NGL Options History — April 2020

In April 2020, NGL traded between $1.96 and $6.05. ATM implied volatility averaged 214.5%, placing in the 73.4% IV rank vs the trailing year. The 30-day expected move averaged 61.8%. IV traded below realized volatility by 51.0% (HV 20d: 265.6%). Max pain ranged from $2.50 to $10.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.10.

Notable Days

  • 2020-04-09: Highest Volume — 5,934 contracts
  • 2020-04-13: Largest IV spike — 87.5% change
  • 2020-04-02: Highest IV Rank — 95.6%
  • 2020-04-02: Largest Expected Move — 83.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.19$1.96$6.05$2.05$6.05
Max Pain$2.98$2.50$10.00$10.00$2.50
ATM IV214.5%129.9%274.1%263.0%141.4%
Expected Move61.8%37.2%83.6%75.4%40.5%
HV 20d265.6%137.7%423.6%422.7%161.4%
HV 60d253.7%245.0%269.2%245.1%269.2%
IV Rank73.4%41.8%95.6%91.5%46.1%
IV Percentile94.1%87.3%98.8%98.4%87.3%
Term Structure-27.3%-207.0%184.2%-159.2%42.0%
VWIV221.7%104.4%290.0%271.4%161.8%
Skew 25d12.3%-135.5%86.6%7.0%8.2%
Skew 10d25.2%-64.6%97.4%-46.7%8.0%
Call IV 25d180.2%131.9%220.9%185.3%142.8%
Put IV 25d192.6%85.4%244.1%192.4%151.0%
Bid-Ask Spread %64.6323.6395.4965.7323.63
Gamma HHI0.720.600.880.870.66
Net GEX-22.0K-61.5K-8.6K-11.6K-61.5K
Net DEX8.1M4.4M11.7M10.1M4.4M
Net VEX-18.5K-39.3K-7.9K-7.9K-39.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.100.0522.753.210.93
Total Volume1,505.286595,934593,604
Total OI54,983.28637,29769,56167,93944,030

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$2.05$10.00263.0%75.4%422.7%91.5%271.4%7.0%-159.2%-11.6K10.1M-7.9K3.2165.73N/AN/A144513,58654,353
2020-04-02$2.08$5.00274.1%83.6%423.6%95.6%290.0%-135.5%-207.0%-14.2K9.1M-12.8K0.0878.56N/AN/A7246013,58654,373
2020-04-03$2.08$2.50257.4%56.4%423.3%89.4%104.4%11.6%-44.2%-11.5K10.0M-8.8K0.0572.58N/AN/A4552114,03154,427
2020-04-06$1.96$2.50268.3%79.3%351.5%93.5%280.6%14.7%-41.5%-8.6K9.2M-10.0K0.1571.19N/AN/A1462214,11554,448
2020-04-07$2.11$2.50201.4%74.0%342.4%68.5%258.1%-13.6%-23.2%-10.2K9.7M-10.8K0.0795.49N/AN/A5033314,10554,454
2020-04-08$2.57$2.50209.7%60.1%351.6%71.6%218.3%6.3%10.1%-16.8K11.3M-14.4K0.0777.71N/AN/A1,53810914,18454,475
2020-04-09$2.76$2.50129.9%37.2%345.8%41.8%0.0%46.8%184.2%-17.6K11.7M-16.6K5.8281.06N/AN/A8705,06414,98454,577
2020-04-13$2.96$2.50243.5%69.8%344.4%84.2%0.0%17.0%-164.7%-18.1K10.8M-17.3K22.7584.93N/AN/A1713,89016,20449,637
2020-04-14$3.40$2.50249.4%71.5%345.1%86.4%244.0%21.0%-68.3%-22.9K11.1M-20.4K0.5848.50N/AN/A70040416,22346,414
2020-04-15$3.28$2.50247.1%70.8%329.3%85.6%0.0%-1.4%8.0%-21.8K10.5M-19.7K0.4960.48N/AN/A39519416,25746,514
2020-04-16$3.39$2.50262.2%75.2%288.7%91.2%0.0%26.8%-186.1%-23.6K10.9M-20.2K0.4163.99N/AN/A1305316,28746,705
2020-04-17$3.33$2.50235.0%67.4%181.6%81.1%0.0%16.0%-180.3%-21.2K10.4M-21.0K0.2174.71N/AN/A3096416,31246,724
2020-04-20$3.01$2.50210.7%60.4%174.3%72.0%0.0%7.3%32.3%-18.9K4.5M-15.7K1.1341.19N/AN/A1171329,89627,401
2020-04-21$2.98$2.50250.8%71.9%152.8%87.0%0.0%86.6%2.1%-19.7K4.8M-14.7K3.9664.68N/AN/A1947689,93327,516
2020-04-22$3.22$2.50158.5%45.4%151.9%52.5%0.0%76.7%148.1%-18.4K4.7M-19.0K2.9362.05N/AN/A16347710,08828,275
2020-04-23$3.50$2.50146.6%42.0%147.8%48.1%0.0%13.6%145.4%-23.2K5.4M-20.9K0.1170.90N/AN/A5916310,29628,644
2020-04-24$3.36$2.50237.5%68.1%147.6%82.0%0.0%8.4%-8.2%-23.0K5.5M-19.3K0.1275.38N/AN/A82510310,54828,707
2020-04-27$3.23$2.50205.6%58.9%137.7%70.1%0.0%-4.2%-53.6%-21.2K5.3M-17.8K0.5678.24N/AN/A20911711,26328,769
2020-04-28$4.38$2.50149.2%42.8%171.7%49.0%166.7%19.4%15.1%-32.8K5.8M-26.5K0.4037.62N/AN/A2,05281511,39728,863
2020-04-29$5.37$2.50164.4%47.1%182.4%54.7%161.8%26.0%-23.6%-46.3K5.1M-36.3K0.1528.61N/AN/A4,74172612,72629,322
2020-04-30$6.05$2.50141.4%40.5%161.4%46.1%0.0%8.2%42.0%-61.5K4.4M-39.3K0.9323.63N/AN/A1,8641,74014,32129,709