NGL Options History — December 2021

In December 2021, NGL traded between $1.80 and $2.16. ATM implied volatility averaged 90.1%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 25.9%. IV traded above realized volatility by 27.2% (HV 20d: 62.9%). 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 0.94.

Notable Days

  • 2021-12-14: Highest Volume — 12,202 contracts
  • 2021-12-13: Largest IV spike — 45.2% change
  • 2021-12-14: Highest IV Rank — 85.1%
  • 2021-12-29: Largest Expected Move — 32.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.97$1.80$2.16$1.92$1.83
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV90.1%60.0%139.9%68.2%68.2%
Expected Move25.9%19.5%32.9%19.5%19.6%
HV 20d62.9%52.9%73.6%64.0%52.9%
HV 60d59.4%55.5%64.1%61.8%59.2%
IV Rank40.7%13.9%85.1%21.2%21.2%
IV Percentile44.3%5.6%96.4%11.9%13.1%
Term Structure4.4%-18.6%40.2%34.0%37.2%
VWIV130.4%74.4%312.1%241.2%151.0%
Bid-Ask Spread %23.537.3871.3259.038.01
Gamma HHI0.500.450.640.500.51
Net GEX4.8K3.6K6.2K5.0K3.7K
Net DEX597.2K187.3K1.1M376.3K1.1M
Net VEX-10.0K-12.0K-7.1K-10.4K-7.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.046.530.980.59
Total Volume1,889.18238512,2023851,239
Total OI45,889.31844,62248,12444,62247,088

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$1.92$2.5068.2%19.5%64.0%21.2%241.2%0.0%34.0%5.0K376.3K-10.4K0.9859.03N/AN/A19419132,66111,961
2021-12-02$2.08$2.5078.9%22.6%70.8%30.7%282.3%0.0%40.2%5.6K244.5K-11.6K0.4461.03N/AN/A32414132,77812,028
2021-12-03$2.00$2.5070.5%20.2%71.8%23.2%312.1%0.0%37.6%5.9K540.2K-10.8K1.0971.32N/AN/A19221032,84412,032
2021-12-06$2.12$2.5089.0%28.1%73.6%39.7%98.2%0.0%-4.9%6.2K187.3K-12.0K1.8434.46N/AN/A16029432,84012,051
2021-12-07$2.12$2.5063.5%25.1%68.6%17.0%87.4%0.0%-1.7%5.0K360.8K-11.5K0.4814.17N/AN/A43020732,92112,051
2021-12-08$2.16$2.5060.0%24.3%68.3%13.9%85.0%0.0%11.4%5.3K351.7K-11.0K0.5024.05N/AN/A46523233,14012,054
2021-12-09$2.07$2.5077.3%26.6%62.9%29.3%92.6%0.0%-3.5%5.9K258.7K-11.5K2.5423.79N/AN/A11027933,34012,028
2021-12-10$2.02$2.5089.4%26.4%63.0%40.1%92.0%0.0%0.5%5.5K485.5K-10.9K0.6637.85N/AN/A31821133,32312,028
2021-12-13$1.98$2.50129.8%26.6%63.2%76.1%93.3%0.0%9.4%5.4K618.8K-10.0K6.5314.25N/AN/A3072,00633,49412,031
2021-12-14$1.95$2.50139.9%29.7%63.0%85.1%103.8%0.0%-5.0%4.9K501.5K-11.0K0.0833.84N/AN/A11,34286033,63812,468
2021-12-15$1.98$2.5079.1%22.7%60.3%30.9%74.4%0.0%11.8%3.8K635.5K-10.9K0.0419.12N/AN/A11,32441335,04412,868
2021-12-16$1.94$2.5096.6%27.7%60.4%46.6%97.5%0.0%0.0%3.6K689.7K-10.4K0.278.47N/AN/A62616735,18212,876
2021-12-17$1.95$2.5076.3%21.9%58.8%28.5%88.9%0.0%11.7%4.1K551.5K-10.8K0.708.31N/AN/A28519935,33112,793
2021-12-20$1.95$2.5088.3%25.3%58.6%39.1%100.4%0.0%-5.4%4.5K359.2K-10.8K0.4910.75N/AN/A34016633,98711,498
2021-12-21$1.90$2.5092.0%26.4%58.7%42.4%108.2%0.0%-7.6%3.8K935.3K-8.2K0.3911.77N/AN/A55921934,04311,499
2021-12-22$1.85$2.5087.2%25.0%59.0%38.2%119.7%0.0%-8.1%3.9K893.8K-8.1K0.7312.24N/AN/A30122034,45711,526
2021-12-23$1.96$2.50100.0%28.7%62.3%49.5%102.1%0.0%-4.9%5.1K352.7K-10.9K0.159.92N/AN/A1,24918234,46111,541
2021-12-27$1.96$2.50108.2%31.0%57.5%56.9%110.7%0.0%-9.1%4.8K494.5K-9.6K0.1215.06N/AN/A1,50117533,60811,541
2021-12-28$1.82$2.50112.0%32.1%62.6%60.2%168.3%0.0%-17.3%4.2K1.1M-7.1K0.5520.48N/AN/A76742134,03611,544
2021-12-29$1.80$2.50114.8%32.9%62.2%62.8%142.9%0.0%-15.4%4.3K1.0M-7.5K0.9212.37N/AN/A63058134,42311,868
2021-12-30$1.88$2.5093.3%26.7%60.5%43.6%117.7%0.0%-18.6%4.8K1.1M-7.7K0.657.38N/AN/A92560034,64511,995
2021-12-31$1.83$2.5068.2%19.6%52.9%21.2%151.0%0.0%37.2%3.7K1.1M-7.6K0.598.01N/AN/A78045935,08012,008