NGL Options History — May 2021

In May 2021, NGL traded between $2.11 and $2.43. ATM implied volatility averaged 78.4%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 24.1%. IV traded above realized volatility by 41.2% (HV 20d: 37.2%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2021-05-18: Highest Volume — 2,202 contracts
  • 2021-05-12: Largest IV spike — 49.6% change
  • 2021-05-12: Highest IV Rank — 39.7%
  • 2021-05-12: Largest Expected Move — 28.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.24$2.11$2.43$2.14$2.40
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV78.4%47.1%98.3%75.5%89.7%
Expected Move24.1%16.4%28.2%21.6%25.7%
HV 20d37.2%28.5%46.5%46.5%32.2%
HV 60d49.3%46.0%54.8%54.8%46.1%
IV Rank25.0%2.0%39.7%22.9%33.4%
IV Percentile28.9%0.8%58.3%21.8%45.6%
Term Structure14.0%-5.5%46.6%46.4%4.7%
VWIV88.0%75.3%108.5%108.5%89.7%
Bid-Ask Spread %27.649.7960.9110.3819.08
Gamma HHI0.580.500.710.560.62
Net GEX19.7K14.6K27.7K15.8K27.3K
Net DEX-537.2K-1.4M-92.9K-325.1K-1.4M
Net VEX-10.4K-11.7K-9.7K-10.6K-11.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.016.510.571.41
Total Volume909.451372,202279451
Total OI36,664.2535,09537,65736,32136,956

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$2.14$2.5075.5%21.6%46.5%22.9%108.5%0.0%46.4%15.8K-325.1K-10.6K0.5710.38N/AN/A17810127,6058,716
2021-05-04$2.12$2.5073.0%20.9%41.0%21.1%0.0%0.0%45.0%15.7K-339.2K-10.7K0.079.79N/AN/A7745127,7118,815
2021-05-05$2.15$2.5057.1%16.4%41.3%9.4%0.0%0.0%46.6%15.6K-351.9K-10.8K0.0214.35N/AN/A1,8373727,3298,866
2021-05-06$2.11$2.5074.5%25.7%41.7%22.1%89.5%0.0%-0.4%14.6K-152.4K-9.9K0.0160.91N/AN/A136127,9758,843
2021-05-07$2.19$2.5050.4%24.8%42.8%4.4%86.7%0.0%5.8%15.6K-92.9K-9.9K1.0460.82N/AN/A78581627,9708,842
2021-05-10$2.25$2.5047.1%24.7%41.7%2.0%85.7%0.0%13.3%18.0K-418.5K-10.4K0.0521.90N/AN/A3181627,7728,431
2021-05-11$2.21$2.5065.8%26.0%40.3%15.7%90.6%0.0%12.4%17.9K-506.8K-10.4K1.4024.52N/AN/A7291,02127,9118,425
2021-05-12$2.19$2.5098.3%28.2%40.3%39.7%98.4%0.0%-5.5%17.7K-305.3K-9.9K0.0214.04N/AN/A370628,2418,638
2021-05-13$2.17$2.5093.9%26.9%40.4%36.5%93.4%0.0%10.6%17.9K-260.5K-9.9K0.0316.34N/AN/A222728,4758,644
2021-05-14$2.16$2.5088.7%25.4%37.0%32.6%0.0%0.0%8.9%18.0K-185.0K-9.7K0.0354.23N/AN/A4281228,4908,645
2021-05-17$2.25$2.5091.7%26.3%38.2%34.8%91.9%0.0%5.1%20.2K-362.4K-10.0K2.1054.28N/AN/A11524128,6008,653
2021-05-18$2.24$2.5086.3%24.7%35.2%30.9%86.5%0.0%12.0%19.3K-340.4K-10.2K0.0154.47N/AN/A2,1891328,6618,844
2021-05-19$2.25$2.5084.3%24.2%35.1%29.4%84.3%0.0%18.9%19.6K-392.7K-10.2K6.5122.53N/AN/A13688528,4828,832
2021-05-20$2.26$2.5085.6%24.5%35.1%30.3%85.6%0.0%12.9%19.4K-437.0K-10.2K0.6822.40N/AN/A55037628,5078,943
2021-05-21$2.32$2.5079.1%22.7%35.4%25.5%79.1%0.0%13.2%20.6K-647.6K-10.5K0.3419.98N/AN/A1,27343128,7128,945
2021-05-24$2.35$2.5075.3%21.6%28.7%22.8%75.3%0.0%18.7%23.1K-1.1M-10.9K0.2622.19N/AN/A92423627,3807,715
2021-05-25$2.31$2.5081.3%23.3%29.8%27.2%81.4%0.0%6.0%24.3K-897.3K-10.6K0.4420.22N/AN/A2239827,9637,690
2021-05-26$2.32$2.5087.2%25.0%28.5%31.5%87.2%0.0%-2.1%25.2K-906.3K-10.6K0.7015.73N/AN/A39427728,0577,648
2021-05-27$2.43$2.5082.4%23.6%32.3%28.0%82.4%0.0%7.2%27.7K-1.4M-11.7K0.1914.64N/AN/A1,29224028,4307,923
2021-05-28$2.40$2.5089.7%25.7%32.2%33.4%89.7%0.0%4.7%27.3K-1.4M-11.7K1.4119.08N/AN/A18726428,9837,973