NGL Options History — March 2022

In March 2022, NGL traded between $2.13 and $2.61. ATM implied volatility averaged 75.5%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 23.1%. IV traded below realized volatility by 5.1% (HV 20d: 80.6%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.37.

Notable Days

  • 2022-03-09: Highest Volume — 3,106 contracts
  • 2022-03-31: Largest IV spike — 40.1% change
  • 2022-03-08: Highest IV Rank — 51.4%
  • 2022-03-08: Largest Expected Move — 28.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.30$2.13$2.61$2.19$2.23
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV75.5%53.2%95.6%73.7%88.3%
Expected Move23.1%18.6%28.9%21.1%22.6%
HV 20d80.6%60.2%120.4%120.4%60.2%
HV 60d83.4%80.9%86.2%81.9%81.0%
IV Rank31.1%8.8%51.4%29.4%44.0%
IV Percentile27.3%3.2%68.3%18.3%46.0%
Term Structure2.4%-13.5%15.6%-9.2%-13.5%
VWIV81.1%67.6%100.4%76.8%79.0%
Bid-Ask Spread %57.1019.7595.7420.9159.59
Gamma HHI0.800.700.920.900.74
Net GEX28.3K12.4K56.8K28.0K23.8K
Net DEX-1.0M-2.2M-413.7K-752.0K-991.7K
Net VEX-13.2K-14.7K-11.8K-12.6K-13.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.081.291.290.56
Total Volume1,387.3915243,106721544
Total OI29,676.04327,22031,70628,21330,393

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-03-01$2.19$2.5073.7%21.1%120.4%29.4%76.8%0.0%-9.2%28.0K-752.0K-12.6K1.2920.91N/AN/A31540620,7107,503
2022-03-02$2.27$2.5081.0%23.2%117.2%36.7%81.5%0.0%-3.1%32.0K-946.4K-13.0K0.4430.44N/AN/A96542420,8017,578
2022-03-03$2.25$2.5078.4%22.5%111.7%34.1%72.6%0.0%-7.3%33.6K-815.7K-12.8K0.6524.92N/AN/A58638120,9747,550
2022-03-04$2.33$2.5064.9%18.6%112.6%20.6%67.6%0.0%-7.1%39.3K-1.2M-13.6K0.6280.01N/AN/A60937821,0997,550
2022-03-07$2.44$2.5079.3%22.7%113.9%35.0%79.7%0.0%3.9%44.8K-1.6M-13.9K0.3569.61N/AN/A1,19541321,2277,552
2022-03-08$2.61$2.5095.6%28.9%113.6%51.4%100.4%0.0%-3.0%40.3K-2.2M-14.4K0.1468.56N/AN/A2,51134121,6647,663
2022-03-09$2.52$2.5091.8%24.6%113.7%47.5%87.0%0.0%2.3%56.8K-2.0M-14.7K0.0868.70N/AN/A2,87323323,2697,697
2022-03-10$2.50$2.5081.3%19.5%113.0%36.9%68.0%0.0%10.0%53.3K-1.8M-14.1K0.5785.53N/AN/A80045522,0277,702
2022-03-11$2.39$2.5087.8%25.7%67.0%43.5%88.1%0.0%4.8%42.9K-1.5M-13.7K0.3595.74N/AN/A1,05236622,3377,862
2022-03-14$2.15$2.5094.2%25.9%65.6%50.0%90.9%0.0%-3.7%12.5K-561.4K-12.1K0.1029.94N/AN/A1,51615922,8597,872
2022-03-15$2.13$2.5079.0%27.4%63.4%34.7%96.7%0.0%15.6%12.4K-413.7K-11.8K0.1519.75N/AN/A1,29119523,2987,878
2022-03-16$2.19$2.5092.9%24.4%64.0%48.7%94.6%0.0%-9.6%13.4K-540.8K-12.1K0.4239.60N/AN/A91938223,4207,887
2022-03-17$2.28$0.0074.9%21.9%65.4%30.6%75.5%0.0%3.3%15.9K-723.2K-12.9K0.5095.44N/AN/A1,04752123,5987,915
2022-03-18$2.26$2.5058.1%22.6%62.0%13.7%78.7%0.0%12.4%16.2K-598.0K-12.6K0.1860.91N/AN/A2,12037323,6658,041
2022-03-21$2.29$2.5061.3%21.7%61.7%17.0%76.0%0.0%6.0%17.1K-694.5K-12.8K0.1431.38N/AN/A1,52022019,5267,694
2022-03-22$2.34$2.5056.4%22.3%60.9%12.1%77.6%0.0%14.0%22.6K-974.3K-13.4K0.2261.33N/AN/A94920720,6257,750
2022-03-23$2.29$2.5068.3%24.7%61.5%24.0%86.0%0.0%13.0%22.6K-924.1K-13.1K0.1752.77N/AN/A1,07918021,1847,771
2022-03-24$2.29$2.5053.2%21.6%61.2%8.8%75.3%0.0%12.9%25.9K-1.0M-13.6K0.5162.37N/AN/A34617821,4877,774
2022-03-25$2.32$2.5063.9%20.9%61.1%19.6%73.0%0.0%8.3%26.8K-1.0M-13.1K0.3881.84N/AN/A56821521,5507,773
2022-03-28$2.25$2.5073.4%23.4%62.2%29.0%81.5%0.0%-2.3%22.8K-900.5K-13.1K0.1955.36N/AN/A99418821,6897,779
2022-03-29$2.24$2.5074.7%22.1%61.5%30.3%77.3%0.0%-1.8%23.4K-861.6K-13.1K0.2159.96N/AN/A87618822,3807,781
2022-03-30$2.25$2.5063.0%23.5%60.2%18.7%81.8%0.0%8.3%25.6K-863.6K-13.1K0.3058.72N/AN/A64219022,4137,782
2022-03-31$2.23$2.5088.3%22.6%60.2%44.0%79.0%0.0%-13.5%23.8K-991.7K-13.3K0.5659.59N/AN/A34919522,6167,777