NGL Options History — December 2022

In December 2022, NGL traded between $1.04 and $1.19. ATM implied volatility averaged 180.4%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 37.4%. IV traded above realized volatility by 136.4% (HV 20d: 44.0%). 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 3 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2022-12-28: Highest Volume — 1,109 contracts
  • 2022-12-14: Largest IV drop — 65.4% change
  • 2022-12-13: Highest IV Rank — 100.0%
  • 2022-12-02: Largest Expected Move — 56.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.14$1.04$1.19$1.15$1.19
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV180.4%116.4%356.9%153.0%149.7%
Expected Move37.4%28.3%56.0%43.9%42.9%
HV 20d44.0%25.9%65.2%57.6%65.2%
HV 60d52.3%50.8%57.4%52.9%57.4%
IV Rank47.9%22.4%100.0%41.9%33.1%
IV Percentile81.1%64.7%100.0%80.6%74.6%
Term Structure-11.6%-72.0%185.3%-68.9%181.6%
VWIV153.3%110.7%192.8%174.8%192.8%
Bid-Ask Spread %10.065.0320.256.599.11
Gamma HHI0.840.791.000.790.79
Net GEX3.7K14.9K3.7K3.5K
Net DEX81.3K-41.5K513.1K62.1K20.1K
Net VEX-5.3K-5.9K-27-5.6K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.0010.000.150.43
Total Volume225.762111,10918733
Total OI26,031.85724,89326,95524,97926,432

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$1.15$2.50153.0%43.9%57.6%41.9%0.0%0.0%-68.9%3.7K62.1K-5.6K0.156.59N/AN/A1622519,8815,098
2022-12-02$1.17$2.50195.3%56.0%57.7%58.6%0.0%0.0%-72.0%3.6K182.9K-4.8K0.136.67N/AN/A3875019,7675,126
2022-12-05$1.15$2.50217.4%28.3%56.1%67.3%0.0%0.0%-24.8%4.0K126.1K-5.4K1.425.03N/AN/A7110120,1725,076
2022-12-06$1.15$2.50209.2%28.6%55.8%64.1%0.0%0.0%-25.5%4.0K131.3K-5.5K0.046.39N/AN/A56220,2735,177
2022-12-07$1.15$2.50220.4%31.5%47.9%68.5%0.0%0.0%-38.4%3.8K67.0K-5.8K0.008.81N/AN/A12020,3165,177
2022-12-08$1.15$2.50233.7%31.8%47.9%73.8%0.0%0.0%-27.1%4.0K84.5K-5.5K0.008.81N/AN/A125020,3245,177
2022-12-09$1.15$2.50249.7%29.6%26.6%80.1%0.0%0.0%-40.1%4.1K125.7K-5.6K0.007.69N/AN/A11020,4435,177
2022-12-12$1.13$2.50299.5%32.9%26.7%99.8%0.0%0.0%-31.2%3.8K47.0K-5.4K1.146.15N/AN/A17620020,4545,177
2022-12-13$1.10$2.50356.9%29.2%26.3%100.0%0.0%0.0%-46.1%3.8K-7.6K-5.5K0.005.13N/AN/A54020,6304,872
2022-12-14$1.08$2.50123.4%35.4%25.9%24.6%174.8%0.0%-23.8%3.7K72.2K-5.3K0.188.03N/AN/A73012920,6564,872
2022-12-15$1.10$2.50126.8%36.3%27.4%25.7%151.0%0.0%8.1%3.8K67.8K-5.4K0.017.35N/AN/A166221,2984,889
2022-12-16$1.19$2.50116.4%33.4%39.7%22.4%137.4%0.0%-24.5%4.1K12.7K-5.9K0.017.75N/AN/A226221,4644,889
2022-12-19$1.17$2.50129.8%37.2%40.0%26.7%0.0%0.0%-27.6%3.8K50.1K-5.5K0.0018.09N/AN/A400021,5754,869
2022-12-20$1.17$2.50121.7%34.9%39.8%24.1%0.0%0.0%-28.6%4.2K44.9K-5.6K0.0013.57N/AN/A85021,9224,869
2022-12-21$1.13$2.50130.6%37.4%41.2%27.0%0.0%0.0%-30.9%4.2K17.9K-5.8K2.0014.47N/AN/A51021,9434,869
2022-12-22$1.10$2.50141.0%40.4%41.9%30.3%0.0%0.0%-33.0%3.7K-19.4K-5.8K0.0017.31N/AN/A46021,9384,879
2022-12-23$1.12$2.50155.4%44.6%42.7%35.0%0.0%0.0%-33.7%4.2K-41.5K-5.8K10.0017.41N/AN/A11021,9734,879
2022-12-27$1.13$2.50116.4%33.4%42.5%22.4%110.7%0.0%-19.5%3.7K147.5K-4.9K0.739.58N/AN/A1319621,9724,889
2022-12-28$1.04$2.50164.4%47.1%50.8%37.9%192.8%0.0%-23.4%1513.1K-270.037.14N/AN/A1,0773222,0214,934
2022-12-29$1.17$2.50178.4%51.1%65.0%42.4%0.0%0.0%185.3%4.9K3.6K-5.7K0.0020.25N/AN/A128021,3554,965
2022-12-30$1.19$2.50149.7%42.9%65.2%33.1%0.0%0.0%181.6%3.5K20.1K-5.6K0.439.11N/AN/A231021,4754,957