NGL Options History — January 2022

In January 2022, NGL traded between $2.00 and $2.25. ATM implied volatility averaged 91.2%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 26.4%. IV traded above realized volatility by 29.8% (HV 20d: 61.4%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.60.

Notable Days

  • 2022-01-12: Highest Volume — 2,779 contracts
  • 2022-01-24: Largest IV spike — 47.0% change
  • 2022-01-24: Highest IV Rank — 74.9%
  • 2022-01-24: Largest Expected Move — 36.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.15$2.00$2.25$2.02$2.19
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV91.2%63.9%125.7%75.1%113.8%
Expected Move26.4%18.3%36.0%21.5%32.6%
HV 20d61.4%56.5%64.9%63.3%56.6%
HV 60d61.3%59.2%64.2%62.8%60.4%
IV Rank42.5%17.4%74.9%27.4%65.5%
IV Percentile48.6%9.5%93.7%17.9%89.7%
Term Structure2.6%-76.3%48.2%46.9%-20.4%
VWIV107.5%82.2%177.4%163.6%114.1%
Bid-Ask Spread %47.176.0489.846.0456.15
Gamma HHI0.750.560.810.650.81
Net GEX11.1K5.6K16.0K6.4K16.0K
Net DEX267.4K-802.6K1.2M1.1M-802.6K
Net VEX-10.3K-11.4K-8.4K-8.6K-11.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.247.470.720.94
Total Volume1,102.653932,7791,1332,573
Total OI40,789.4520,17350,73047,21623,353

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$2.02$2.5075.1%21.5%63.3%27.4%163.6%0.0%46.9%6.4K1.1M-8.6K0.726.04N/AN/A65947435,13712,079
2022-01-04$2.00$2.5063.9%18.3%59.5%17.4%147.2%0.0%47.6%5.6K861.3K-8.5K1.288.93N/AN/A34544035,48212,037
2022-01-05$2.01$2.5075.7%21.7%59.6%27.9%177.4%0.0%48.2%6.5K1.1M-8.4K1.626.04N/AN/A26342535,33312,053
2022-01-06$2.16$2.5093.1%26.1%64.9%43.4%91.8%0.0%-3.1%9.3K213.4K-11.0K0.4963.10N/AN/A79239235,34912,056
2022-01-07$2.19$2.5069.2%24.8%63.0%22.1%86.7%0.0%5.8%11.0K338.6K-10.9K0.4360.17N/AN/A28512335,82812,073
2022-01-10$2.17$2.5090.4%26.6%62.4%41.0%92.8%0.0%1.3%10.8K249.8K-10.8K0.8955.50N/AN/A20818535,87412,080
2022-01-11$2.23$2.5086.4%25.7%62.3%37.4%89.7%0.0%-3.0%12.4K-78.6K-11.3K0.9516.09N/AN/A33131335,97112,059
2022-01-12$2.25$2.5082.2%23.6%61.8%33.7%82.2%0.0%10.5%13.3K-31.0K-11.3K0.2453.25N/AN/A2,24653336,14712,093
2022-01-13$2.16$2.5090.8%26.0%64.0%41.3%90.8%0.0%2.4%14.0K-95.9K-11.4K1.2414.86N/AN/A36645537,29912,123
2022-01-14$2.19$2.5094.8%27.2%63.4%44.9%94.9%0.0%-7.3%11.4K941.5K-9.8K7.4755.65N/AN/A5944137,39812,324
2022-01-18$2.21$2.5093.5%26.8%63.4%43.8%93.5%0.0%-1.7%11.3K929.5K-10.2K1.0320.46N/AN/A40441637,39812,534
2022-01-19$2.21$2.5095.2%27.3%63.4%45.2%95.0%0.0%-6.2%11.4K905.2K-10.0K4.8080.88N/AN/A11555237,45712,520
2022-01-20$2.21$2.5096.8%27.7%62.3%46.7%96.8%0.0%-76.3%11.2K1.1M-10.0K2.7883.38N/AN/A4661,29437,46712,722
2022-01-21$2.18$2.5085.5%24.5%61.5%37.8%85.0%0.0%32.9%10.6K1.2M-9.7K3.4089.38N/AN/A14248337,58713,143
2022-01-24$2.07$2.50125.7%36.0%62.1%74.9%125.7%0.0%21.6%8.6K-356.6K-9.4K0.3623.88N/AN/A2,01971813,6846,489
2022-01-25$2.09$2.5085.5%24.5%62.1%37.8%100.1%0.0%-29.5%12.1K-421.8K-10.3K0.4089.84N/AN/A99240115,6146,673
2022-01-26$2.03$2.5093.6%26.8%56.5%45.3%109.4%0.0%6.6%11.9K-401.7K-10.1K1.8586.94N/AN/A19035115,9526,670
2022-01-27$2.15$2.5099.2%28.4%59.0%51.7%99.6%0.0%-6.0%14.1K-544.2K-10.7K0.849.61N/AN/A27723216,0596,715
2022-01-28$2.20$2.50113.8%32.6%57.8%65.5%114.1%0.0%-18.0%14.6K-727.6K-11.4K0.2663.34N/AN/A86522816,1926,765
2022-01-31$2.19$2.50113.8%32.6%56.6%65.5%114.1%0.0%-20.4%16.0K-802.6K-11.4K0.9456.15N/AN/A1,3271,24616,6336,720