NGL Options History — September 2021

In September 2021, NGL traded between $1.69 and $2.44. ATM implied volatility averaged 89.7%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 24.2%. IV traded above realized volatility by 11.8% (HV 20d: 77.9%). 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 0.18.

Notable Days

  • 2021-09-16: Highest Volume — 4,976 contracts
  • 2021-09-15: Largest IV spike — 55.3% change
  • 2021-09-30: Highest IV Rank — 53.6%
  • 2021-09-30: Largest Expected Move — 33.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.02$1.69$2.44$1.69$2.41
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV89.7%56.2%117.1%94.9%117.1%
Expected Move24.2%14.6%33.6%27.2%33.6%
HV 20d77.9%64.9%86.1%85.8%64.9%
HV 60d66.5%61.8%70.4%61.8%69.9%
IV Rank33.4%8.7%53.6%37.2%53.6%
IV Percentile49.8%3.6%88.1%56.3%88.1%
Term Structure18.4%-33.8%53.6%-33.8%-6.9%
VWIV92.9%56.2%117.5%104.6%117.5%
Bid-Ask Spread %15.227.3430.859.2317.42
Gamma HHI0.640.510.920.750.55
Net GEX18.6K3.0K41.6K3.0K40.3K
Net DEX-45.0K-1.8M1.1M1.0M-1.8M
Net VEX-11.2K-18.3K-5.9K-5.9K-18.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.000.920.050.02
Total Volume1,290.238954,976352487
Total OI44,560.95241,42449,60541,42449,605

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$1.69$2.5094.9%27.2%85.8%37.2%104.6%0.0%-33.8%3.0K1.0M-5.9K0.059.23N/AN/A3341830,78510,639
2021-09-02$1.73$2.5084.0%15.5%85.3%29.2%75.6%0.0%39.3%3.4K988.2K-6.4K0.167.34N/AN/A2443931,05910,667
2021-09-03$1.77$2.5099.1%14.6%84.1%40.3%0.0%0.0%50.3%4.5K912.1K-7.1K0.0413.90N/AN/A200831,24810,679
2021-09-07$1.86$2.50103.3%19.4%86.1%43.4%90.2%0.0%46.7%3.8K1.0M-6.9K0.418.63N/AN/A45718731,38910,678
2021-09-08$1.75$2.5059.7%17.1%84.9%11.3%0.0%0.0%38.7%3.3K1.1M-6.1K0.008.06N/AN/A1,028231,50610,684
2021-09-09$1.78$2.5062.4%17.9%81.4%13.3%73.7%0.0%41.3%3.2K1.1M-5.9K0.1221.74N/AN/A2653331,71810,705
2021-09-10$1.76$2.5062.1%17.8%76.7%13.0%0.0%0.0%37.8%3.8K1.0M-6.6K0.0016.52N/AN/A95032,61710,700
2021-09-13$1.75$2.5056.2%16.1%76.7%8.7%56.2%0.0%35.8%4.1K1.0M-6.4K0.1618.51N/AN/A1432332,83210,728
2021-09-14$1.73$2.5063.6%18.2%76.0%14.2%68.8%0.0%36.1%4.1K979.0K-6.6K0.118.98N/AN/A1892032,91410,728
2021-09-15$1.96$2.5098.8%28.3%81.2%40.1%100.5%0.0%-2.1%15.9K253.3K-10.3K0.0620.99N/AN/A3,08117732,90510,693
2021-09-16$2.07$2.5087.1%25.0%78.9%31.5%87.9%0.0%53.6%20.8K-172.7K-12.4K0.9218.32N/AN/A2,5952,38132,93410,693
2021-09-17$2.09$2.5088.5%25.4%78.2%32.5%89.4%0.0%12.5%23.3K-157.7K-12.2K0.178.47N/AN/A1,47625734,23910,733
2021-09-20$2.06$2.50111.4%31.9%77.8%49.3%111.4%0.0%-6.3%21.4K-298.4K-13.1K0.1030.85N/AN/A1,16812233,59310,866
2021-09-21$2.06$2.50102.8%29.5%78.1%43.0%104.1%0.0%-3.1%22.8K-222.8K-13.2K0.157.80N/AN/A3255034,44810,978
2021-09-22$2.09$2.5097.7%28.0%75.9%39.2%97.3%0.0%7.5%24.3K-243.8K-13.4K0.579.05N/AN/A26715134,67611,080
2021-09-23$2.22$2.5098.7%28.3%75.6%40.0%98.7%0.0%0.5%29.9K-768.0K-15.0K0.0615.17N/AN/A1,3007334,71411,130
2021-09-24$2.38$2.5099.6%28.5%75.8%40.6%99.6%0.0%1.8%35.3K-1.5M-17.0K0.1017.89N/AN/A3,90839834,82911,066
2021-09-27$2.44$2.5096.3%27.6%75.5%38.2%96.3%0.0%10.8%41.3K-1.7M-16.6K0.3219.08N/AN/A2,63184635,55511,060
2021-09-28$2.44$2.5099.1%28.4%67.4%40.3%99.1%0.0%12.4%41.5K-1.8M-17.8K0.1519.08N/AN/A6159136,69711,408
2021-09-29$2.35$2.50101.8%29.2%70.1%42.3%101.8%0.0%12.5%41.6K-1.7M-17.8K0.1922.64N/AN/A1,18622538,12411,478
2021-09-30$2.41$2.50117.1%33.6%64.9%53.6%117.5%0.0%-6.9%40.3K-1.8M-18.3K0.0217.42N/AN/A4771038,08711,518