NGL Options History — June 2021

In June 2021, NGL traded between $2.14 and $3.01. ATM implied volatility averaged 98.0%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 27.6%. IV traded above realized volatility by 10.9% (HV 20d: 87.1%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.05.

Notable Days

  • 2021-06-03: Highest Volume — 12,391 contracts
  • 2021-06-04: Largest IV drop — 28.5% change
  • 2021-06-03: Highest IV Rank — 59.7%
  • 2021-06-02: Largest Expected Move — 32.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.38$2.14$3.01$2.47$2.35
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV98.0%82.2%125.4%93.2%88.7%
Expected Move27.6%23.6%32.2%26.7%25.4%
HV 20d87.1%33.1%97.4%33.1%85.1%
HV 60d63.3%46.3%66.8%46.3%62.3%
IV Rank39.5%27.8%59.7%36.0%32.7%
IV Percentile58.9%29.8%88.9%52.4%42.5%
Term Structure8.2%-6.1%61.2%10.0%11.1%
VWIV96.8%82.2%120.2%92.6%89.0%
Bid-Ask Spread %17.239.2951.3451.3421.43
Gamma HHI0.580.460.650.620.63
Net GEX41.0K29.3K55.3K29.3K55.3K
Net DEX-1.5M-4.6M-419.6K-1.5M-1.6M
Net VEX-17.6K-21.7K-11.5K-11.5K-21.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.036.060.190.03
Total Volume3,187.90933612,3913,000336
Total OI56,814.04537,00965,68037,00965,680

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$2.47$2.5093.2%26.7%33.1%36.0%92.6%0.0%10.0%29.3K-1.5M-11.5K0.1951.34N/AN/A2,52347729,1747,835
2021-06-02$2.77$2.50112.4%32.2%49.9%50.1%112.3%0.0%-6.1%38.0K-2.9M-13.4K0.2014.58N/AN/A5,3061,05531,4408,312
2021-06-03$3.01$2.50125.4%31.5%55.7%59.7%120.2%0.0%1.5%42.9K-4.6M-15.6K0.1022.60N/AN/A11,2471,14435,0368,215
2021-06-04$2.50$2.5089.7%26.6%90.5%33.4%94.1%0.0%11.5%49.8K-2.6M-16.1K0.4415.60N/AN/A6,2072,75141,8288,049
2021-06-07$2.38$2.50113.0%29.2%92.0%50.5%101.9%0.0%4.0%39.2K-1.6M-15.0K0.279.29N/AN/A1,38437740,7479,877
2021-06-08$2.28$2.50117.7%29.5%93.1%54.0%105.1%0.0%2.9%36.0K-1.3M-14.6K2.4810.81N/AN/A1,2953,21641,04410,166
2021-06-09$2.28$2.5097.0%27.8%92.8%38.8%95.9%0.0%9.9%35.1K-1.2M-16.4K0.1210.76N/AN/A4,62454741,84313,235
2021-06-10$2.30$2.50101.8%29.2%92.7%42.2%101.7%0.0%-0.8%35.9K-1.2M-18.0K0.9813.68N/AN/A75274044,63513,789
2021-06-11$2.34$2.5098.7%28.3%92.8%40.0%98.7%0.0%3.9%37.7K-1.2M-18.4K4.0010.78N/AN/A9163,66045,04414,453
2021-06-14$2.33$2.5088.9%25.5%92.8%32.7%88.9%0.0%14.7%43.0K-1.2M-16.8K0.0716.17N/AN/A8396145,45613,087
2021-06-15$2.27$2.50102.5%29.4%92.3%42.8%102.5%0.0%3.2%30.3K-582.0K-16.0K0.1711.47N/AN/A1,54626946,00413,098
2021-06-16$2.28$2.50100.1%28.7%92.3%41.0%100.2%0.0%3.2%32.4K-698.9K-16.9K0.1014.78N/AN/A1,75116747,26813,361
2021-06-17$2.25$2.5089.1%25.5%92.4%32.9%89.2%0.0%61.2%34.8K-429.6K-16.4K6.0618.09N/AN/A11871548,73013,474
2021-06-18$2.14$2.5099.1%28.4%94.1%40.3%99.4%0.0%-1.4%30.5K-419.6K-16.8K0.4217.34N/AN/A38216048,78213,998
2021-06-21$2.25$2.5092.3%26.5%95.4%35.3%92.3%0.0%9.2%36.6K-1.1M-17.9K0.1115.19N/AN/A3,27737244,91712,200
2021-06-22$2.35$2.50102.3%29.3%96.6%42.7%102.4%0.0%-0.4%40.3K-1.5M-19.4K0.6016.17N/AN/A2,6441,57846,81512,510
2021-06-23$2.42$2.5090.0%25.8%96.9%33.6%90.0%0.0%9.4%51.1K-2.0M-21.6K0.7213.63N/AN/A1,9081,37248,87713,637
2021-06-24$2.36$2.5086.8%24.9%97.4%31.2%86.7%0.0%11.4%51.0K-1.7M-21.2K0.8422.64N/AN/A75362949,08114,016
2021-06-25$2.35$2.5082.2%23.6%95.9%27.8%82.2%0.0%13.3%52.5K-1.5M-21.2K3.2815.97N/AN/A3331,09349,31414,606
2021-06-28$2.31$2.5088.8%25.5%96.0%32.7%88.9%0.0%12.1%50.5K-1.3M-21.1K0.2316.43N/AN/A87120349,38315,464
2021-06-29$2.35$2.5096.0%27.5%95.6%38.0%96.0%0.0%-4.0%50.4K-1.3M-21.4K1.5820.22N/AN/A20832849,84015,589
2021-06-30$2.35$2.5088.7%25.4%85.1%32.7%89.0%0.0%11.1%55.3K-1.6M-21.7K0.0321.43N/AN/A327949,92315,757