NGL Options History — February 2022

In February 2022, NGL traded between $1.94 and $2.67. ATM implied volatility averaged 85.3%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 23.8%. IV traded below realized volatility by 13.3% (HV 20d: 98.6%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.04.

Notable Days

2022-02-02: Highest Volume — 8,273 contracts
2022-02-22: Largest IV drop — 38.0% change
2022-02-08: Highest IV Rank — 66.2%
2022-02-02: Largest Expected Move — 31.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.27	$1.94	$2.67	$2.38	$2.13
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	85.3%	49.4%	113.9%	103.3%	63.5%
Expected Move	23.8%	14.2%	31.7%	29.6%	18.2%
HV 20d	98.6%	53.5%	122.9%	53.5%	119.9%
HV 60d	76.7%	62.7%	85.5%	62.8%	83.3%
IV Rank	40.0%	5.0%	66.2%	55.6%	19.1%
IV Percentile	43.0%	1.2%	92.9%	81.0%	8.7%
Term Structure	5.2%	-18.9%	45.0%	-15.3%	25.3%
VWIV	86.3%	55.9%	110.6%	103.3%	60.2%
Bid-Ask Spread %	31.61	6.61	69.53	61.89	69.53
Gamma HHI	0.86	0.79	0.95	0.80	0.88
Net GEX	31.6K	14.7K	73.0K	20.7K	22.3K
Net DEX	-1.2M	-2.9M	-66.9K	-1.3M	-458.5K
Net VEX	-13.1K	-15.8K	-10.6K	-13.6K	-11.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.04	0.11	4.01	1.13	0.44
Total Volume	2,230.474	431	8,273	2,124	1,229
Total OI	31,293.158	24,929	35,779	24,929	27,536

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2022-02-01	$2.38	$2.50	103.3%	29.6%	53.5%	55.6%	103.3%	0.0%	-15.3%	20.7K	-1.3M	-13.6K	1.13	61.89	N/A	N/A	995	1,129	17,751	7,178
2022-02-02	$2.61	$2.50	110.6%	31.7%	60.7%	63.1%	110.6%	0.0%	-18.9%	25.2K	-1.9M	-14.5K	0.11	22.43	N/A	N/A	7,449	824	18,364	6,983
2022-02-03	$2.64	$2.50	99.4%	27.4%	60.6%	52.4%	95.3%	0.0%	-2.7%	46.8K	-2.7M	-15.4K	0.41	26.14	N/A	N/A	1,662	675	22,743	7,048
2022-02-04	$2.67	$2.50	107.1%	25.0%	56.6%	59.8%	91.2%	0.0%	9.7%	49.0K	-2.9M	-15.8K	0.70	26.02	N/A	N/A	1,176	821	23,444	7,048
2022-02-07	$2.48	$2.50	93.6%	26.7%	64.0%	46.9%	93.2%	0.0%	-0.5%	56.7K	-2.4M	-15.3K	0.20	22.00	N/A	N/A	3,986	798	24,042	7,171
2022-02-08	$2.40	$2.50	113.9%	27.1%	65.3%	66.2%	94.6%	0.0%	-3.6%	57.1K	-2.5M	-15.7K	0.43	19.55	N/A	N/A	2,648	1,150	26,496	7,183
2022-02-09	$2.49	$2.50	95.1%	27.3%	65.8%	50.9%	95.1%	0.0%	-1.3%	58.6K	-2.8M	-15.8K	0.25	21.87	N/A	N/A	2,902	717	27,214	7,425
2022-02-10	$1.94	$2.50	96.8%	27.7%	111.9%	52.5%	97.8%	0.0%	-7.4%	15.4K	-238.8K	-11.0K	0.33	56.35	N/A	N/A	3,015	997	28,311	7,468
2022-02-11	$2.19	$2.50	88.4%	25.4%	119.9%	44.1%	88.5%	0.0%	-4.6%	19.0K	-663.4K	-12.6K	0.14	54.26	N/A	N/A	2,784	392	27,229	7,636
2022-02-14	$2.29	$2.50	77.6%	22.3%	120.9%	33.3%	77.7%	0.0%	7.5%	73.0K	-1.1M	-13.7K	0.74	18.53	N/A	N/A	576	426	27,603	7,657
2022-02-15	$2.24	$2.50	74.7%	21.4%	121.2%	30.4%	75.0%	0.0%	5.2%	24.2K	-702.7K	-13.0K	2.23	37.27	N/A	N/A	178	397	27,821	7,558
2022-02-16	$2.21	$2.50	83.2%	23.8%	121.3%	38.9%	82.0%	0.0%	-5.5%	23.7K	-712.7K	-12.8K	4.01	25.49	N/A	N/A	155	622	27,843	7,553
2022-02-17	$2.09	$2.50	72.7%	20.9%	122.9%	28.4%	78.3%	0.0%	-3.6%	19.9K	-420.1K	-11.1K	1.90	63.22	N/A	N/A	191	363	27,861	7,798
2022-02-18	$2.06	$2.50	88.4%	25.3%	122.9%	44.1%	89.9%	0.0%	0.6%	18.8K	-360.9K	-11.8K	2.02	10.10	N/A	N/A	452	912	27,939	7,722
2022-02-22	$2.01	$2.50	54.8%	15.7%	121.8%	10.4%	63.8%	0.0%	30.9%	14.7K	-66.9K	-10.6K	0.66	12.39	N/A	N/A	550	361	19,559	7,476
2022-02-23	$2.05	$2.50	72.5%	20.8%	122.0%	28.2%	100.6%	0.0%	44.8%	17.4K	-492.3K	-11.8K	1.08	6.61	N/A	N/A	300	325	19,566	7,525
2022-02-24	$2.10	$2.50	75.5%	21.6%	121.8%	31.2%	85.9%	0.0%	-6.8%	19.4K	-442.3K	-11.2K	0.62	29.09	N/A	N/A	488	303	19,770	7,527
2022-02-25	$2.09	$2.50	49.4%	14.2%	120.0%	5.0%	55.9%	0.0%	45.0%	18.4K	-282.2K	-11.5K	2.37	17.79	N/A	N/A	128	303	19,995	7,527
2022-02-28	$2.13	$2.50	63.5%	18.2%	119.9%	19.1%	60.2%	0.0%	25.3%	22.3K	-458.5K	-11.7K	0.44	69.53	N/A	N/A	851	378	20,009	7,527