NGL Options History — August 2023

In August 2023, NGL traded between $3.77 and $4.39. ATM implied volatility averaged 64.4%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 27.3% (HV 20d: 37.1%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.15.

Notable Days

  • 2023-08-10: Highest Volume — 1,894 contracts
  • 2023-08-09: Largest IV drop — 28.3% change
  • 2023-08-08: Highest IV Rank — 19.4%
  • 2023-08-02: Largest Expected Move — 26.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.98$3.77$4.39$4.22$3.79
Max Pain$4.35$2.50$5.00$2.50$5.00
ATM IV64.4%41.5%104.4%91.1%61.3%
Expected Move17.6%11.9%26.2%26.1%17.6%
HV 20d37.1%30.6%43.4%30.8%35.1%
HV 60d44.4%41.6%46.2%43.3%41.6%
IV Rank7.0%0.0%19.4%15.2%6.3%
IV Percentile21.0%0.0%59.5%48.4%18.7%
Term Structure8.9%-14.1%28.0%-13.6%17.2%
VWIV71.2%43.9%95.7%90.6%57.4%
Bid-Ask Spread %22.137.2767.4730.0611.01
Gamma HHI0.510.480.600.550.49
Net GEX51.7K44.9K69.7K59.2K46.0K
Net DEX-4.6M-6.1M-3.9M-5.5M-3.9M
Net VEX-14.6K-18.3K-10.0K-18.2K-11.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.000.760.030.00
Total Volume411.87181,894588153
Total OI26,995.95725,46228,41327,24025,510

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-08-01$4.22$2.5091.1%26.1%30.8%15.2%90.6%0.0%-13.6%59.2K-5.5M-18.2K0.0330.06N/AN/A5731523,7693,471
2023-08-02$4.13$2.5091.3%26.2%31.3%15.3%95.7%0.0%-14.1%50.7K-5.3M-17.3K0.417.49N/AN/A1737124,0213,472
2023-08-03$4.08$2.5098.4%22.0%31.4%17.5%77.1%0.0%-8.3%50.9K-5.1M-17.3K0.0359.15N/AN/A169524,1163,443
2023-08-04$4.16$2.5080.3%22.7%32.1%11.7%0.0%0.0%-13.2%54.3K-5.3M-16.9K0.0515.28N/AN/A158824,2843,444
2023-08-07$4.33$2.5091.1%20.4%31.3%15.2%71.4%0.0%-5.3%66.1K-5.9M-18.0K0.0313.70N/AN/A1,1653124,4233,447
2023-08-08$4.33$5.00104.4%22.1%31.3%19.4%77.3%0.0%-11.8%66.6K-5.8M-17.4K0.1920.40N/AN/A95317724,2683,463
2023-08-09$4.39$5.0074.9%21.5%30.6%10.0%75.0%0.0%-4.9%69.7K-6.1M-18.3K0.0325.60N/AN/A1,2083724,7673,624
2023-08-10$4.11$5.0069.5%19.9%40.1%8.3%69.4%0.0%-4.1%53.3K-5.0M-15.4K0.1167.47N/AN/A1,69919524,7123,701
2023-08-11$4.11$5.0056.9%16.3%39.6%4.3%72.9%0.0%22.5%53.0K-4.8M-15.7K0.0311.80N/AN/A4881524,3493,782
2023-08-14$4.01$5.0041.5%11.9%40.7%0.0%43.9%0.0%21.6%49.8K-4.5M-16.0K0.0111.23N/AN/A343224,2443,790
2023-08-15$3.85$5.0046.5%13.3%43.4%1.6%46.5%0.0%21.7%47.1K-4.1M-15.7K0.7616.28N/AN/A15011424,3563,819
2023-08-16$3.83$5.0050.2%14.4%42.9%2.8%0.0%0.0%12.8%46.5K-3.9M-14.0K0.289.66N/AN/A1544324,2573,814
2023-08-17$3.83$5.0051.1%14.6%42.9%3.0%0.0%0.0%12.5%46.0K-3.9M-13.6K0.079.66N/AN/A2821924,3093,837
2023-08-18$3.84$5.0055.9%16.0%42.9%4.6%0.0%0.0%12.4%44.9K-4.0M-13.8K0.2059.18N/AN/A1964024,2153,607
2023-08-21$3.83$2.5053.7%15.4%42.1%3.9%66.4%0.0%20.7%46.8K-4.0M-12.6K0.479.60N/AN/A1788422,1903,272
2023-08-22$3.85$5.0047.6%13.6%39.3%1.9%0.0%0.0%28.0%48.8K-4.1M-13.3K0.387.27N/AN/A1435422,3033,322
2023-08-23$3.80$5.0045.3%13.0%39.4%1.2%79.7%0.0%19.1%46.2K-3.9M-13.3K0.189.83N/AN/A551022,2713,326
2023-08-24$3.83$5.0042.7%12.2%39.6%0.4%73.1%0.0%24.1%51.6K-4.1M-10.0K0.0010.96N/AN/A39022,3143,256
2023-08-25$3.85$5.0050.8%14.6%39.4%3.0%57.4%0.0%23.2%50.0K-4.1M-10.8K0.0311.00N/AN/A32122,3393,256
2023-08-28$3.77$5.0054.6%15.6%35.5%4.2%0.0%0.0%14.5%46.8K-3.9M-11.9K0.0019.22N/AN/A38022,3083,256
2023-08-29$3.79$5.0062.8%18.0%35.7%6.8%0.0%0.0%14.8%47.5K-3.9M-12.5K0.0663.45N/AN/A17122,3383,256
2023-08-30$3.79$5.0059.4%17.0%35.2%5.7%0.0%0.0%13.9%46.9K-3.9M-12.8K0.009.80N/AN/A185022,3303,256
2023-08-31$3.79$5.0061.3%17.6%35.1%6.3%0.0%0.0%17.2%46.0K-3.9M-11.9K0.0011.01N/AN/A153022,2543,256