NGL Options History — December 2020

In December 2020, NGL traded between $2.27 and $2.92. ATM implied volatility averaged 100.9%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 29.2%. IV traded above realized volatility by 20.1% (HV 20d: 80.8%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.80.

Notable Days

  • 2020-12-17: Highest Volume — 4,440 contracts
  • 2020-12-07: Largest IV spike — 27.1% change
  • 2020-12-09: Highest IV Rank — 37.1%
  • 2020-12-09: Largest Expected Move — 33.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.64$2.27$2.92$2.27$2.35
Max Pain$2.95$2.50$5.00$2.50$2.50
ATM IV100.9%85.0%117.3%101.0%85.4%
Expected Move29.2%24.4%33.6%28.9%24.5%
HV 20d80.8%62.4%96.2%91.9%62.4%
HV 60d93.2%90.0%94.4%90.0%93.7%
IV Rank30.9%25.0%37.1%31.0%25.2%
IV Percentile57.8%39.7%71.0%62.3%39.7%
Term Structure5.1%-9.0%28.0%0.6%16.2%
VWIV101.6%85.0%121.4%102.1%85.2%
Bid-Ask Spread %20.9712.0832.2624.7932.26
Gamma HHI0.570.490.700.640.50
Net GEX22.9K13.0K43.2K27.9K13.9K
Net DEX-1.2M-2.6M-347.0K-615.6K-370.6K
Net VEX-7.9K-9.1K-6.3K-6.5K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.006.240.000.06
Total Volume1,067.318184,4404762,062
Total OI23,592.04521,26426,11823,05821,847

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$2.27$2.50101.0%28.9%91.9%31.0%102.1%0.0%0.6%27.9K-615.6K-6.5K0.0024.79N/AN/A475119,4543,604
2020-12-02$2.45$2.50101.9%29.2%95.3%31.3%101.9%0.0%4.2%32.4K-902.6K-7.2K0.1120.05N/AN/A3503819,5883,604
2020-12-03$2.54$5.0097.7%32.4%96.0%29.7%113.1%0.0%-2.7%35.8K-1.2M-7.7K0.2321.96N/AN/A96121819,7533,614
2020-12-04$2.59$5.0090.5%29.2%96.2%27.1%98.6%0.0%10.7%37.9K-1.3M-7.5K0.3714.89N/AN/A1,18643719,2923,503
2020-12-07$2.52$5.00115.1%29.7%95.6%36.2%102.9%0.0%5.6%33.6K-957.1K-7.2K1.3517.47N/AN/A13618419,2983,897
2020-12-08$2.69$5.00100.6%30.7%89.6%30.8%105.0%0.0%3.6%18.1K-1.9M-6.9K0.1419.11N/AN/A3,04243119,3853,962
2020-12-09$2.68$2.50117.3%33.6%82.8%37.1%114.0%0.0%-9.0%42.1K-1.6M-8.6K0.1116.97N/AN/A4204521,2844,353
2020-12-10$2.92$2.50107.8%30.9%86.1%33.5%107.4%0.0%-5.5%16.6K-2.6M-8.9K0.1019.28N/AN/A6546821,5264,369
2020-12-11$2.77$2.50111.4%31.9%86.3%34.9%108.2%0.0%-2.9%43.2K-2.1M-9.0K0.0419.87N/AN/A1,0863921,2674,353
2020-12-14$2.82$2.50110.9%31.8%79.5%34.7%111.0%0.0%-7.8%38.0K-2.0M-9.1K0.0527.29N/AN/A1,6058021,4194,390
2020-12-15$2.92$2.50113.3%32.5%79.8%35.6%92.1%0.0%-6.0%14.1K-2.4M-8.1K3.8219.21N/AN/A22084121,1704,385
2020-12-16$2.86$2.50100.4%28.8%78.6%30.7%101.3%0.0%5.4%17.1K-2.2M-8.9K1.2825.03N/AN/A8611021,2884,719
2020-12-17$2.76$2.50101.2%29.0%79.3%31.0%100.3%0.0%0.0%15.3K-1.9M-8.3K0.0016.64N/AN/A4,4231721,2904,828
2020-12-18$2.71$2.50104.0%29.8%79.1%32.1%104.2%0.0%-2.5%15.5K-1.2M-8.3K0.4031.26N/AN/A73929518,8484,839
2020-12-21$2.65$2.5090.3%25.9%76.3%27.0%90.4%0.0%19.3%15.4K-732.0K-8.2K6.2418.83N/AN/A1761,09916,9734,291
2020-12-22$2.60$2.5085.0%24.4%76.0%25.0%85.0%0.0%28.0%14.1K-580.0K-8.3K0.1113.43N/AN/A2753016,9824,850
2020-12-23$2.70$2.5090.8%26.0%76.1%27.2%90.8%0.0%13.2%14.8K-608.8K-8.3K0.0323.25N/AN/A4031117,1064,867
2020-12-24$2.74$2.5095.7%27.4%67.9%29.0%121.4%0.0%10.4%15.3K-702.1K-8.3K2.6020.97N/AN/A51317,1234,873
2020-12-28$2.59$2.5098.3%28.2%67.5%30.0%98.3%0.0%10.4%14.5K-511.9K-7.7K0.4324.46N/AN/A2139117,1404,881
2020-12-29$2.48$2.50105.1%30.1%67.7%32.5%105.1%0.0%9.8%13.0K-347.0K-7.0K0.0012.08N/AN/A451017,3004,950
2020-12-30$2.42$2.5096.7%27.7%67.3%29.4%96.7%0.0%5.7%14.3K-381.5K-7.2K0.2122.30N/AN/A3838217,6074,953
2020-12-31$2.35$2.5085.4%24.5%62.4%25.2%85.2%0.0%16.2%13.9K-370.6K-6.3K0.0632.26N/AN/A1,94811417,8563,991