.5%
VWIV	42.2%	30.2%	54.8%	32.1%	54.8%
Skew 25d	9.1%	-1.3%	21.3%	11.4%	7.4%
Skew 10d	7.9%	-10.2%	28.4%	15.7%	12.2%
Call IV 25d	36.1%	18.8%	47.4%	21.1%	47.4%
Put IV 25d	45.2%	32.4%	54.9%	32.5%	54.8%
Bid-Ask Spread %	84.34	71.78	90.45	71.78	82.86
Gamma HHI	0.47	0.38	0.53	0.49	0.38
Net GEX	-29.5K	-180.0K	45.8K	-38.4K	-180.0K
Net DEX	-445.7K	-2.2M	2.7M	-330.3K	2.7M
Net VEX	-24.0K	-25.6K	-22.2K	-23.4K	-24.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.91	0.05	30.10	0.72	1.84
Total Volume	357.286	56	901	79	803
Total OI	39,614.952	38,052	40,945	38,447	40,928

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2020-01-02	$11.44	$10.00	20.3%	5.8%	36.2%	4.9%	32.1%	11.4%	19.5%	-38.4K	-330.3K	-23.4K	0.72	71.78	N/A	N/A	46	33	7,740	30,707
2020-01-03	$11.78	$10.00	27.5%	7.9%	37.0%	19.5%	30.2%	13.6%	20.5%	-18.2K	-1.3M	-22.2K	0.05	72.52	N/A	N/A	432	21	7,730	30,703
2020-01-06	$11.79	$10.00	26.4%	11.9%	36.7%	17.2%	40.5%	8.2%	-0.3%	8.0K	-1.4M	-24.1K	0.24	86.14	N/A	N/A	410	100	8,079	30,683
2020-01-07	$11.85	$10.00	18.1%	11.0%	36.7%	0.5%	38.3%	4.1%	-0.3%	-370	-1.4M	-23.7K	30.10	84.92	N/A	N/A	10	301	8,447	30,797
2020-01-08	$11.52	$10.00	23.6%	11.9%	36.4%	11.6%	39.4%	8.6%	-0.6%	-20.0K	-656.8K	-24.4K	0.24	85.04	N/A	N/A	322	78	8,469	30,964
2020-01-09	$11.88	$10.00	18.7%	11.1%	33.6%	1.6%	40.5%	4.9%	0.1%	3.8K	-1.5M	-24.1K	0.51	77.83	N/A	N/A	129	66	8,638	30,976
2020-01-10	$11.65	$10.00	25.9%	11.8%	34.4%	16.2%	40.4%	7.4%	-1.3%	-19.1K	-1.1M	-23.6K	0.54	84.48	N/A	N/A	39	21	8,694	31,042
2020-01-13	$11.65	$10.00	30.1%	11.9%	33.8%	24.8%	39.7%	6.4%	-0.3%	4.8K	-1.3M	-24.2K	8.00	78.89	N/A	N/A	16	128	9,495	31,023
2020-01-14	$11.80	$10.00	34.6%	10.7%	33.8%	33.8%	0.0%	5.7%	-1.2%	25.9K	-1.6M	-24.2K	3.48	88.40	N/A	N/A	44	153	9,507	31,124
2020-01-15	$11.88	$10.00	35.4%	10.1%	31.3%	35.5%	35.5%	-1.3%	1.4%	30.6K	-1.8M	-23.6K	3.00	89.25	N/A	N/A	18	54	9,523	31,190
2020-01-16	$11.98	$10.00	35.8%	10.3%	30.9%	36.3%	35.8%	0.8%	-0.5%	45.8K	-2.2M	-23.0K	0.18	80.45	N/A	N/A	281	50	9,522	31,241
2020-01-17	$11.94	$10.00	35.2%	10.1%	30.6%	35.1%	0.0%	0.2%	0.9%	19.4K	-2.0M	-22.6K	2.19	89.28	N/A	N/A	135	295	9,549	31,257
2020-01-21	$11.59	$10.00	40.3%	11.6%	32.2%	45.5%	40.3%	3.9%	-2.2%	-10.1K	-980.3K	-23.6K	3.33	88.45	N/A	N/A	79	263	7,195	30,857
2020-01-22	$11.24	$10.00	52.9%	15.2%	33.0%	71.1%	48.3%	17.4%	-5.1%	-31.7K	-103.4K	-24.5K	0.55	88.60	N/A	N/A	196	107	7,253	31,018
2020-01-23	$11.23	$10.00	42.4%	12.2%	32.5%	49.8%	43.0%	11.9%	-0.7%	-37.8K	-42.3K	-24.4K	0.99	89.52	N/A	N/A	156	154	7,404	31,082
2020-01-24	$10.69	$10.00	49.6%	14.2%	35.7%	64.2%	45.0%	16.3%	-6.1%	-87.6K	1.3M	-24.0K	0.41	88.27	N/A	N/A	281	116	7,559	31,231
2020-01-27	$10.55	$10.00	51.8%	14.9%	35.6%	68.8%	50.2%	14.3%	-4.3%	-69.6K	1.6M	-23.9K	0.09	81.10	N/A	N/A	826	75	7,809	31,346
2020-01-28	$10.67	$10.00	54.0%	15.5%	36.0%	73.3%	53.9%	21.3%	-10.8%	-68.1K	834.3K	-25.3K	1.32	90.45	N/A	N/A	240	316	8,481	31,365
2020-01-29	$10.72	$10.00	48.2%	13.8%	33.4%	61.4%	48.3%	16.0%	-1.9%	-68.8K	625.9K	-25.2K	3.24	89.62	N/A	N/A	154	499	8,670	31,671
2020-01-30	$10.48	$10.00	46.1%	13.2%	33.1%	57.1%	45.6%	12.1%	-0.4%	-109.0K	1.4M	-25.6K	0.17	83.29	N/A	N/A	48	8	8,775	32,170
2020-01-31	$10.07	$10.00	54.8%	15.7%	34.9%	74.9%	54.8%	7.4%	-7.5%	-180.0K	2.7M	-24.6K	1.84	82.86	N/A	N/A	283	520	8,756	32,172