NGL Options History — November 2020

In November 2020, NGL traded between $2.18 and $2.84. ATM implied volatility averaged 116.2%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 31.9%. IV traded above realized volatility by 2.7% (HV 20d: 113.5%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.32.

Notable Days

  • 2020-11-09: Highest Volume — 2,959 contracts
  • 2020-11-09: Largest IV spike — 40.4% change
  • 2020-11-09: Highest IV Rank — 60.5%
  • 2020-11-03: Largest Expected Move — 41.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.54$2.18$2.84$2.50$2.18
Max Pain$2.75$2.50$5.00$5.00$2.50
ATM IV116.2%85.2%180.1%132.3%85.2%
Expected Move31.9%24.4%41.4%37.9%24.4%
HV 20d113.5%91.6%123.6%115.3%91.6%
HV 60d84.4%77.5%89.4%81.9%89.4%
IV Rank36.6%25.1%60.5%42.7%25.1%
IV Percentile70.2%47.6%90.1%80.2%47.6%
Term Structure-1.2%-16.2%13.3%0.1%11.9%
VWIV111.2%90.1%144.4%132.3%90.1%
Bid-Ask Spread %29.4513.0360.2330.0139.21
Gamma HHI0.690.550.890.880.63
Net GEX19.8K13.6K24.8K13.6K24.5K
Net DEX-709.0K-1.3M-379.5K-440.9K-379.5K
Net VEX-5.2K-6.7K-3.8K-3.9K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.022.190.150.07
Total Volume743.25682,9595371,211
Total OI17,990.214,48522,07414,48522,074

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$2.50$5.00132.3%37.9%115.3%42.7%132.3%0.0%0.1%13.6K-440.9K-3.9K0.1530.01N/AN/A4686911,3503,135
2020-11-03$2.59$5.00144.4%41.4%116.8%47.2%144.4%0.0%-16.2%14.9K-533.1K-4.0K0.0523.32N/AN/A2941411,3503,135
2020-11-04$2.53$2.50122.0%35.0%116.6%38.8%122.1%0.0%-5.6%15.0K-457.5K-3.9K0.0532.90N/AN/A4772611,3463,211
2020-11-05$2.53$2.50121.8%34.6%110.0%38.7%120.7%0.0%-12.2%14.7K-575.2K-4.1K0.8360.23N/AN/A705811,4653,211
2020-11-06$2.43$2.50128.3%31.2%110.0%41.2%108.1%0.0%-0.7%15.4K-423.3K-3.8K0.1955.75N/AN/A571111,4343,242
2020-11-09$2.72$2.50180.1%32.3%120.5%60.5%104.7%0.0%8.6%17.3K-820.3K-4.5K0.0256.72N/AN/A2,8926711,4733,201
2020-11-10$2.48$2.50129.2%34.9%123.2%41.5%121.6%0.0%-11.7%18.0K-692.4K-5.2K0.2013.03N/AN/A67513714,1073,220
2020-11-11$2.39$2.50103.6%29.7%115.2%31.9%103.6%0.0%0.1%19.8K-482.8K-5.0K0.5719.56N/AN/A26214914,6433,354
2020-11-12$2.27$2.50116.0%33.3%115.4%36.6%116.5%0.0%-1.1%16.9K-401.9K-4.5K0.2426.14N/AN/A1924614,6643,469
2020-11-13$2.51$2.50109.8%31.5%121.0%34.3%109.8%0.0%-0.6%20.1K-655.1K-5.1K2.1922.59N/AN/A18941314,7383,379
2020-11-16$2.58$2.50113.2%32.5%120.9%35.5%113.1%0.0%-8.3%21.1K-697.5K-5.4K0.2421.66N/AN/A67816614,8623,771
2020-11-17$2.71$2.50113.1%32.4%122.8%35.5%113.1%0.0%-6.2%21.5K-953.3K-5.8K0.3419.79N/AN/A52417815,5073,946
2020-11-18$2.78$2.50100.2%28.7%123.6%30.7%100.1%0.0%7.8%22.6K-1.2M-6.2K0.1718.84N/AN/A2975115,5984,049
2020-11-19$2.84$2.5097.4%27.9%118.6%29.6%97.4%0.0%6.4%22.7K-1.3M-6.3K0.0626.05N/AN/A4492515,7514,023
2020-11-20$2.67$2.5097.8%28.0%119.5%29.8%97.8%0.0%7.3%23.0K-1.0M-5.9K0.1326.68N/AN/A5577415,8464,023
2020-11-23$2.74$2.50109.5%31.4%117.6%34.2%109.6%0.0%-1.2%23.4K-1.1M-6.3K0.0724.54N/AN/A1,84312214,9233,540
2020-11-24$2.64$2.50108.0%31.0%93.7%33.6%108.0%0.0%-11.0%24.8K-916.4K-6.7K0.7326.91N/AN/A24017516,7703,645
2020-11-25$2.41$2.50111.9%32.1%98.4%35.1%111.7%0.0%-5.3%22.8K-731.0K-6.4K0.0222.17N/AN/A1,2902316,9833,666
2020-11-27$2.27$2.5099.5%28.5%98.8%30.4%99.8%0.0%13.3%24.6K-468.4K-6.1K0.1522.80N/AN/A3435318,1293,571
2020-11-30$2.18$2.5085.2%24.4%91.6%25.1%90.1%0.0%11.9%24.5K-379.5K-5.8K0.0739.21N/AN/A1,1357618,4513,623