NGL Options History — February 2021

In February 2021, NGL traded between $2.34 and $2.81. ATM implied volatility averaged 119.2%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 33.5%. IV traded above realized volatility by 39.4% (HV 20d: 79.8%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.39.

Notable Days

2021-02-10: Highest Volume — 5,238 contracts
2021-02-10: Largest IV drop — 27.7% change
2021-02-02: Highest IV Rank — 45.5%
2021-02-02: Largest Expected Move — 43.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.58	$2.34	$2.81	$2.77	$2.44
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	119.2%	85.9%	150.3%	147.0%	95.1%
Expected Move	33.5%	24.6%	43.1%	42.1%	27.3%
HV 20d	79.8%	56.6%	96.9%	89.2%	58.3%
HV 60d	77.5%	72.8%	82.5%	82.5%	72.8%
IV Rank	32.4%	16.9%	45.5%	44.2%	20.7%
IV Percentile	63.3%	27.4%	83.7%	82.9%	36.9%
Term Structure	7.5%	-16.7%	42.8%	-10.0%	27.0%
VWIV	125.7%	76.0%	174.0%	174.0%	95.1%
Bid-Ask Spread %	24.85	11.77	47.42	12.90	28.73
Gamma HHI	0.53	0.45	0.73	0.73	0.48
Net GEX	2.3K	-25.2K	15.5K	15.4K	8.5K
Net DEX	-858.8K	-1.7M	691.3K	-1.5M	-730.7K
Net VEX	-12.0K	-13.0K	-10.9K	-11.4K	-12.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.09	1.97	0.12	0.11
Total Volume	1,755.842	424	5,238	1,031	424
Total OI	38,876.895	32,261	45,859	36,829	36,362

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
2021-02-01	$2.77	$2.50	147.0%	42.1%	89.2%	44.2%	174.0%	0.0%	-10.0%	15.4K	-1.5M	-11.4K	0.12	12.90	N/A	N/A	922	109	26,584	10,245
2021-02-02	$2.79	$2.50	150.3%	43.1%	88.5%	45.5%	165.0%	0.0%	-16.7%	15.5K	-1.6M	-11.8K	0.21	13.46	N/A	N/A	492	103	26,746	10,359
2021-02-03	$2.76	$2.50	125.7%	36.0%	87.0%	35.6%	153.2%	0.0%	-0.3%	14.9K	-1.6M	-11.4K	0.09	28.89	N/A	N/A	1,012	86	26,766	10,370
2021-02-04	$2.81	$2.50	131.3%	34.1%	87.0%	37.9%	148.4%	0.0%	10.1%	15.1K	-1.7M	-11.8K	0.16	42.69	N/A	N/A	1,227	192	27,216	10,375
2021-02-05	$2.68	$2.50	119.5%	35.5%	86.2%	33.1%	160.3%	0.0%	-4.7%	2.2K	-1.7M	-11.9K	0.48	34.81	N/A	N/A	973	468	27,865	10,487
2021-02-08	$2.62	$2.50	137.1%	36.6%	86.4%	40.2%	127.0%	0.0%	-6.5%	3.1K	-1.1M	-12.9K	0.66	47.42	N/A	N/A	423	279	28,085	10,412
2021-02-09	$2.65	$2.50	149.3%	35.5%	86.4%	45.1%	124.3%	0.0%	7.8%	4.3K	-1.1M	-13.0K	0.46	35.93	N/A	N/A	2,201	1,008	28,316	10,540
2021-02-10	$2.45	$2.50	108.0%	31.0%	89.1%	28.5%	115.2%	0.0%	15.2%	-2.5K	-447.7K	-12.2K	0.19	19.47	N/A	N/A	4,409	829	29,524	12,069
2021-02-11	$2.34	$2.50	128.0%	36.7%	89.0%	36.5%	128.7%	0.0%	3.1%	-6.0K	-64.5K	-10.9K	0.73	11.77	N/A	N/A	982	720	28,405	12,589
2021-02-12	$2.53	$2.50	125.5%	36.0%	94.4%	35.6%	134.6%	0.0%	2.7%	-8.4K	-453.1K	-12.2K	0.14	36.13	N/A	N/A	1,334	193	28,820	13,221
2021-02-16	$2.65	$2.50	115.7%	33.2%	96.1%	31.6%	119.6%	0.0%	8.7%	-7.2K	-953.3K	-12.2K	0.21	21.68	N/A	N/A	1,756	370	29,333	13,086
2021-02-17	$2.54	$2.50	117.5%	33.7%	96.9%	31.9%	124.6%	0.0%	-0.2%	-15.7K	-552.0K	-11.8K	0.62	21.82	N/A	N/A	854	530	30,167	13,315
2021-02-18	$2.49	$2.50	116.5%	33.4%	90.4%	31.4%	117.0%	0.0%	3.5%	-25.2K	-373.3K	-12.0K	0.20	18.79	N/A	N/A	2,085	415	30,565	13,704
2021-02-19	$2.47	$2.50	105.0%	30.1%	60.0%	26.5%	107.1%	0.0%	8.8%	4.1K	691.3K	-11.8K	1.97	15.80	N/A	N/A	1,024	2,017	32,004	13,855
2021-02-22	$2.52	$2.50	105.4%	30.2%	59.3%	26.4%	106.9%	0.0%	17.3%	5.8K	-740.4K	-12.2K	0.16	14.03	N/A	N/A	1,698	272	23,412	8,849
2021-02-23	$2.46	$2.50	98.6%	28.3%	56.6%	23.4%	99.8%	0.0%	12.7%	5.9K	-542.9K	-11.4K	0.71	23.53	N/A	N/A	858	611	25,107	9,054
2021-02-24	$2.56	$2.50	103.7%	29.7%	58.4%	24.3%	111.3%	0.0%	21.3%	7.7K	-817.8K	-12.9K	0.11	19.06	N/A	N/A	917	101	25,530	9,665
2021-02-25	$2.53	$2.50	85.9%	24.6%	57.5%	16.9%	76.0%	0.0%	42.8%	7.3K	-1.0M	-12.7K	0.12	25.25	N/A	N/A	1,309	158	25,952	9,707
2021-02-26	$2.44	$2.50	95.1%	27.3%	58.3%	20.7%	95.1%	0.0%	27.0%	8.5K	-730.7K	-12.3K	0.11	28.73	N/A	N/A	382	42	26,650	9,712