NGL Options History — December 2023

In December 2023, NGL traded between $4.19 and $5.59. ATM implied volatility averaged 49.4%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 13.7% (HV 20d: 35.8%). 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 14 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2023-12-19: Highest Volume — 4,871 contracts
  • 2023-12-26: Largest IV spike — 66.0% change
  • 2023-12-29: Highest IV Rank — 15.4%
  • 2023-12-13: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.88$4.19$5.59$4.29$5.54
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV49.4%24.5%76.5%41.8%48.2%
Expected Move12.7%7.0%15.6%12.0%13.8%
HV 20d35.8%26.2%44.7%29.5%42.1%
HV 60d27.7%22.9%31.6%22.9%31.5%
IV Rank8.8%0.0%15.4%3.3%15.4%
IV Percentile18.1%0.0%57.5%2.8%18.3%
Term Structure8.4%-10.6%37.8%14.1%9.6%
VWIV44.8%22.0%55.1%48.0%48.1%
Bid-Ask Spread %26.038.8471.6216.3013.18
Gamma HHI0.840.560.990.930.59
Net GEX84.1K47.3K129.3K56.8K129.1K
Net DEX-5.7M-9.1M-3.3M-3.7M-8.1M
Net VEX-9.3K-14.9K-5.6K-6.7K-14.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.0014.900.040.06
Total Volume926.25364,871149376
Total OI25,913.723,09631,04123,09630,693

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$4.29$2.5041.8%12.0%29.5%3.3%0.0%0.0%14.1%56.8K-3.7M-6.7K0.0416.30N/AN/A143619,1393,957
2023-12-04$4.21$2.5047.3%14.0%30.3%4.9%48.0%0.0%2.8%47.8K-3.4M-6.0K14.908.84N/AN/A2029819,2143,962
2023-12-05$4.28$2.5059.4%13.7%30.9%8.7%48.1%0.0%-2.3%49.8K-3.4M-5.6K0.1058.11N/AN/A4144219,2244,040
2023-12-06$4.19$2.5063.3%12.5%30.9%9.8%52.3%0.0%-3.8%47.3K-3.3M-5.7K0.0311.68N/AN/A35119,3214,040
2023-12-07$4.28$2.5054.3%14.0%31.8%7.1%49.2%0.0%4.7%51.0K-3.5M-6.1K1.7510.95N/AN/A518919,3394,039
2023-12-08$4.37$2.5063.9%12.4%32.5%10.0%45.2%0.0%3.5%57.6K-3.5M-5.9K0.1511.83N/AN/A1332019,3694,127
2023-12-11$4.42$2.5063.8%15.1%26.2%10.0%53.3%0.0%-6.8%62.3K-3.9M-6.6K0.5918.11N/AN/A19611519,4964,128
2023-12-12$4.36$2.5076.5%11.7%26.5%13.9%49.2%0.0%1.0%58.3K-3.5M-6.2K0.1811.83N/AN/A2013619,5394,219
2023-12-13$4.44$2.5054.5%15.6%26.8%7.1%55.1%0.0%-9.7%65.4K-3.9M-7.1K0.0258.14N/AN/A4591019,9374,252
2023-12-14$4.70$2.5046.6%13.3%32.1%4.7%46.7%0.0%-10.6%89.5K-4.7M-8.5K0.1934.21N/AN/A61811920,3714,244
2023-12-15$5.01$2.5046.7%13.4%37.7%10.5%44.7%0.0%9.4%100.5K-5.9M-9.7K0.1520.50N/AN/A5998920,3924,249
2023-12-18$5.29$2.5046.4%13.3%40.8%10.3%46.4%0.0%8.4%107.5K-6.9M-9.4K0.2114.84N/AN/A91719220,2244,054
2023-12-19$5.45$2.5052.4%15.0%41.2%14.4%52.5%0.0%-6.9%92.7K-7.5M-9.5K0.0225.38N/AN/A4,7957620,3484,138
2023-12-20$5.44$2.5040.8%11.7%40.8%6.5%40.8%0.0%18.7%125.5K-8.1M-12.3K0.6141.70N/AN/A91555524,0004,148
2023-12-21$5.59$2.5025.9%7.4%40.6%0.0%25.3%0.0%36.2%72.9K-9.1M-10.6K0.0022.28N/AN/A2,865524,4594,525
2023-12-22$5.38$2.5024.5%7.0%44.7%0.0%22.0%0.0%37.8%113.5K-8.0M-12.3K0.0017.76N/AN/A1,755524,6224,525
2023-12-26$5.42$2.5040.6%11.6%43.9%10.5%32.8%0.0%31.0%111.7K-7.7M-13.8K0.0236.40N/AN/A1,4322225,3414,529
2023-12-27$5.42$2.5045.6%13.1%43.7%13.7%45.8%0.0%15.1%129.3K-7.7M-14.4K1.0671.62N/AN/A9610226,4784,551
2023-12-28$5.46$2.5046.4%13.3%42.6%14.3%45.9%0.0%16.1%112.9K-8.0M-14.8K0.0016.86N/AN/A721226,5124,529
2023-12-29$5.54$2.5048.2%13.8%42.1%15.4%48.1%0.0%9.6%129.1K-8.1M-14.9K0.0613.18N/AN/A3552126,1644,529