NGL Options History — July 2020 In July 2020, NGL traded between $3.57 and $4.96. ATM implied volatility averaged 107.2%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 28.0%. IV traded below realized volatility by 4.0% (HV 20d: 111.2%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.87.
Notable Days 2020-07-16 : Highest Volume — 2,277 contracts2020-07-09 : Largest IV spike — 72.8% change2020-07-14 : Highest IV Rank — 56.5%2020-07-13 : Largest Expected Move — 37.1%Monthly Statistics Metric Avg Min Max Open Close Price $4.23 $3.57 $4.96 $4.05 $4.43 Max Pain $5.23 $5.00 $7.50 $7.50 $5.00 ATM IV 107.2% 82.5% 169.2% 97.5% 95.2% Expected Move 28.0% 20.7% 37.1% 27.9% 27.3% HV 20d 111.2% 94.9% 125.9% 122.7% 97.1% HV 60d 123.8% 105.1% 137.6% 137.5% 105.5% IV Rank 33.3% 24.1% 56.5% 29.7% 28.8% IV Percentile 71.9% 61.5% 88.9% 73.4% 67.1% Term Structure -9.3% -27.1% 0.7% -8.9% -12.5% VWIV 95.8% 83.4% 111.5% 91.1% 95.0% Skew 25d 7.2% -45.1% 39.1% -45.1% 35.1% Skew 10d 10.7% -45.1% 66.2% -45.1% 60.3% Call IV 25d 92.5% 63.4% 149.3% 149.3% 68.3% Put IV 25d 99.7% 71.5% 115.1% 104.2% 103.4% Bid-Ask Spread % 42.00 12.84 82.06 66.99 22.06 Gamma HHI 0.31 0.25 0.38 0.32 0.33 Net GEX 4.0K 1.4K 6.8K 1.5K 5.8K Net DEX 3.0M -637.4K 6.1M 6.0M -65.7K Net VEX -5.9K -7.6K -4.0K -4.5K -6.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.00 4.66 0.07 1.87 Total Volume 625 50 2,277 598 439 Total OI 26,684.773 13,115 38,592 35,033 15,269
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 2020-07-01 $4.05 $7.50 97.5% 27.9% 122.7% 29.7% 0.0% -45.1% -8.9% 1.5K 6.0M -4.5K 0.07 66.99 N/A N/A 557 41 15,711 19,322 2020-07-02 $3.84 $7.50 101.5% 29.1% 123.2% 31.2% 0.0% -22.7% -6.9% 2.0K 5.7M -4.9K 4.66 74.09 N/A N/A 110 513 15,892 19,318 2020-07-06 $3.72 $5.00 120.3% 29.6% 116.5% 38.2% 91.1% 12.6% -23.2% 2.1K 5.8M -4.3K 0.42 59.25 N/A N/A 529 224 15,892 19,826 2020-07-07 $3.68 $5.00 128.5% 20.7% 116.3% 41.2% 100.7% 8.9% -4.4% 2.1K 5.7M -4.0K 0.04 82.06 N/A N/A 1,030 46 16,161 19,833 2020-07-08 $3.84 $5.00 82.5% 30.3% 118.4% 24.1% 105.3% 7.8% -8.6% 1.4K 5.7M -4.9K 1.28 69.31 N/A N/A 282 362 16,573 19,838 2020-07-09 $3.64 $5.00 142.7% 23.0% 118.2% 46.5% 0.0% 4.8% -8.8% 3.6K 5.7M -4.7K 0.06 72.74 N/A N/A 279 17 16,821 20,277 2020-07-10 $3.62 $5.00 141.8% 32.2% 104.0% 46.2% 0.0% 3.4% -17.4% 3.5K 5.7M -4.5K 0.39 61.51 N/A N/A 332 128 16,874 20,277 2020-07-13 $3.57 $5.00 142.3% 37.1% 100.8% 46.4% 0.0% 5.5% -27.1% 4.2K 5.5M -4.6K 0.23 58.93 N/A N/A 385 90 17,158 20,182 2020-07-14 $3.63 $5.00 169.2% 32.5% 101.3% 56.5% 0.0% 14.1% -8.2% 5.3K 5.5M -4.3K 0.00 32.28 N/A N/A 322 0 17,497 20,244 2020-07-15 $4.13 $5.00 111.5% 32.0% 114.4% 34.9% 111.5% 12.7% -17.5% 3.4K 5.8M -5.6K 0.78 63.35 N/A N/A 360 279 17,767 20,244 2020-07-16 $4.60 $5.00 105.8% 30.3% 122.6% 32.8% 105.8% 3.9% -12.4% 2.5K 6.1M -6.5K 1.75 13.77 N/A N/A 829 1,448 17,956 20,260 2020-07-17 $4.34 $5.00 109.2% 31.3% 123.7% 34.0% 111.4% 17.9% -15.4% 3.5K 5.9M -6.6K 0.78 55.69 N/A N/A 682 531 18,306 20,286 2020-07-20 $4.34 $5.00 99.8% 28.6% 118.8% 30.5% 100.4% 5.8% -4.1% 2.5K -118.5K -6.3K 0.22 17.45 N/A N/A 237 53 8,143 4,972 2020-07-21 $4.96 $5.00 89.5% 25.7% 121.9% 26.7% 89.4% 26.7% -1.7% 2.2K -637.4K -7.6K 0.12 15.10 N/A N/A 1,308 160 8,253 5,006 2020-07-22 $4.51 $5.00 90.8% 26.0% 125.9% 27.2% 90.9% 11.0% -4.3% 5.5K -295.3K -7.2K 1.57 12.84 N/A N/A 306 481 8,841 5,136 2020-07-23 $4.57 $5.00 91.1% 26.1% 116.4% 27.3% 91.2% -13.6% -5.8% 5.8K -254.0K -7.1K 0.29 23.21 N/A N/A 82 24 8,998 5,591 2020-07-24 $4.66 $5.00 92.3% 26.4% 100.9% 27.7% 92.3% 10.7% -9.9% 6.2K -354.2K -7.3K 0.46 17.08 N/A N/A 263 121 9,047 5,614 2020-07-27 $4.72 $5.00 91.7% 26.3% 95.7% 27.5% 91.7% 13.3% -3.3% 6.3K -440.2K -7.4K 0.10 16.40 N/A N/A 328 34 9,084 5,716 2020-07-28 $4.77 $5.00 83.3% 23.9% 95.1% 24.4% 83.4% 14.2% 0.7% 6.5K -442.2K -7.4K 3.17 14.95 N/A N/A 12 38 9,190 5,730 2020-07-29 $4.91 $5.00 88.4% 25.3% 94.9% 26.3% 88.7% -7.1% -4.2% 6.8K -553.4K -7.5K 0.14 51.65 N/A N/A 167 23 9,196 5,763 2020-07-30 $4.60 $5.00 84.0% 24.1% 98.2% 24.6% 84.4% 39.1% -0.3% 6.0K -205.4K -6.9K 0.71 23.31 N/A N/A 174 124 9,219 5,782 2020-07-31 $4.43 $5.00 95.2% 27.3% 97.1% 28.8% 95.0% 35.1% -12.5% 5.8K -65.7K -6.5K 1.87 22.06 N/A N/A 153 286 9,360 5,909
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