NGL Options History — June 2020

In June 2020, NGL traded between $3.78 and $6.90. ATM implied volatility averaged 96.8%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 27.6%. IV traded below realized volatility by 12.7% (HV 20d: 109.5%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.88.

Notable Days

  • 2020-06-05: Highest Volume — 3,833 contracts
  • 2020-06-26: Largest IV spike — 38.9% change
  • 2020-06-26: Highest IV Rank — 38.6%
  • 2020-06-26: Largest Expected Move — 34.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.56$3.78$6.90$5.85$3.92
Max Pain$7.16$5.00$7.50$5.00$7.50
ATM IV96.8%72.0%121.5%120.9%99.5%
Expected Move27.6%20.6%34.8%34.7%28.5%
HV 20d109.5%84.3%142.3%85.3%129.9%
HV 60d182.1%135.5%273.0%273.0%138.2%
IV Rank29.4%20.1%38.6%38.4%30.4%
IV Percentile74.9%70.6%79.0%78.6%74.2%
Term Structure3.3%-29.5%38.5%-7.5%-7.7%
VWIV93.0%78.1%106.8%78.1%94.1%
Skew 25d3.8%-71.7%46.2%12.0%-26.6%
Skew 10d13.0%-67.3%83.4%34.9%-26.6%
Call IV 25d104.4%77.9%177.2%96.3%137.6%
Put IV 25d108.3%86.2%173.1%108.3%111.0%
Bid-Ask Spread %62.2317.1486.1717.1473.87
Gamma HHI0.470.260.600.550.30
Net GEX-16.0K-47.0K6.8K-31.6K1.0K
Net DEX3.5M-105.1K5.9M2.0M5.9M
Net VEX-12.7K-23.0K-3.7K-19.0K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.102.510.360.22
Total Volume1,028.9552073,8333,212541
Total OI35,226.40932,96536,49233,60934,869

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$5.85$5.00120.9%34.7%85.3%38.4%0.0%12.0%-7.5%-31.6K2.0M-19.0K0.3617.14N/AN/A2,36684615,22118,388
2020-06-02$5.83$5.0092.1%26.4%84.3%27.6%0.0%5.7%12.6%-32.5K2.4M-18.0K1.1825.47N/AN/A8551,00615,87118,837
2020-06-03$6.49$5.0072.0%20.6%92.3%20.1%78.1%24.8%15.2%-33.2K970.1K-22.1K0.4237.07N/AN/A84235716,19019,392
2020-06-04$6.36$7.5076.1%26.2%89.5%21.7%93.6%22.4%6.5%-34.9K1.3M-21.8K0.9362.16N/AN/A57053116,39819,351
2020-06-05$6.90$7.5094.9%25.5%93.1%28.7%90.6%10.2%5.6%-38.9K-105.1K-22.5K0.3939.78N/AN/A2,7601,07316,61519,240
2020-06-08$6.89$7.50104.0%26.0%91.5%32.1%94.9%7.1%7.4%-34.2K207.6K-23.0K0.5518.93N/AN/A1,06458916,60219,009
2020-06-09$6.46$7.50102.4%27.6%95.4%31.5%90.8%16.8%-0.5%-44.8K1.8M-20.9K0.1565.36N/AN/A5958816,60519,290
2020-06-10$6.50$7.5092.5%26.5%94.6%27.8%91.9%10.2%-0.1%-47.0K1.7M-20.8K0.1054.44N/AN/A2392516,89519,342
2020-06-11$5.43$7.50103.7%29.7%114.6%32.0%103.7%-1.2%5.3%-20.8K3.7M-15.8K1.2368.54N/AN/A24429916,81519,350
2020-06-12$5.70$7.50106.2%30.4%114.5%32.9%98.8%-8.5%-3.7%6.6K4.2M-5.7K0.2574.08N/AN/A1654216,83119,546
2020-06-15$5.74$7.50117.2%33.6%114.5%37.0%106.8%2.9%-29.5%6.8K4.2M-5.6K0.7282.64N/AN/A14410316,77419,538
2020-06-16$5.80$7.5082.7%23.7%107.6%24.1%80.6%25.6%20.1%6.8K4.3M-5.4K2.5186.17N/AN/A12130416,76719,593
2020-06-17$5.68$7.5082.4%23.6%107.7%24.0%0.0%-71.7%16.9%6.4K4.3M-5.4K2.2578.36N/AN/A9220716,77819,704
2020-06-18$5.66$7.5095.4%27.3%105.0%28.9%94.6%9.2%10.8%-29.4K3.8M-14.6K0.2277.62N/AN/A2555616,79119,663
2020-06-19$5.09$7.5094.4%27.1%112.1%28.5%93.4%-15.8%7.3%-8.2K4.7M-11.3K1.9477.31N/AN/A18335516,78719,705
2020-06-22$5.69$7.5086.5%24.8%118.5%25.5%84.5%28.5%38.5%-31.0K4.3M-13.1K0.4469.53N/AN/A38016814,69918,266
2020-06-23$5.63$7.5092.5%26.5%118.3%27.8%0.0%-5.7%10.5%4.9K4.5M-5.7K1.3575.31N/AN/A30441014,78618,349
2020-06-24$4.89$7.5098.2%28.1%128.9%29.9%98.8%-2.9%-8.5%-3.8K5.2M-9.7K2.4769.89N/AN/A4131,02014,90018,341
2020-06-25$4.17$7.5087.5%25.1%140.2%25.9%94.1%-13.6%-2.5%5.3K5.7M-7.0K0.6479.42N/AN/A44628515,03219,071
2020-06-26$3.85$7.50121.5%34.8%142.3%38.6%0.0%8.4%-11.5%3535.9M-4.4K0.3059.68N/AN/A81724515,12119,282
2020-06-29$3.78$7.50106.5%30.5%128.4%33.0%0.0%46.2%-12.1%8935.8M-3.7K0.8076.34N/AN/A68554715,21919,158
2020-06-30$3.92$7.5099.5%28.5%129.9%30.4%0.0%-26.6%-7.7%1.0K5.9M-4.3K0.2273.87N/AN/A4439815,51919,350