NGL Options History — May 2020

In May 2020, NGL traded between $4.74 and $5.73. ATM implied volatility averaged 139.3%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 38.6%. IV traded below realized volatility by 10.1% (HV 20d: 149.4%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.69.

Notable Days

  • 2020-05-28: Highest Volume — 16,517 contracts
  • 2020-05-11: Largest IV spike — 16.4% change
  • 2020-05-04: Highest IV Rank — 56.7%
  • 2020-05-04: Largest Expected Move — 46.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.25$4.74$5.73$5.50$5.03
Max Pain$4.88$2.50$5.00$2.50$5.00
ATM IV139.3%118.8%169.9%154.7%120.3%
Expected Move38.6%34.0%46.0%44.4%34.5%
HV 20d149.4%72.5%169.5%169.5%72.5%
HV 60d270.6%269.6%271.7%269.7%271.5%
IV Rank45.3%37.6%56.7%51.0%38.2%
IV Percentile83.9%78.6%89.3%88.1%78.6%
Term Structure7.1%-6.3%26.8%14.0%-1.9%
VWIV132.4%118.9%151.1%151.1%120.6%
Skew 25d21.4%-10.6%30.5%26.7%-10.6%
Skew 10d48.4%-33.8%90.6%69.5%-33.8%
Call IV 25d128.5%107.4%145.4%139.0%112.9%
Put IV 25d149.9%102.3%171.1%165.7%102.3%
Bid-Ask Spread %36.9516.7661.5126.7322.78
Gamma HHI0.670.500.770.580.65
Net GEX-55.5K-73.0K-31.3K-46.1K-31.5K
Net DEX6.7M4.7M8.4M5.5M4.7M
Net VEX-31.9K-38.7K-19.3K-37.2K-19.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.1217.944.250.56
Total Volume1,650.78816,5172,648582
Total OI46,663.8537,08949,20045,77737,089

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$5.50$2.50154.7%44.4%169.5%51.0%151.1%26.7%14.0%-46.1K5.5M-37.2K4.2526.73N/AN/A5042,14414,84230,935
2020-05-04$5.72$5.00169.9%46.0%168.5%56.7%150.1%23.2%0.8%-60.4K5.2M-37.8K0.1245.48N/AN/A6928215,16231,496
2020-05-05$5.73$5.00157.2%43.9%164.6%52.0%147.1%23.5%17.1%-49.6K5.2M-38.7K0.4046.29N/AN/A1,04941915,39931,575
2020-05-06$5.39$5.00159.9%42.7%169.3%53.0%140.8%30.5%2.5%-56.3K5.2M-37.0K0.2961.51N/AN/A1,10031915,00531,679
2020-05-07$5.52$5.00153.4%39.3%159.8%50.5%135.8%20.8%16.3%-42.3K5.2M-38.4K0.4149.86N/AN/A60024815,95131,749
2020-05-08$5.32$5.00141.9%38.2%161.5%46.3%137.4%17.2%24.0%-40.0K5.6M-36.8K0.3847.31N/AN/A54920616,31731,907
2020-05-11$5.31$5.00165.2%39.6%161.3%55.0%138.3%18.6%8.2%-58.5K5.5M-35.0K1.2241.36N/AN/A23728916,34832,022
2020-05-12$5.18$5.00150.3%38.6%157.0%49.4%136.3%19.9%9.3%-37.3K6.2M-34.1K2.0825.64N/AN/A12225416,39432,196
2020-05-13$4.91$5.00140.3%40.2%157.9%45.7%137.4%24.1%2.4%-31.3K6.8M-30.7K0.7530.54N/AN/A39129316,42332,313
2020-05-14$4.74$5.00132.8%38.1%159.0%42.9%132.5%28.9%-1.4%-52.8K7.6M-28.4K0.3327.75N/AN/A1,03633716,66832,488
2020-05-15$4.80$5.00125.9%36.1%158.5%40.3%125.9%19.8%7.2%-56.6K8.1M-27.8K0.4745.36N/AN/A31815016,55332,647
2020-05-18$5.38$5.00139.4%40.0%155.4%45.3%127.1%18.4%5.0%-69.7K7.1M-32.9K0.2238.95N/AN/A1,38529813,84731,252
2020-05-19$5.50$5.00121.0%34.7%154.8%38.4%125.0%20.6%26.8%-73.0K7.1M-33.5K0.3438.99N/AN/A53618214,11731,431
2020-05-20$5.16$5.00118.8%34.0%157.2%37.6%118.9%24.3%7.6%-65.3K7.6M-30.4K0.5023.85N/AN/A34017114,65031,567
2020-05-21$5.19$5.00127.4%36.5%155.7%40.8%122.0%19.0%6.5%-65.5K7.7M-30.1K0.2439.06N/AN/A711714,73731,599
2020-05-22$5.07$5.00126.7%36.3%154.9%40.6%126.7%24.0%-1.9%-62.6K8.4M-26.9K1.6916.76N/AN/A30952114,75931,612
2020-05-26$5.23$5.00126.9%36.4%153.3%40.7%122.5%27.9%6.4%-69.5K8.3M-28.0K0.3834.42N/AN/A31211714,73831,896
2020-05-27$5.26$5.00131.0%37.6%111.9%42.2%131.3%25.4%-6.3%-70.1K8.3M-27.9K1.3321.29N/AN/A13618114,88031,981
2020-05-28$5.16$5.00122.8%35.2%85.3%39.1%122.0%26.1%-1.4%-72.3K8.3M-27.3K17.9455.11N/AN/A87215,64514,91732,136
2020-05-29$5.03$5.00120.3%34.5%72.5%38.2%120.6%-10.6%-1.9%-31.5K4.7M-19.3K0.5622.78N/AN/A37420815,14721,942