NGL Options History — November 2023

In November 2023, NGL traded between $3.92 and $4.33. ATM implied volatility averaged 51.7%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 29.6% (HV 20d: 22.1%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.20.

Notable Days

  • 2023-11-17: Highest Volume — 696 contracts
  • 2023-11-10: Largest IV drop — 56.6% change
  • 2023-11-06: Highest IV Rank — 13.5%
  • 2023-11-09: Largest Expected Move — 20.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.12$3.92$4.33$4.25$4.33
Max Pain$4.17$2.50$5.00$2.50$2.50
ATM IV51.7%31.2%82.9%62.5%37.9%
Expected Move14.0%9.0%20.6%17.9%10.9%
HV 20d22.1%15.4%29.3%16.8%29.3%
HV 60d21.2%18.2%24.7%24.7%23.1%
IV Rank5.4%0.0%13.5%7.0%2.0%
IV Percentile16.7%0.0%57.9%27.8%1.2%
Term Structure11.6%-18.6%24.7%-8.5%9.6%
VWIV79.4%59.9%125.0%64.9%125.0%
Bid-Ask Spread %41.0612.55130.0012.7621.49
Gamma HHI0.790.630.950.800.95
Net GEX43.0K26.9K55.0K44.0K55.0K
Net DEX-3.5M-4.2M-2.8M-4.2M-3.5M
Net VEX-7.0K-9.8K-3.1K-8.1K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.002.140.000.02
Total Volume239.6191769659402
Total OI23,542.76222,99623,99123,71023,047

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$4.25$2.5062.5%17.9%16.8%7.0%0.0%0.0%-8.5%44.0K-4.2M-8.1K0.0012.76N/AN/A59019,8633,847
2023-11-02$4.25$2.5060.2%14.7%16.8%6.3%64.9%0.0%24.7%50.1K-4.2M-9.3K0.0257.83N/AN/A5891019,8173,847
2023-11-03$4.25$2.5062.0%13.4%16.8%6.9%0.0%0.0%20.9%47.9K-4.2M-8.4K0.0887.01N/AN/A1501219,7383,857
2023-11-06$4.26$2.5082.9%15.6%15.4%13.5%0.0%0.0%23.5%48.4K-4.1M-9.3K0.4056.48N/AN/A1265119,8693,859
2023-11-07$4.17$2.5058.9%15.5%17.7%5.9%65.0%0.0%22.7%46.1K-3.9M-9.8K0.1957.81N/AN/A541019,9363,908
2023-11-08$4.17$5.0065.7%18.8%17.5%8.0%0.0%0.0%0.3%45.8K-3.9M-9.7K0.0034.42N/AN/A123019,7883,918
2023-11-09$4.16$5.0071.9%20.6%17.4%10.0%72.2%0.0%-5.8%46.5K-3.9M-9.4K0.0354.32N/AN/A188619,8313,918
2023-11-10$3.96$5.0031.2%9.0%23.7%0.0%0.0%0.0%22.9%31.5K-3.2M-5.6K0.01130.00N/AN/A682819,9883,912
2023-11-13$3.92$5.0047.3%13.6%23.8%4.9%0.0%0.0%23.2%40.0K-3.2M-6.6K2.1418.58N/AN/A10322019,9723,904
2023-11-14$3.92$5.0048.0%13.8%23.4%5.2%89.3%0.0%21.7%39.6K-3.2M-6.8K0.0865.97N/AN/A3633019,9534,021
2023-11-15$3.99$5.0047.7%13.7%24.3%5.0%0.0%0.0%20.3%34.5K-3.2M-5.6K0.0015.87N/AN/A31019,9704,021
2023-11-16$4.04$5.0036.9%10.6%24.7%1.7%0.0%0.0%22.2%42.8K-3.3M-6.8K0.0012.55N/AN/A80019,8864,021
2023-11-17$4.09$5.0035.9%10.3%25.0%1.5%0.0%0.0%21.3%44.5K-3.4M-6.5K0.0012.66N/AN/A696019,8694,021
2023-11-20$4.12$5.0046.1%13.2%24.8%4.6%59.9%0.0%21.5%40.7K-3.4M-6.3K0.0463.91N/AN/A3301219,1643,950
2023-11-21$4.09$5.0046.1%13.2%24.8%4.6%0.0%0.0%15.5%43.3K-3.3M-6.0K0.1463.27N/AN/A35519,3033,950
2023-11-22$4.08$5.0039.0%11.2%23.7%2.4%0.0%0.0%14.7%42.7K-3.2M-6.0K0.0516.56N/AN/A21119,2723,945
2023-11-24$4.09$5.0049.0%14.1%23.6%5.5%0.0%0.0%13.0%43.9K-3.3M-6.1K0.0020.70N/AN/A17019,2523,946
2023-11-27$4.05$5.0051.4%14.7%23.3%6.2%0.0%0.0%-11.2%41.2K-3.1M-5.2K0.0019.88N/AN/A38019,1403,877
2023-11-28$4.03$5.0056.3%16.1%23.0%7.7%0.0%0.0%-18.6%26.9K-2.8M-3.1K1.0419.48N/AN/A9710119,1193,877
2023-11-29$4.20$2.5048.1%13.8%27.4%5.2%0.0%0.0%-11.1%48.6K-3.5M-6.6K0.0120.61N/AN/A377519,0503,972
2023-11-30$4.33$2.5037.9%10.9%29.3%2.0%125.0%0.0%9.6%55.0K-3.5M-6.0K0.0221.49N/AN/A396619,0963,951