NGL Options History — January 2021 In January 2021, NGL traded between $2.44 and $3.12. ATM implied volatility averaged 107.3%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 32.1%. IV traded above realized volatility by 36.3% (HV 20d: 71.1%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.38.
Notable Days 2021-01-21 : Highest Volume — 28,526 contracts2021-01-21 : Largest IV spike — 80.0% change2021-01-21 : Highest IV Rank — 48.0%2021-01-21 : Largest Expected Move — 44.9%Monthly Statistics Metric Avg Min Max Open Close Price $2.79 $2.44 $3.12 $2.44 $2.74 Max Pain $2.50 $2.50 $2.50 $2.50 $2.50 ATM IV 107.3% 62.1% 156.6% 101.6% 144.4% Expected Move 32.1% 24.4% 44.9% 30.0% 41.4% HV 20d 71.1% 52.2% 94.0% 62.5% 90.1% HV 60d 90.3% 82.8% 97.0% 93.9% 82.8% IV Rank 30.2% 15.4% 48.0% 31.2% 43.1% IV Percentile 54.8% 17.9% 85.7% 59.1% 82.1% Term Structure 2.9% -6.2% 16.5% 1.2% -6.2% VWIV 122.4% 84.8% 204.1% 104.7% 149.6% Bid-Ask Spread % 21.71 10.60 32.42 19.97 21.01 Gamma HHI 0.72 0.49 0.96 0.49 0.49 Net GEX 13.5K 4.5K 18.3K 14.8K 9.1K Net DEX -1.2M -2.1M -360.8K -459.5K -1.2M Net VEX -8.9K -13.4K -4.0K -6.6K -13.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.38 0.00 1.59 0.72 0.65 Total Volume 2,766.211 236 28,526 236 2,202 Total OI 25,683.474 17,648 35,856 21,138 35,856
Daily Data (19 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 2021-01-04 $2.44 $2.50 101.6% 30.0% 62.5% 31.2% 104.7% 0.0% 1.2% 14.8K -459.5K -6.6K 0.72 19.97 N/A N/A 137 99 17,161 3,977 2021-01-05 $2.57 $2.50 79.8% 26.6% 65.0% 23.1% 92.7% 0.0% 8.1% 17.4K -593.4K -6.7K 0.32 10.65 N/A N/A 270 87 17,228 4,059 2021-01-06 $2.62 $2.50 97.8% 27.4% 64.5% 29.8% 95.6% 0.0% -4.8% 9.2K -903.0K -6.3K 0.15 21.68 N/A N/A 514 76 17,249 4,140 2021-01-07 $2.78 $2.50 62.1% 27.2% 63.8% 16.2% 94.8% 0.0% -0.6% 17.2K -1.0M -7.0K 0.13 20.25 N/A N/A 379 49 17,731 4,193 2021-01-08 $2.79 $2.50 80.4% 25.1% 63.8% 23.1% 87.1% 0.0% 9.2% 17.5K -1.0M -7.4K 0.00 28.71 N/A N/A 919 4 17,696 4,153 2021-01-11 $2.74 $2.50 65.9% 28.0% 55.8% 15.4% 97.6% 0.0% 2.5% 18.3K -1.0M -7.5K 1.59 21.95 N/A N/A 282 447 18,307 4,153 2021-01-12 $2.85 $2.50 88.4% 26.6% 54.5% 22.8% 92.7% 0.0% 3.2% 12.7K -1.2M -7.6K 0.55 26.61 N/A N/A 453 249 18,366 4,583 2021-01-13 $2.93 $2.50 97.5% 27.9% 55.0% 25.0% 97.6% 0.0% 1.8% 13.3K -1.2M -8.3K 0.58 30.66 N/A N/A 232 134 18,257 4,812 2021-01-14 $2.95 $2.50 89.0% 25.5% 53.7% 21.5% 87.9% 0.0% 8.2% 4.5K -1.1M -4.0K 0.18 22.18 N/A N/A 306 54 18,284 4,943 2021-01-15 $2.88 $2.50 95.7% 27.4% 53.9% 24.2% 96.2% 0.0% -2.9% 11.6K -948.4K -7.3K 0.80 30.78 N/A N/A 348 279 18,171 4,924 2021-01-19 $2.89 $2.50 85.2% 24.4% 52.2% 20.0% 84.8% 0.0% 9.7% 12.8K -649.9K -7.3K 0.25 17.12 N/A N/A 1,309 324 13,444 4,204 2021-01-20 $2.61 $2.50 87.0% 24.9% 63.7% 20.0% 87.0% 0.0% 7.5% 8.1K -360.8K -7.3K 0.13 25.41 N/A N/A 2,882 371 14,051 4,520 2021-01-21 $3.12 $2.50 156.6% 44.9% 89.7% 48.0% 196.8% 0.0% -4.5% 15.8K -1.9M -12.4K 0.21 20.76 N/A N/A 23,643 4,883 16,363 4,884 2021-01-22 $2.97 $2.50 126.7% 36.3% 91.6% 36.0% 161.1% 0.0% 16.5% 15.6K -2.1M -12.0K 0.10 18.85 N/A N/A 3,588 357 23,899 8,702 2021-01-25 $2.80 $2.50 142.8% 40.9% 93.6% 42.5% 155.6% 0.0% 2.5% 14.2K -1.7M -11.0K 0.28 10.60 N/A N/A 2,723 757 24,837 8,829 2021-01-26 $2.73 $2.50 135.2% 38.8% 94.0% 39.4% 147.1% 0.0% 3.8% 14.6K -1.7M -12.0K 0.21 13.74 N/A N/A 1,359 288 25,992 9,137 2021-01-27 $2.80 $2.50 153.0% 43.9% 92.0% 46.6% 192.1% 0.0% 3.5% 14.7K -1.8M -12.4K 0.33 19.16 N/A N/A 990 330 26,037 9,393 2021-01-28 $2.74 $2.50 150.5% 43.1% 90.8% 45.6% 204.1% 0.0% -3.7% 14.5K -1.7M -12.0K 0.07 32.42 N/A N/A 1,158 76 25,956 9,495 2021-01-29 $2.74 $2.50 144.4% 41.4% 90.1% 43.1% 149.6% 0.0% -6.2% 9.1K -1.2M -13.4K 0.65 21.01 N/A N/A 1,335 867 26,311 9,545
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