NGL Options History — March 2020 In March 2020, NGL traded between $1.50 and $8.03. ATM implied volatility averaged 170.8%, placing in the 76.3% IV rank vs the trailing year. The 30-day expected move averaged 51.0%. IV traded below realized volatility by 105.2% (HV 20d: 276.0%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.35.
Notable Days 2020-03-06 : Highest Volume — 6,504 contracts2020-03-19 : Largest IV spike — 190.3% change2020-03-05 : Highest IV Rank — 100.0%2020-03-13 : Largest Expected Move — 81.9%Monthly Statistics Metric Avg Min Max Open Close Price $3.84 $1.50 $8.03 $8.03 $2.50 Max Pain $10.00 $10.00 $10.00 $10.00 $10.00 ATM IV 170.8% 61.9% 285.7% 82.2% 213.1% Expected Move 51.0% 23.4% 81.9% 23.6% 61.1% HV 20d 276.0% 34.8% 419.9% 40.2% 419.9% HV 60d 166.1% 38.9% 242.8% 38.9% 242.6% IV Rank 76.3% 29.2% 100.0% 82.7% 72.9% IV Percentile 98.5% 96.0% 100.0% 99.2% 98.0% Term Structure -28.7% -203.1% 219.9% -9.3% -97.2% VWIV 169.0% 56.8% 272.5% 56.8% 263.4% Skew 25d 61.0% -76.3% 267.1% 30.5% 12.7% Skew 10d 67.3% -106.8% 267.1% 36.2% 87.7% Call IV 25d 145.6% 34.8% 280.7% 51.8% 190.2% Put IV 25d 206.6% 60.3% 328.8% 82.4% 202.9% Bid-Ask Spread % 77.82 55.83 96.88 81.21 76.11 Gamma HHI 0.80 0.43 1.00 0.82 0.83 Net GEX -112.7K -455.7K 1.5K -447.5K -18.1K Net DEX 12.9M 8.0M 21.6M 16.9M 10.8M Net VEX -33.3K -82.4K 0 -82.4K -15.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.35 0.06 8.34 2.79 0.06 Total Volume 1,098.136 87 6,504 795 202 Total OI 66,717.182 63,489 68,204 64,599 67,923
Daily Data (22 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 2020-03-02 $8.03 $10.00 82.2% 23.6% 40.2% 82.7% 56.8% 30.5% -9.3% -447.5K 16.9M -82.4K 2.79 81.21 N/A N/A 210 585 9,776 54,823 2020-03-03 $7.69 $10.00 95.4% 27.4% 39.6% 99.7% 87.4% 35.3% -16.6% -455.7K 18.6M -80.9K 2.25 87.22 N/A N/A 141 317 9,879 55,527 2020-03-04 $7.53 $10.00 81.8% 23.4% 34.8% 82.1% 81.4% 32.2% -9.5% -455.1K 19.6M -78.6K 4.32 82.48 N/A N/A 252 1,089 9,962 55,728 2020-03-05 $7.01 $10.00 106.5% 23.9% 38.9% 100.0% 82.5% 17.2% -13.6% -375.6K 21.2M -74.3K 0.39 84.38 N/A N/A 891 351 10,035 56,661 2020-03-06 $6.16 $10.00 63.8% 33.0% 52.1% 51.9% 99.3% 32.6% -16.9% -262.2K 21.6M -63.3K 8.34 64.89 N/A N/A 696 5,808 10,676 56,812 2020-03-09 $3.10 $10.00 61.9% 41.6% 240.6% 49.7% 174.4% 94.2% 150.5% -44.0K 11.2M -26.6K 0.55 96.88 N/A N/A 1,334 737 10,929 52,560 2020-03-10 $3.84 $10.00 173.6% 62.7% 259.2% 100.0% 201.7% 75.3% -60.4% -67.0K 13.9M -34.9K 0.31 67.41 N/A N/A 1,280 393 12,151 52,644 2020-03-11 $3.68 $10.00 200.6% 57.5% 258.7% 100.0% 176.0% -76.3% -192.2% -62.7K 12.6M -34.8K 1.16 71.85 N/A N/A 903 1,044 13,181 52,759 2020-03-12 $3.00 $10.00 168.4% 48.3% 264.2% 82.4% 0.0% 267.1% 219.9% -17.6K 11.8M -21.7K 0.10 90.38 N/A N/A 1,094 111 13,690 53,379 2020-03-13 $3.35 $10.00 285.7% 81.9% 270.0% 100.0% 200.5% 45.6% -177.4% -49.2K 10.4M -34.7K 0.45 77.73 N/A N/A 231 105 13,627 53,384 2020-03-16 $2.96 $10.00 202.4% 58.0% 270.6% 68.9% 210.6% 217.0% 5.6% -39.8K 9.2M -29.6K 0.32 75.39 N/A N/A 543 176 13,581 53,366 2020-03-17 $2.25 $10.00 277.9% 79.7% 280.0% 97.1% 225.0% 4.6% 21.0% -24.0K 8.3M -19.0K 0.23 74.47 N/A N/A 638 144 13,808 53,393 2020-03-18 $1.50 $10.00 96.2% 27.6% 302.1% 29.2% 0.0% -42.7% 0.0% 0 8.0M 0 1.54 90.33 N/A N/A 199 307 13,524 53,285 2020-03-19 $2.85 $10.00 279.3% 80.1% 398.7% 97.6% 0.0% 8.4% -203.1% 1.5K 14.2M -2.7K 2.37 84.70 N/A N/A 610 1,445 13,463 53,233 2020-03-20 $3.39 $10.00 187.1% 53.6% 407.0% 63.2% 0.0% 163.7% 114.4% -19.5K 13.0M -24.3K 0.44 80.55 N/A N/A 796 354 13,655 54,549 2020-03-23 $2.69 $10.00 206.1% 59.1% 411.8% 70.3% 272.5% 129.2% 49.6% -28.8K 10.4M -19.5K 0.78 74.01 N/A N/A 49 38 13,250 54,423 2020-03-24 $2.50 $10.00 125.5% 36.0% 411.7% 40.2% 104.9% 108.8% 136.3% -22.9K 9.9M -18.2K 0.09 81.83 N/A N/A 142 13 13,277 54,416 2020-03-25 $2.85 $10.00 273.1% 78.3% 417.2% 95.3% 0.0% -15.2% -186.7% -16.4K 11.8M -18.6K 1.15 69.78 N/A N/A 92 106 13,355 54,051 2020-03-26 $2.72 $10.00 137.4% 39.4% 416.9% 44.6% 219.4% 111.0% 20.9% -29.2K 11.0M -19.1K 0.87 70.98 N/A N/A 119 104 13,384 54,148 2020-03-27 $2.36 $10.00 262.9% 75.4% 417.9% 91.5% 248.2% 62.8% -153.5% -22.7K 9.5M -16.5K 0.47 73.64 N/A N/A 205 96 13,468 54,246 2020-03-30 $2.46 $10.00 177.1% 50.8% 419.1% 59.4% 169.3% 28.2% -184.5% -21.9K 9.9M -17.5K 0.65 55.83 N/A N/A 127 82 13,524 54,273 2020-03-31 $2.50 $10.00 213.1% 61.1% 419.9% 72.9% 263.4% 12.7% -97.2% -18.1K 10.8M -15.6K 0.06 76.11 N/A N/A 191 11 13,598 54,325
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