NGL Options History — October 2021

In October 2021, NGL traded between $2.27 and $2.81. ATM implied volatility averaged 102.1%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 29.1%. IV traded above realized volatility by 48.0% (HV 20d: 54.1%). 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 6 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2021-10-14: Highest Volume — 5,812 contracts
  • 2021-10-06: Largest IV drop — 24.0% change
  • 2021-10-12: Highest IV Rank — 68.9%
  • 2021-10-06: Largest Expected Move — 34.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.49$2.27$2.81$2.39$2.27
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV102.1%89.3%137.9%99.9%91.7%
Expected Move29.1%25.6%34.0%28.6%26.3%
HV 20d54.1%43.0%66.2%65.5%52.8%
HV 60d68.8%67.0%71.0%68.9%69.4%
IV Rank42.5%33.0%68.9%40.9%34.8%
IV Percentile63.2%36.1%96.0%66.7%41.3%
Term Structure-2.3%-15.9%19.5%19.5%-2.7%
VWIV101.8%89.3%118.4%99.7%91.8%
Bid-Ask Spread %14.469.0622.4015.9715.72
Gamma HHI0.660.560.860.580.57
Net GEX32.7K6.4K77.4K42.1K6.4K
Net DEX-1.6M-4.4M-139.6K-1.5M-139.6K
Net VEX-17.9K-21.2K-15.6K-17.2K-15.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.027.890.140.55
Total Volume1,465.81805,812416809
Total OI47,089.33339,34752,27349,70345,289

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$2.39$2.5099.9%28.6%65.5%40.9%99.7%0.0%19.5%42.1K-1.5M-17.2K0.1415.97N/AN/A3655138,01911,684
2021-10-04$2.36$2.50107.0%32.2%66.2%46.1%112.4%0.0%-1.1%43.6K-1.5M-16.9K0.3811.29N/AN/A1,57160338,10311,684
2021-10-05$2.33$2.50125.6%31.3%65.5%59.8%109.3%0.0%-1.2%38.8K-1.4M-16.7K2.599.06N/AN/A35291137,99611,734
2021-10-06$2.32$2.5095.4%34.0%60.1%37.6%118.4%0.0%-12.2%45.9K-1.1M-15.6K0.2715.67N/AN/A3358937,57511,370
2021-10-07$2.34$2.50101.0%30.0%60.1%41.7%104.6%0.0%2.0%46.8K-1.2M-17.2K0.639.37N/AN/A493137,67312,254
2021-10-08$2.39$2.50101.0%30.3%59.4%41.7%105.7%0.0%0.7%52.4K-1.3M-17.3K0.1516.01N/AN/A2,03329937,73112,294
2021-10-11$2.45$2.50113.8%31.2%59.0%51.2%108.7%0.0%-4.3%62.9K-1.5M-17.2K0.349.12N/AN/A1,04735737,75812,305
2021-10-12$2.47$2.50137.9%31.5%58.2%68.9%109.9%0.0%-5.5%62.2K-2.0M-17.5K0.1015.30N/AN/A1,02810338,85912,330
2021-10-13$2.56$2.50109.2%31.3%43.0%47.8%107.3%0.0%-6.3%77.4K-2.5M-18.6K0.159.18N/AN/A2,11931639,06412,453
2021-10-14$2.77$2.50102.0%29.3%46.8%42.5%101.2%0.0%0.8%24.5K-4.4M-19.4K0.029.80N/AN/A5,70211039,62012,485
2021-10-15$2.76$2.5091.2%26.1%47.2%34.4%90.4%0.0%14.0%25.1K-4.3M-18.5K0.2711.90N/AN/A2,03355439,76312,510
2021-10-18$2.77$2.50108.2%31.0%46.2%47.0%108.1%0.0%-10.7%29.6K-2.2M-19.9K1.329.80N/AN/A49064530,1169,231
2021-10-19$2.79$2.5098.4%28.2%46.0%39.8%98.4%0.0%-11.5%30.1K-2.4M-20.3K7.8911.97N/AN/A2782,19330,5289,693
2021-10-20$2.81$2.5093.6%26.8%46.1%36.2%95.2%0.0%-7.0%22.8K-2.1M-21.2K0.4120.94N/AN/A46819130,72712,264
2021-10-21$2.66$2.5092.7%26.6%49.0%35.6%102.3%0.0%-4.7%20.1K-1.7M-20.3K0.5821.22N/AN/A53931130,79412,311
2021-10-22$2.47$2.5091.2%26.2%51.9%34.5%91.2%0.0%-0.7%16.1K-1.2M-18.5K2.3521.98N/AN/A36184731,08512,486
2021-10-25$2.38$2.50107.2%30.7%52.9%46.3%107.2%0.0%-15.9%10.9K-712.3K-17.2K0.3211.81N/AN/A59318931,19313,183
2021-10-26$2.42$2.5093.7%26.9%53.3%36.3%93.8%0.0%0.8%12.4K-805.8K-17.6K0.2918.99N/AN/A43212531,39813,249
2021-10-27$2.33$2.5093.8%26.9%53.4%36.4%93.9%0.0%-1.6%7.8K-334.9K-16.1K1.4322.40N/AN/A49370331,48613,250
2021-10-28$2.31$2.5089.3%25.6%52.5%33.0%89.3%0.0%-0.1%8.1K-387.5K-16.5K4.2316.18N/AN/A20285531,70113,628
2021-10-29$2.27$2.5091.7%26.3%52.8%34.8%91.8%0.0%-2.7%6.4K-139.6K-15.7K0.5515.72N/AN/A52228731,74213,547