NGL Options History — February 2020

In February 2020, NGL traded between $8.07 and $10.70. ATM implied volatility averaged 48.9%, placing in the 57.5% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 9.9% (HV 20d: 39.0%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 14.26.

Notable Days

  • 2020-02-12: Highest Volume — 17,970 contracts
  • 2020-02-27: Largest IV spike — 68.5% change
  • 2020-02-27: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 27.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.49$8.07$10.70$10.30$8.07
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV48.9%37.2%95.7%58.5%95.7%
Expected Move14.0%10.7%27.4%16.8%27.4%
HV 20d39.0%34.0%43.2%34.0%41.4%
HV 60d37.8%36.5%39.3%36.6%38.9%
IV Rank57.5%39.2%100.0%82.3%100.0%
IV Percentile85.2%66.7%100.0%98.4%100.0%
Term Structure-1.3%-33.0%14.4%-9.3%-21.8%
VWIV48.5%37.2%86.8%58.4%86.8%
Skew 25d-0.8%-32.4%20.6%10.4%15.1%
Skew 10d3.7%-32.4%62.8%15.2%34.9%
Call IV 25d45.0%31.0%81.3%48.1%81.3%
Put IV 25d44.2%33.8%96.4%58.5%96.4%
Bid-Ask Spread %72.3410.6295.2381.1993.98
Gamma HHI0.600.400.820.550.82
Net GEX-319.4K-489.9K-61.0K-71.5K-429.9K
Net DEX6.9M414.1K16.4M1.8M16.4M
Net VEX-51.7K-86.0K-24.2K-24.2K-86.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.260.02178.720.990.26
Total Volume2,534.63216117,9706971,293
Total OI51,716.36840,45564,79640,45564,796

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$10.30$10.0058.5%16.8%34.0%82.3%58.4%10.4%-9.3%-71.5K1.8M-24.2K0.9981.19N/AN/A3503478,71731,738
2020-02-04$10.68$10.0046.1%13.2%37.2%57.2%0.0%7.7%14.4%-62.6K504.5K-24.8K0.3281.79N/AN/A5271709,03731,985
2020-02-05$10.70$10.0052.6%15.1%37.2%70.4%69.5%-32.4%2.0%-61.0K414.1K-24.8K0.5885.67N/AN/A1,4998669,08732,085
2020-02-06$9.97$10.0040.2%11.8%43.2%45.3%40.6%5.8%1.6%-212.9K3.6M-39.9K0.4384.79N/AN/A1,3005549,96132,467
2020-02-07$9.86$10.0039.6%12.0%40.8%44.3%41.7%3.1%1.5%-223.5K3.8M-42.2K4.3583.19N/AN/A6930010,01832,493
2020-02-10$9.61$10.0043.9%11.6%41.1%52.8%40.5%-0.1%4.4%-251.4K5.1M-42.0K1.9683.68N/AN/A8516710,06832,586
2020-02-11$9.57$10.0042.1%12.3%41.0%49.3%41.0%-5.7%-0.3%-257.5K4.9M-39.6K7.4081.36N/AN/A4533310,10332,608
2020-02-12$9.44$10.0042.1%12.1%40.1%49.3%40.9%-5.2%-0.5%-275.6K5.6M-40.2K67.5983.34N/AN/A26217,70810,12432,891
2020-02-13$9.51$10.0041.0%11.8%40.1%47.1%41.0%-2.7%0.4%-353.3K7.0M-55.0K178.7282.81N/AN/A295,18310,14842,841
2020-02-14$9.44$10.0037.2%10.7%39.5%39.2%37.2%-2.7%2.4%-427.3K8.0M-59.0K0.6073.39N/AN/A21312810,13547,809
2020-02-18$9.48$10.0038.7%11.1%39.8%42.4%38.8%-0.8%1.8%-399.8K7.6M-57.2K0.0241.86N/AN/A9591610,19747,797
2020-02-19$9.53$10.0039.2%11.2%39.6%43.4%0.0%-1.2%0.0%-395.0K7.2M-57.8K0.4810.62N/AN/A29614110,89047,783
2020-02-20$9.51$10.0039.9%11.4%38.9%44.7%39.9%-1.1%-0.0%-363.3K7.0M-58.2K0.2273.42N/AN/A1433211,00747,867
2020-02-21$9.39$10.0040.6%11.6%38.9%46.2%41.5%-3.2%-0.8%-398.2K7.5M-57.1K0.2110.62N/AN/A1332811,08347,584
2020-02-24$9.18$10.0041.5%11.9%36.3%48.1%42.1%-2.4%0.5%-478.4K8.7M-57.2K0.3365.87N/AN/A2,4528109,34547,361
2020-02-25$8.82$10.0045.7%13.1%38.0%56.5%45.5%-13.2%-1.3%-468.4K10.8M-67.0K0.3495.23N/AN/A6402169,70447,899
2020-02-26$8.70$10.0054.1%15.5%37.3%73.7%48.7%-8.2%13.7%-448.4K11.2M-68.1K3.5784.76N/AN/A1,9356,90910,00447,977
2020-02-27$8.61$10.0091.2%26.1%36.8%100.0%71.2%20.6%-33.0%-489.9K13.4M-82.5K2.5576.90N/AN/A5691,4519,93154,485
2020-02-28$8.07$10.0095.7%27.4%41.4%100.0%86.8%15.1%-21.8%-429.9K16.4M-86.0K0.2693.98N/AN/A1,02626710,02054,776