NGL Options History — March 2021

In March 2021, NGL traded between $1.97 and $2.71. ATM implied volatility averaged 92.1%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 26.9%. IV traded above realized volatility by 37.4% (HV 20d: 54.8%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.79.

Notable Days

  • 2021-03-23: Highest Volume — 4,194 contracts
  • 2021-03-30: Largest IV drop — 44.0% change
  • 2021-03-29: Highest IV Rank — 28.3%
  • 2021-03-08: Largest Expected Move — 34.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.37$1.97$2.71$2.56$2.08
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV92.1%55.5%110.1%100.4%55.5%
Expected Move26.9%15.9%34.8%28.8%15.9%
HV 20d54.8%46.0%63.5%61.3%51.6%
HV 60d69.4%67.7%73.0%73.0%68.9%
IV Rank19.8%4.5%28.3%22.9%4.5%
IV Percentile36.3%2.0%63.5%48.0%2.0%
Term Structure13.2%-25.7%40.4%15.0%40.4%
VWIV96.4%60.9%127.4%97.1%60.9%
Bid-Ask Spread %13.676.8724.7914.599.77
Gamma HHI0.490.430.800.480.45
Net GEX1.2K-15.0K16.6K8.3K2.1K
Net DEX43.5K-1.8M1.1M-809.7K1.1M
Net VEX-11.6K-12.9K-9.2K-12.0K-10.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.035.180.190.45
Total Volume1,558.2173184,1943181,729
Total OI41,484.30436,40147,43436,40145,082

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$2.56$2.50100.4%28.8%61.3%22.9%97.1%0.0%15.0%8.3K-809.7K-12.0K0.1914.59N/AN/A2675126,6759,726
2021-03-02$2.55$2.5091.7%26.3%61.1%19.3%91.7%0.0%14.7%7.5K-869.4K-11.9K0.1415.21N/AN/A3535026,7159,748
2021-03-03$2.61$2.5086.5%24.8%61.8%17.1%86.3%0.0%24.5%8.3K-952.4K-12.0K0.1724.79N/AN/A1,70329526,9329,711
2021-03-04$2.71$2.5094.5%29.6%63.3%20.4%103.1%0.0%18.8%16.6K-1.8M-11.6K0.7910.30N/AN/A1,4881,18127,0189,751
2021-03-05$2.64$2.5095.9%29.8%63.5%21.0%104.9%0.0%21.8%5.9K-1.0M-12.7K0.4519.69N/AN/A87239327,60910,380
2021-03-08$2.57$2.50105.8%34.8%62.0%25.1%121.8%0.0%3.0%6.9K-945.5K-12.9K1.7615.21N/AN/A50488928,27910,755
2021-03-09$2.50$2.50106.3%31.4%62.3%25.4%110.5%0.0%12.6%5.2K-690.3K-12.1K5.189.64N/AN/A3211,66328,30810,752
2021-03-10$2.58$2.50104.8%30.0%63.3%24.7%127.4%0.0%13.2%3.4K-723.1K-12.8K1.1313.69N/AN/A20122828,47011,929
2021-03-11$2.56$2.5098.0%28.1%56.5%21.9%110.1%0.0%24.0%1.9K-638.6K-12.7K0.3014.17N/AN/A52115428,51111,945
2021-03-12$2.44$2.5098.8%28.3%56.7%22.2%100.9%0.0%21.5%-3.0K-118.6K-12.3K0.9010.80N/AN/A1,3991,25428,78312,566
2021-03-15$2.48$2.5098.0%28.1%49.5%21.9%99.5%0.0%18.7%-12.9K48.3K-12.1K0.5715.32N/AN/A1,13164129,33914,438
2021-03-16$2.38$2.50100.1%28.7%48.1%23.4%100.1%0.0%13.3%-15.0K618.3K-11.1K0.3315.08N/AN/A1,18438830,08115,045
2021-03-17$2.29$2.5096.3%27.6%47.7%21.8%96.3%0.0%20.6%8041.1M-11.2K0.5013.29N/AN/A1,07554130,92615,270
2021-03-18$2.30$2.5099.4%28.5%47.5%23.1%99.4%0.0%5.4%1.6K934.1K-11.9K1.1122.03N/AN/A46451431,19415,464
2021-03-19$2.41$2.5085.8%24.6%50.8%17.3%85.8%0.0%12.8%-1.7K1.1M-12.6K3.0217.89N/AN/A5871,77231,26316,171
2021-03-22$2.29$2.5084.0%24.1%53.0%16.9%84.0%0.0%11.2%-4.7K365.4K-11.5K0.4315.73N/AN/A1,89082225,78112,413
2021-03-23$2.23$2.5094.5%27.1%53.2%21.5%94.5%0.0%-4.5%-4.8K666.7K-10.5K0.0715.17N/AN/A3,93126326,69813,209
2021-03-24$2.19$2.5079.8%22.9%50.6%15.1%79.8%0.0%6.1%-4.0K696.7K-11.3K0.036.87N/AN/A9072328,91113,441
2021-03-25$2.12$2.5092.2%26.4%51.4%20.5%92.3%0.0%-2.4%-729654.2K-11.2K0.129.79N/AN/A4745829,35313,482
2021-03-26$2.08$2.5079.1%22.7%50.5%14.7%93.1%0.0%0.2%-1.0K708.7K-10.7K0.039.15N/AN/A9472529,72713,535
2021-03-29$2.06$2.50110.1%31.6%46.0%28.3%111.5%0.0%-25.7%962579.1K-11.1K0.088.41N/AN/A1,1068530,36713,556
2021-03-30$1.97$2.5061.7%17.7%47.4%7.2%65.6%0.0%38.6%7.0K1.0M-9.2K0.327.75N/AN/A1,13436131,19513,635
2021-03-31$2.08$2.5055.5%15.9%51.6%4.5%60.9%0.0%40.4%2.1K1.1M-10.3K0.459.77N/AN/A1,19053931,15213,930