NGL Options History — August 2021

In August 2021, NGL traded between $1.40 and $1.92. ATM implied volatility averaged 87.5%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 25.4%. IV traded above realized volatility by 27.1% (HV 20d: 60.4%). 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 9 of 22 days. Put/call ratio averaged 1.04.

Notable Days

  • 2021-08-11: Highest Volume — 1,799 contracts
  • 2021-08-03: Largest IV spike — 57.1% change
  • 2021-08-10: Highest IV Rank — 49.8%
  • 2021-08-26: Largest Expected Move — 31.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.64$1.40$1.92$1.92$1.79
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV87.5%64.3%112.0%64.3%82.1%
Expected Move25.4%18.4%31.0%18.4%23.5%
HV 20d60.4%41.3%86.7%41.4%86.6%
HV 60d68.5%61.4%73.8%64.5%61.4%
IV Rank31.7%14.7%49.8%14.7%27.8%
IV Percentile45.2%10.3%84.1%10.3%30.2%
Term Structure1.5%-30.0%48.5%48.5%-28.3%
VWIV91.8%67.6%134.8%68.3%90.8%
Bid-Ask Spread %18.274.0883.438.907.70
Gamma HHI0.660.500.910.910.72
Net GEX3.4K6638.9K8.8K3.7K
Net DEX1.0M438.1K1.4M438.1K997.9K
Net VEX-6.8K-12.2K-3.9K-12.2K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.0016.990.140.05
Total Volume735.227971,799696637
Total OI42,686.68239,16344,93042,38041,037

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$1.92$2.5064.3%18.4%41.4%14.7%68.3%0.0%48.5%8.8K438.1K-12.2K0.148.90N/AN/A6138329,76912,611
2021-08-03$1.86$2.50101.0%29.0%41.3%41.7%134.8%0.0%37.3%6.8K712.9K-11.1K0.168.01N/AN/A68010829,86912,839
2021-08-04$1.74$2.5089.7%25.7%44.6%33.4%99.0%0.0%29.4%5.7K787.7K-10.0K0.097.34N/AN/A5425030,28812,736
2021-08-05$1.80$2.5077.2%25.9%45.3%24.2%102.0%0.0%-1.1%5.9K825.4K-10.3K0.2555.77N/AN/A1975030,52212,732
2021-08-06$1.88$2.5079.0%27.4%48.9%25.5%96.7%0.0%-1.0%8.9K576.8K-11.8K0.046.41N/AN/A7483230,89612,696
2021-08-09$1.86$2.5086.3%27.7%46.0%30.9%97.4%0.0%0.8%8.0K738.8K-10.5K0.0083.43N/AN/A1,391031,07912,716
2021-08-10$1.73$2.50112.0%27.0%50.5%49.8%67.7%0.0%24.2%5.0K1.1M-8.5K0.1155.32N/AN/A95910731,51212,716
2021-08-11$1.62$2.5072.3%20.7%52.0%20.6%67.6%0.0%26.4%1.1K1.4M-5.6K16.996.79N/AN/A1001,69932,07712,716
2021-08-12$1.51$2.5071.0%20.4%55.2%19.6%73.0%0.0%44.6%1.2K1.3M-5.3K1.776.35N/AN/A20436232,14312,787
2021-08-13$1.54$2.5075.1%21.5%55.4%22.6%82.4%0.0%43.6%1.4K1.3M-5.0K0.826.35N/AN/A42434932,16012,244
2021-08-16$1.50$2.5081.4%23.3%55.5%27.2%0.0%0.0%-5.9%1.5K1.1M-5.2K0.034.08N/AN/A1,0673232,17011,456
2021-08-17$1.40$2.5083.1%23.8%58.4%28.5%0.0%0.0%-22.9%6631.1M-3.9K0.285.98N/AN/A1965432,29111,211
2021-08-18$1.52$2.5079.0%22.6%66.8%25.5%0.0%0.0%-21.0%1.5K1.1M-4.9K0.0212.02N/AN/A221532,85711,240
2021-08-19$1.50$2.5096.4%27.6%66.8%38.3%0.0%0.0%47.6%1.8K1.1M-5.3K1.8511.15N/AN/A24144632,96711,248
2021-08-20$1.47$2.5095.7%27.4%66.6%37.8%0.0%0.0%-23.9%7401.2M-4.0K0.048.21N/AN/A182733,13811,247
2021-08-23$1.49$2.5093.4%26.8%67.0%36.1%0.0%0.0%-26.4%1.2K1.1M-4.0K0.007.89N/AN/A963228,60410,559
2021-08-24$1.59$2.50103.6%29.7%72.6%43.6%0.0%0.0%-24.9%8501.2M-4.1K0.0617.19N/AN/A9815528,70910,560
2021-08-25$1.54$2.5092.6%26.5%72.8%35.5%101.6%0.0%-27.5%2.2K995.2K-5.1K0.0017.48N/AN/A1,026229,35410,559
2021-08-26$1.50$2.50108.2%31.0%72.8%47.0%0.0%0.0%-30.0%1.8K1.1M-4.6K0.006.19N/AN/A97030,26510,659
2021-08-27$1.56$2.5088.2%25.3%74.5%32.3%90.8%0.0%-29.6%2.9K974.4K-5.6K0.015.04N/AN/A120130,20510,661
2021-08-30$1.75$2.5093.1%26.7%86.7%35.9%112.7%0.0%-28.0%3.4K1.1M-6.3K0.0554.33N/AN/A1,0855730,34110,661
2021-08-31$1.79$2.5082.1%23.5%86.6%27.8%90.8%0.0%-28.3%3.7K997.9K-6.7K0.057.70N/AN/A6053230,37610,661