NGL Options History — November 2021

In November 2021, NGL traded between $2.02 and $2.50. ATM implied volatility averaged 92.6%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 25.4%. IV traded above realized volatility by 33.1% (HV 20d: 59.5%). 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 11 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2021-11-09: Highest Volume — 4,907 contracts
  • 2021-11-30: Largest IV spike — 70.1% change
  • 2021-11-09: Highest IV Rank — 73.5%
  • 2021-11-03: Largest Expected Move — 30.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.23$2.02$2.50$2.31$2.05
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV92.6%55.9%144.1%93.8%95.0%
Expected Move25.4%16.0%30.1%26.9%27.2%
HV 20d59.5%53.1%67.8%53.1%61.5%
HV 60d64.7%60.5%69.5%69.0%61.1%
IV Rank39.7%10.2%73.5%36.4%45.1%
IV Percentile46.3%3.6%96.8%47.6%54.8%
Term Structure2.8%-15.7%41.5%-8.8%-15.7%
VWIV92.4%54.8%125.0%93.9%110.0%
Bid-Ask Spread %27.657.4761.3020.2261.30
Gamma HHI0.590.490.820.610.73
Net GEX13.2K1.8K46.5K7.8K4.2K
Net DEX-183.2K-1.2M539.6K-336.6K168.8K
Net VEX-14.2K-16.7K-10.8K-16.0K-11.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.021.110.490.06
Total Volume1,258.3334254,9074252,332
Total OI46,943.66742,72051,00445,52943,675

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$2.31$2.5093.8%26.9%53.1%36.4%93.9%0.0%-8.8%7.8K-336.6K-16.0K0.4920.22N/AN/A28514031,97713,552
2021-11-02$2.22$2.5092.4%26.5%54.7%35.3%92.4%0.0%-3.7%6.4K-30.6K-15.0K0.767.50N/AN/A42532532,26313,578
2021-11-03$2.17$2.50104.9%30.1%55.2%44.6%104.8%0.0%-14.3%6.5K-333-14.7K0.1029.68N/AN/A1,42014632,46313,786
2021-11-04$2.19$2.50102.1%26.2%55.2%42.5%91.5%0.0%3.8%5.4K86.0K-14.7K0.2023.01N/AN/A70213732,30013,812
2021-11-05$2.28$2.50117.2%26.6%56.7%53.6%92.7%0.0%-0.8%5.3K-72.8K-15.1K0.2254.19N/AN/A4008732,47413,819
2021-11-08$2.44$2.5099.3%26.7%61.3%40.4%93.5%0.0%-2.6%9.6K-687.2K-16.1K0.7610.33N/AN/A82762532,66913,819
2021-11-09$2.50$2.50144.1%29.1%61.9%73.5%101.2%0.0%-8.1%14.7K-1.2M-16.7K0.0254.30N/AN/A4,8179033,09113,393
2021-11-10$2.29$2.5096.9%27.8%67.8%46.8%97.0%0.0%-7.4%29.1K-789.0K-15.9K0.2212.10N/AN/A70815736,01813,419
2021-11-11$2.24$2.5092.0%26.4%60.2%42.4%92.1%0.0%-1.0%26.1K-667.9K-15.8K0.1315.69N/AN/A1,48718936,12713,499
2021-11-12$2.23$2.5087.5%25.1%60.2%38.4%87.5%0.0%7.1%24.2K-442.9K-14.9K0.1224.75N/AN/A86610236,85113,559
2021-11-15$2.25$2.5091.2%26.1%60.4%41.7%91.3%0.0%3.6%30.1K-361.0K-14.6K0.3360.17N/AN/A46615236,93913,567
2021-11-16$2.36$2.5090.0%25.8%63.6%40.6%90.0%0.0%4.0%37.3K-706.7K-15.6K0.7616.65N/AN/A80060736,93013,322
2021-11-17$2.35$2.5091.6%26.3%63.3%42.0%91.4%0.0%3.5%46.5K-532.4K-15.4K0.4616.65N/AN/A70932637,00413,340
2021-11-18$2.24$2.5089.3%25.6%62.7%40.0%89.4%0.0%5.1%5.4K135.6K-13.6K1.1117.62N/AN/A44349037,33313,411
2021-11-19$2.19$2.5072.3%20.7%58.1%24.8%72.3%0.0%15.2%2.4K432.9K-12.8K0.957.47N/AN/A63860637,46613,538
2021-11-22$2.14$2.5086.5%24.8%57.3%37.5%87.3%0.0%1.0%1.8K227.3K-12.3K0.2257.34N/AN/A1,03723330,75611,964
2021-11-23$2.15$2.5073.0%20.9%56.8%25.4%54.8%0.0%41.5%3.8K167.8K-12.0K0.2910.38N/AN/A91226431,26511,974
2021-11-24$2.21$2.5069.0%19.8%56.7%21.9%79.3%0.0%4.2%2.0K80.4K-12.9K0.1615.78N/AN/A97715631,26611,997
2021-11-26$2.06$2.50101.7%29.2%61.6%51.1%103.5%0.0%-5.4%4.6K134.0K-11.9K0.288.41N/AN/A59116331,75812,013
2021-11-29$2.02$2.5055.9%16.0%61.6%10.2%125.0%0.0%37.5%4.8K539.6K-10.8K0.4057.15N/AN/A42016831,78012,050
2021-11-30$2.05$2.5095.0%27.2%61.5%45.1%110.0%0.0%-15.7%4.2K168.8K-11.3K0.0661.30N/AN/A2,19713531,67312,002