NGL Options History — September 2023 In September 2023, NGL traded between $3.69 and $3.88. ATM implied volatility averaged 69.6%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 48.5% (HV 20d: 21.1%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.58.
Notable Days 2023-09-20 : Highest Volume — 1,480 contracts2023-09-25 : Largest IV spike — 76.1% change2023-09-12 : Highest IV Rank — 24.3%2023-09-26 : Largest Expected Move — 24.4%Monthly Statistics Metric Avg Min Max Open Close Price $3.83 $3.69 $3.88 $3.87 $3.85 Max Pain $2.63 $2.50 $5.00 $5.00 $2.50 ATM IV 69.6% 40.2% 118.2% 63.3% 50.8% Expected Move 17.5% 11.5% 24.4% 18.1% 14.6% HV 20d 21.1% 14.7% 35.3% 35.3% 22.8% HV 60d 33.4% 29.0% 40.4% 40.4% 29.9% IV Rank 9.1% 0.0% 24.3% 6.9% 3.3% IV Percentile 28.4% 0.0% 71.0% 20.6% 11.1% Term Structure -8.0% -57.0% 24.3% 12.4% -2.6% VWIV 82.0% 44.6% 172.3% 98.2% 57.4% Bid-Ask Spread % 27.42 7.03 72.31 72.31 57.97 Gamma HHI 0.49 0.47 0.53 0.51 0.47 Net GEX 44.3K 36.4K 51.5K 48.5K 38.0K Net DEX -3.9M -4.2M -3.6M -4.2M -3.9M Net VEX -11.2K -12.5K -9.6K -11.9K -11.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.58 0.00 2.64 0.02 2.21 Total Volume 279.75 2 1,480 723 93 Total OI 26,310.45 25,380 26,961 25,630 26,961
Daily Data (20 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 2023-09-01 $3.87 $5.00 63.3% 18.1% 35.3% 6.9% 98.2% 0.0% 12.4% 48.5K -4.2M -11.9K 0.02 72.31 N/A N/A 706 17 22,374 3,256 2023-09-05 $3.87 $2.50 86.6% 20.7% 31.3% 14.3% 70.0% 0.0% -6.6% 49.1K -4.0M -11.5K 0.00 33.31 N/A N/A 36 0 22,107 3,273 2023-09-06 $3.87 $2.50 78.6% 19.3% 31.3% 11.8% 68.2% 0.0% -7.5% 51.5K -4.1M -10.2K 0.48 8.40 N/A N/A 46 22 22,109 3,273 2023-09-07 $3.81 $2.50 77.0% 20.1% 30.6% 11.3% 71.4% 0.0% -7.7% 46.8K -3.9M -11.8K 0.70 7.03 N/A N/A 142 100 22,110 3,295 2023-09-08 $3.83 $2.50 84.8% 16.7% 21.6% 13.7% 68.4% 0.0% -9.5% 49.0K -3.9M -10.7K 0.77 9.39 N/A N/A 413 320 22,226 3,395 2023-09-11 $3.83 $2.50 111.9% 17.4% 21.6% 22.3% 65.4% 0.0% -13.6% 51.0K -4.0M -9.6K 1.33 9.52 N/A N/A 203 270 22,588 3,713 2023-09-12 $3.85 $2.50 118.2% 17.0% 20.3% 24.3% 71.2% 0.0% -6.3% 47.2K -4.0M -12.0K 0.42 14.86 N/A N/A 241 102 22,788 3,982 2023-09-13 $3.81 $2.50 62.3% 17.9% 14.7% 6.6% 75.2% 0.0% -10.0% 46.5K -3.9M -12.5K 0.00 9.66 N/A N/A 51 0 22,715 4,082 2023-09-14 $3.85 $2.50 61.0% 17.5% 15.1% 6.2% 73.2% 0.0% 0.9% 48.1K -4.0M -11.7K 0.00 10.63 N/A N/A 21 0 22,718 4,082 2023-09-15 $3.84 $2.50 67.2% 19.3% 15.1% 8.2% 0.0% 0.0% -12.2% 48.0K -3.9M -11.5K 0.18 19.58 N/A N/A 55 10 22,712 4,082 2023-09-18 $3.83 $2.50 66.9% 19.2% 15.1% 8.0% 81.1% 0.0% -13.8% 46.9K -4.0M -11.3K 2.64 9.29 N/A N/A 76 201 22,207 3,902 2023-09-19 $3.84 $2.50 68.7% 19.7% 15.1% 8.6% 74.6% 0.0% -42.7% 46.4K -3.9M -12.1K 0.04 10.99 N/A N/A 57 2 22,202 4,103 2023-09-20 $3.88 $2.50 40.2% 11.5% 15.5% 0.0% 44.6% 0.0% -4.0% 39.8K -3.8M -9.6K 0.16 56.29 N/A N/A 1,280 200 22,193 4,105 2023-09-21 $3.81 $2.50 45.5% 13.0% 16.2% 1.7% 0.0% 0.0% 0.8% 37.0K -3.7M -11.5K 1.00 59.05 N/A N/A 1 1 22,400 4,112 2023-09-22 $3.88 $2.50 45.6% 13.1% 17.2% 1.7% 172.3% 0.0% 24.3% 38.8K -3.8M -10.9K 0.01 71.33 N/A N/A 89 1 22,401 4,112 2023-09-25 $3.83 $2.50 80.2% 23.0% 17.8% 12.6% 152.9% 0.0% -0.6% 36.8K -3.8M -10.2K 0.04 47.80 N/A N/A 90 4 22,380 4,113 2023-09-26 $3.69 $2.50 85.0% 24.4% 20.9% 14.1% 108.0% 0.0% -57.0% 43.1K -3.7M -12.0K 0.03 8.19 N/A N/A 272 8 22,421 4,112 2023-09-27 $3.76 $2.50 52.7% 15.1% 22.0% 3.9% 75.6% 0.0% -1.9% 36.6K -3.6M -9.8K 0.00 18.03 N/A N/A 382 0 22,587 4,109 2023-09-28 $3.80 $2.50 46.2% 13.3% 22.3% 1.9% 47.6% 0.0% -2.3% 36.4K -3.8M -11.4K 1.52 14.69 N/A N/A 33 50 22,800 4,109 2023-09-29 $3.85 $2.50 50.8% 14.6% 22.8% 3.3% 57.4% 0.0% -2.6% 38.0K -3.9M -11.0K 2.21 57.97 N/A N/A 29 64 22,817 4,144
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