NGL Options History — July 2021

In July 2021, NGL traded between $1.92 and $2.54. ATM implied volatility averaged 85.6%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 25.8%. IV traded above realized volatility by 35.2% (HV 20d: 50.3%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2021-07-20: Highest Volume — 3,981 contracts
  • 2021-07-29: Largest IV drop — 42.1% change
  • 2021-07-12: Highest IV Rank — 43.8%
  • 2021-07-13: Largest Expected Move — 30.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.21$1.92$2.54$2.41$1.92
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV85.6%55.2%103.8%85.8%59.5%
Expected Move25.8%15.8%30.6%24.6%17.1%
HV 20d50.3%43.6%79.1%79.1%46.8%
HV 60d63.9%62.5%65.0%62.5%64.6%
IV Rank30.3%8.0%43.8%30.5%11.1%
IV Percentile41.8%4.8%74.6%38.1%6.7%
Term Structure7.3%-20.6%44.1%17.8%44.1%
VWIV93.6%61.9%106.9%85.8%61.9%
Bid-Ask Spread %16.995.8950.1817.5019.62
Gamma HHI0.680.530.950.640.95
Net GEX35.2K8.5K90.1K60.2K8.6K
Net DEX-460.1K-2.5M640.4K-1.6M455.1K
Net VEX-17.0K-22.8K-12.2K-21.6K-12.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.002.100.941.11
Total Volume912.191813,981260410
Total OI54,331.8137,19668,80065,64242,046

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$2.41$2.5085.8%24.6%79.1%30.5%85.8%0.0%17.8%60.2K-1.6M-21.6K0.9417.50N/AN/A13412649,88515,757
2021-07-02$2.53$2.5075.6%21.7%48.2%22.9%75.7%0.0%27.1%72.1K-2.5M-22.8K0.2019.14N/AN/A97619349,92615,771
2021-07-06$2.54$2.5089.4%28.5%44.5%33.1%99.5%0.0%11.2%71.7K-2.4M-22.0K0.609.18N/AN/A48929250,11515,864
2021-07-07$2.45$2.5087.9%29.3%43.6%32.1%102.4%0.0%0.3%74.9K-2.0M-21.3K0.529.12N/AN/A47224650,22515,760
2021-07-08$2.31$2.5073.8%28.9%48.9%21.6%100.9%0.0%6.7%74.4K-1.3M-20.2K0.0221.16N/AN/A1,5883650,34015,889
2021-07-09$2.33$2.5080.2%29.5%48.9%26.4%102.8%0.0%-4.3%74.0K-1.3M-19.9K0.0612.68N/AN/A1711051,10415,865
2021-07-12$2.41$2.50103.8%30.1%50.0%43.8%105.0%0.0%6.0%90.1K-1.5M-19.8K1.5450.18N/AN/A43567151,13315,865
2021-07-13$2.40$2.5092.2%30.6%50.0%35.2%106.5%0.0%-0.8%79.8K-1.2M-19.6K0.1512.70N/AN/A3885851,15016,401
2021-07-14$2.28$2.50100.7%28.9%52.6%41.5%100.7%0.0%1.1%10.5K488.0K-16.9K0.1313.68N/AN/A1,03013051,23716,369
2021-07-15$2.26$2.5095.2%27.3%52.7%37.4%95.2%0.0%6.0%11.3K477.2K-17.3K1.3549.54N/AN/A42657752,22916,389
2021-07-16$2.14$2.5092.4%26.5%55.9%35.4%92.4%0.0%3.8%9.3K640.4K-16.5K2.1014.42N/AN/A31465852,38616,414
2021-07-19$2.11$2.5082.5%23.6%53.3%28.0%83.4%0.0%15.8%8.5K55.9K-15.2K0.1512.53N/AN/A96114624,67812,518
2021-07-20$2.06$2.5084.0%24.1%50.3%29.1%85.4%0.0%10.2%8.5K282.9K-14.1K0.007.85N/AN/A3,9711025,43012,612
2021-07-21$2.12$2.5083.2%23.8%48.7%28.6%83.1%0.0%9.8%13.9K-171.8K-16.4K0.005.89N/AN/A626227,65812,612
2021-07-22$2.09$2.5084.8%24.3%47.0%29.7%84.8%0.0%1.0%13.4K76.5K-15.0K0.0411.98N/AN/A2241028,03512,613
2021-07-23$2.08$2.5088.6%25.4%46.5%32.6%89.5%0.0%8.1%13.2K124.7K-14.8K0.639.61N/AN/A16310328,26012,618
2021-07-26$2.00$2.5093.3%26.7%48.0%36.0%106.1%0.0%-13.8%11.1K416.7K-12.8K0.1312.18N/AN/A1,35117328,26012,618
2021-07-27$2.00$2.5093.5%26.8%47.9%36.1%104.8%0.0%-11.6%11.9K312.5K-13.2K0.1212.47N/AN/A1642028,32812,656
2021-07-28$2.00$2.5095.3%27.3%47.1%37.5%106.9%0.0%-20.6%12.3K463.0K-13.0K1.3121.60N/AN/A38850829,11212,809
2021-07-29$2.00$2.5055.2%15.8%47.1%8.0%61.9%0.0%35.9%8.9K548.3K-12.7K0.0113.79N/AN/A500629,22212,809
2021-07-30$1.92$2.5059.5%17.1%46.8%11.1%0.0%0.0%44.1%8.6K455.1K-12.2K1.1119.62N/AN/A19421629,44412,602