NGL Options History — January 2023

In January 2023, NGL traded between $1.15 and $1.69. ATM implied volatility averaged 120.2%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 32.3%. IV traded above realized volatility by 26.4% (HV 20d: 93.8%). 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 13 of 20 days. Put/call ratio averaged 0.44.

Notable Days

  • 2023-01-18: Highest Volume — 1,207 contracts
  • 2023-01-31: Largest IV spike — 66.4% change
  • 2023-01-10: Highest IV Rank — 40.8%
  • 2023-01-18: Largest Expected Move — 46.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.50$1.15$1.69$1.15$1.65
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV120.2%77.4%173.4%160.9%154.0%
Expected Move32.3%22.2%46.6%46.1%44.2%
HV 20d93.8%66.2%101.8%66.2%83.6%
HV 60d70.1%56.5%72.2%56.5%70.4%
IV Rank23.6%9.8%40.8%36.7%34.5%
IV Percentile54.8%21.0%80.2%78.2%73.8%
Term Structure-2.1%-118.6%41.2%-55.1%32.3%
VWIV127.8%94.8%178.3%142.6%94.8%
Bid-Ask Spread %31.886.03103.486.3924.14
Gamma HHI0.800.700.850.820.80
Net GEX6.5K2.9K9.5K5.1K7.8K
Net DEX-398.7K-697.4K-38.7K-90.9K-646.2K
Net VEX-8.0K-9.7K-6.0K-6.1K-9.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.003.060.000.78
Total Volume356.0511,20713455
Total OI24,046.2516,91028,05726,44218,769

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$1.15$2.50160.9%46.1%66.2%36.7%0.0%0.0%-55.1%5.1K-90.9K-6.1K0.006.39N/AN/A13021,4754,967
2023-01-04$1.39$2.50129.6%37.2%94.2%26.6%142.6%0.0%-13.7%4.6K-77.1K-6.8K0.079.01N/AN/A7374821,4864,967
2023-01-05$1.35$2.50141.8%26.4%95.1%30.6%0.0%0.0%30.9%4.5K-38.7K-6.5K0.0083.39N/AN/A0122,0674,995
2023-01-06$1.33$2.50158.1%35.6%95.4%35.8%108.1%0.0%-80.6%2.9K-615.1K-6.0K0.13103.48N/AN/A2102722,0674,996
2023-01-09$1.33$2.50161.7%32.6%95.4%37.0%115.4%0.0%-67.0%4.0K-359.5K-7.0K0.3655.22N/AN/A702522,2674,996
2023-01-10$1.35$2.50173.4%44.3%95.4%40.8%178.3%0.0%-118.6%2.9K-637.7K-6.1K0.1084.18N/AN/A991022,3205,013
2023-01-11$1.40$2.50104.5%30.0%95.4%18.5%94.8%0.0%7.8%7.0K-156.3K-7.4K0.388.74N/AN/A873322,3465,013
2023-01-12$1.54$2.5096.4%27.6%98.8%15.9%0.0%0.0%24.9%6.9K-56.5K-8.0K1.14102.41N/AN/A26830622,4005,021
2023-01-13$1.58$2.5094.8%27.2%98.0%15.4%0.0%0.0%10.0%5.9K-186.3K-8.3K0.2519.50N/AN/A3689222,5495,227
2023-01-17$1.49$2.50154.9%44.4%101.8%34.8%0.0%0.0%-41.0%6.0K-146.2K-8.0K0.3121.10N/AN/A1113422,6425,267
2023-01-18$1.49$2.50162.7%46.6%99.1%37.3%0.0%0.0%-22.3%6.1K-254.8K-8.2K3.0626.41N/AN/A29791022,7525,305
2023-01-19$1.50$2.5088.7%25.4%98.6%13.4%0.0%0.0%4.4%6.5K-287.8K-8.3K1.7313.13N/AN/A111922,5594,473
2023-01-20$1.56$2.5077.4%22.2%98.9%9.8%0.0%0.0%41.2%8.0K-400.8K-8.7K0.046.03N/AN/A9743522,5704,480
2023-01-23$1.61$2.5087.1%25.0%97.3%12.9%0.0%0.0%29.9%8.7K-652.5K-9.0K0.0325.82N/AN/A8332914,3792,531
2023-01-24$1.67$2.5085.2%24.4%96.0%12.3%0.0%0.0%36.4%8.9K-651.4K-9.3K0.0010.41N/AN/A376015,0842,545
2023-01-25$1.69$2.50104.1%29.8%96.1%18.4%0.0%0.0%34.5%9.1K-676.4K-9.4K0.0013.70N/AN/A281015,3052,545
2023-01-26$1.67$2.5088.9%25.5%96.7%13.5%0.0%0.0%35.4%9.5K-679.4K-9.7K0.008.88N/AN/A135015,8432,555
2023-01-27$1.63$2.5087.0%24.9%90.5%12.9%0.0%0.0%34.1%8.2K-663.3K-9.1K0.008.81N/AN/A124015,9662,555
2023-01-30$1.62$2.5092.6%26.5%83.6%14.7%0.0%0.0%33.9%7.9K-697.4K-9.0K0.006.79N/AN/A103016,0732,555
2023-01-31$1.65$2.50154.0%44.2%83.6%34.5%0.0%0.0%32.3%7.8K-646.2K-9.1K0.7824.14N/AN/A25520016,2142,555