NGL Options History — August 2020

In August 2020, NGL traded between $4.04 and $4.96. ATM implied volatility averaged 73.2%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded below realized volatility by 8.7% (HV 20d: 81.9%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2020-08-11: Highest Volume — 1,095 contracts
  • 2020-08-28: Largest IV spike — 47.6% change
  • 2020-08-03: Highest IV Rank — 29.1%
  • 2020-08-03: Largest Expected Move — 27.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.36$4.04$4.96$4.45$4.35
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV73.2%45.3%96.1%96.1%50.8%
Expected Move20.5%13.0%27.5%27.5%14.6%
HV 20d81.9%65.9%106.5%96.1%65.9%
HV 60d104.3%97.3%108.5%105.3%97.3%
IV Rank20.6%10.2%29.1%29.1%12.2%
IV Percentile55.6%42.9%68.3%68.3%44.8%
Term Structure13.4%-13.7%44.4%-7.7%37.6%
VWIV74.2%39.6%109.1%95.0%39.6%
Skew 25d-4.0%-15.0%19.9%14.6%5.9%
Skew 10d-5.3%-29.6%26.6%18.3%19.6%
Call IV 25d81.9%67.9%90.3%88.1%70.4%
Put IV 25d77.9%68.6%102.8%102.8%76.3%
Bid-Ask Spread %39.6414.5479.6115.8323.86
Gamma HHI0.410.360.520.390.49
Net GEX9.0K4.6K15.2K4.6K9.2K
Net DEX-97.0K-995.8K508.0K20.4K-230.8K
Net VEX-5.8K-8.2K-4.2K-6.5K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.0212.154.800.18
Total Volume369.429641,0951,090166
Total OI14,974.38112,64916,08915,60612,743

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$4.45$5.0096.1%27.5%96.1%29.1%95.0%14.6%-7.7%4.6K20.4K-6.5K4.8015.83N/AN/A1889029,4376,169
2020-08-04$4.70$5.0079.5%22.8%97.1%22.9%79.7%19.9%-2.9%8.2K-271.7K-6.9K0.1816.06N/AN/A447799,4895,826
2020-08-05$4.70$5.0092.0%26.4%96.5%27.6%92.1%-6.2%-13.7%10.0K-542.4K-7.7K0.2579.61N/AN/A401999,5345,850
2020-08-06$4.70$5.0090.4%20.8%93.6%27.0%72.2%-6.1%16.6%11.9K-580.2K-7.9K0.4738.20N/AN/A3401619,7225,868
2020-08-07$4.62$5.0094.1%22.5%94.0%28.4%78.5%-9.1%11.9%12.1K-489.2K-7.8K0.0242.47N/AN/A19339,8995,988
2020-08-10$4.96$5.0082.7%23.8%95.7%24.1%76.1%7.6%8.3%15.2K-995.8K-8.2K0.3238.66N/AN/A69622310,0885,991
2020-08-11$4.42$5.0095.7%26.3%106.5%29.0%92.8%-9.3%-10.4%12.5K-293.9K-7.0K0.1733.44N/AN/A93216310,1075,966
2020-08-12$4.52$5.0083.0%23.8%97.0%24.2%82.9%-11.3%-2.4%13.2K-219.1K-6.5K0.0933.07N/AN/A78710,0085,984
2020-08-13$4.33$5.0068.6%19.7%90.2%18.9%49.3%-10.8%32.2%9.7K184.5K-5.7K0.4768.71N/AN/A1396510,0135,989
2020-08-14$4.33$5.0082.4%23.6%87.9%24.0%83.2%-13.2%0.2%9.9K182.3K-5.9K0.1026.97N/AN/A5869,9705,984
2020-08-17$4.12$5.0066.8%19.1%89.6%18.2%57.6%-8.1%0.4%8.1K381.0K-4.8K12.1571.20N/AN/A263169,9745,988
2020-08-18$4.09$5.0072.0%20.6%73.8%20.1%81.9%-9.0%-7.2%7.2K397.2K-4.9K0.0956.92N/AN/A223209,9696,120
2020-08-19$4.20$5.0068.1%19.5%67.4%18.7%0.0%-15.0%0.9%8.0K371.7K-5.2K0.6261.48N/AN/A74469,8556,114
2020-08-20$4.08$5.0066.4%19.0%67.7%18.0%63.5%-10.0%6.5%7.0K415.0K-4.9K0.6963.35N/AN/A51359,8906,090
2020-08-21$4.04$5.0067.2%19.3%67.1%18.3%65.3%-10.0%3.4%6.9K508.0K-4.6K0.0963.10N/AN/A202199,8736,111
2020-08-24$4.16$5.0061.6%17.7%68.0%16.2%91.6%-4.3%42.3%6.9K-147.6K-4.2K2.7621.10N/AN/A762108,2344,415
2020-08-25$4.12$5.0052.9%15.2%67.7%13.0%109.1%-4.6%42.5%6.8K-125.0K-4.2K0.3821.52N/AN/A82318,2504,453
2020-08-26$4.04$5.0055.2%15.8%66.4%13.8%0.0%-8.8%44.4%7.1K-109.5K-4.4K0.0924.78N/AN/A442408,3064,471
2020-08-27$4.24$5.0045.3%13.0%66.1%10.2%59.6%-1.8%43.1%7.6K-179.3K-4.4K0.1417.48N/AN/A112168,3724,486
2020-08-28$4.37$5.0066.9%19.2%65.9%18.2%39.8%4.9%36.5%8.1K-311.5K-4.8K0.0214.54N/AN/A38568,3704,496
2020-08-31$4.35$5.0050.8%14.6%65.9%12.2%39.6%5.9%37.6%9.2K-230.8K-4.7K0.1823.86N/AN/A141258,2514,492