NGL Options History — October 2020

In October 2020, NGL traded between $2.41 and $4.36. ATM implied volatility averaged 84.0%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 22.0%. IV traded above realized volatility by 12.0% (HV 20d: 72.0%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.48.

Notable Days

  • 2020-10-28: Highest Volume — 3,519 contracts
  • 2020-10-05: Largest IV spike — 39.8% change
  • 2020-10-30: Highest IV Rank — 43.6%
  • 2020-10-30: Largest Expected Move — 38.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.71$2.41$4.36$4.05$2.41
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV84.0%58.3%134.8%58.3%134.8%
Expected Move22.0%15.8%38.6%16.7%38.6%
HV 20d72.0%47.2%114.5%48.4%114.5%
HV 60d69.0%59.3%81.3%72.2%81.3%
IV Rank24.6%15.0%43.6%15.0%43.6%
IV Percentile54.7%41.3%81.0%41.3%81.0%
Term Structure-2.5%-50.0%36.4%27.0%-9.1%
VWIV90.4%50.4%134.8%99.2%134.8%
Skew 25d16.4%0.0%32.5%16.5%0.0%
Skew 10d16.4%0.0%32.5%16.5%0.0%
Call IV 25d111.0%108.7%114.1%110.2%108.7%
Put IV 25d127.4%108.7%146.6%126.7%108.7%
Bid-Ask Spread %34.227.6966.8832.4329.69
Gamma HHI0.520.381.000.440.80
Net GEX4.8K1.0K8.6K3.9K8.6K
Net DEX238.4K-250.5K597.0K498.8K-131.8K
Net VEX-2.3K-3.3K-9-2.3K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.002.430.150.06
Total Volume579.909183,519862,506
Total OI11,009.9097,39313,36812,74612,190

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$4.05$5.0058.3%16.7%48.4%15.0%99.2%16.5%27.0%3.9K498.8K-2.3K0.1532.43N/AN/A75118,0694,677
2020-10-02$4.05$5.0060.0%17.2%47.2%15.7%84.8%32.5%-4.9%4.4K502.6K-2.4K1.3150.12N/AN/A1001318,1254,672
2020-10-05$4.15$5.0083.9%20.0%47.8%24.6%70.0%0.0%7.7%4.7K487.7K-2.6K0.0934.73N/AN/A368348,1894,763
2020-10-06$3.94$5.0078.8%18.5%48.5%22.7%63.6%0.0%36.4%4.4K597.0K-2.4K0.5161.69N/AN/A180918,0164,734
2020-10-07$3.78$5.0084.6%25.4%51.0%24.8%94.4%0.0%-4.6%4.0K580.3K-2.3K0.5461.98N/AN/A125688,1494,675
2020-10-08$4.12$5.0074.5%15.8%55.0%21.1%74.3%0.0%36.3%4.6K517.8K-2.5K2.0018.46N/AN/A18368,2044,703
2020-10-09$4.07$5.0082.9%17.7%55.2%24.2%50.4%0.0%0.5%4.5K525.2K-2.5K0.0759.88N/AN/A2928,2054,708
2020-10-12$4.03$5.00114.8%21.5%53.7%36.1%89.7%0.0%-13.9%4.2K538.5K-2.4K0.1257.27N/AN/A1728,2444,708
2020-10-13$3.97$5.00125.6%19.5%54.1%40.1%78.6%0.0%-0.9%4.0K570.5K-2.3K0.0062.86N/AN/A10208,2374,708
2020-10-14$4.36$5.0081.1%23.2%62.3%23.5%82.6%0.0%-14.4%5.4K476.5K-2.9K0.2355.17N/AN/A404918,3394,708
2020-10-15$4.25$5.0070.7%20.3%63.1%19.6%0.0%0.0%-17.9%7.5K440.6K-3.0K2.4366.88N/AN/A21518,6454,723
2020-10-16$3.83$5.0072.3%20.7%72.8%20.3%85.2%0.0%-9.9%4.1K591.3K-2.2K0.357.69N/AN/A8232918,6424,714
2020-10-19$3.58$5.0067.0%19.2%76.5%18.3%90.6%0.0%-12.9%5.2K-129.2K-2.4K0.6615.49N/AN/A2861885,2602,133
2020-10-20$3.62$5.0070.5%20.2%76.2%19.6%104.7%0.0%-22.4%5.2K-113.0K-2.5K0.7812.81N/AN/A1321035,3352,284
2020-10-21$3.60$5.0067.4%19.3%75.9%18.4%110.5%0.0%-21.1%5.7K-119.7K-2.3K0.3810.24N/AN/A1355,4362,384
2020-10-22$3.93$5.0077.2%22.1%81.8%22.1%86.8%0.0%-50.0%3.2K-221.8K-2.0K0.0410.20N/AN/A4725,4432,389
2020-10-23$3.92$5.0078.7%22.5%81.9%22.6%89.8%0.0%-19.4%3.7K-236.4K-2.1K0.0211.17N/AN/A6415,4412,391
2020-10-26$3.59$5.0074.9%21.5%87.2%21.2%84.6%0.0%-26.5%5.6K-108.9K-2.3K0.339.45N/AN/A3111035,4382,392
2020-10-27$2.92$5.0084.8%24.3%110.7%24.9%120.9%0.0%21.0%3.1K122.6K-1.2K0.3030.88N/AN/A1,3464095,6962,492
2020-10-28$2.85$5.00105.7%30.3%110.5%32.7%98.1%0.0%16.8%1.0K107.4K-90.0625.44N/AN/A3,3102095,7122,829
2020-10-29$2.70$5.0099.9%28.6%110.0%30.6%105.0%0.0%27.7%7.6K-250.5K-3.3K0.1328.34N/AN/A579748,4292,987
2020-10-30$2.41$5.00134.8%38.6%114.5%43.6%134.8%0.0%-9.1%8.6K-131.8K-3.2K0.0629.69N/AN/A2,3611459,1483,042