NGL Options History — January 2024

In January 2024, NGL traded between $4.96 and $5.86. ATM implied volatility averaged 60.7%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 19.3%. IV traded above realized volatility by 22.3% (HV 20d: 38.4%). 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 9 of 21 days. Put/call ratio averaged 0.16.

Notable Days

  • 2024-01-10: Highest Volume — 3,312 contracts
  • 2024-01-10: Largest IV spike — 85.3% change
  • 2024-01-26: Highest IV Rank — 46.4%
  • 2024-01-26: Largest Expected Move — 24.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.43$4.96$5.86$5.50$5.81
Max Pain$4.76$2.50$5.00$2.50$5.00
ATM IV60.7%24.4%84.5%30.8%72.2%
Expected Move19.3%8.8%24.2%8.8%20.7%
HV 20d38.4%31.2%43.6%42.0%38.5%
HV 60d34.2%31.5%37.3%31.6%37.3%
IV Rank26.9%0.0%46.4%4.1%36.9%
IV Percentile43.9%0.0%80.2%0.8%60.3%
Term Structure-0.2%-20.9%33.6%33.6%5.9%
VWIV67.5%20.9%100.7%30.0%50.5%
Bid-Ask Spread %43.2611.9272.8264.6739.82
Gamma HHI0.620.500.780.530.71
Net GEX104.3K55.4K262.3K95.5K86.4K
Net DEX-5.9M-8.8M-1.9M-8.4M-3.8M
Net VEX-14.6K-19.8K-11.9K-13.0K-19.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.001.060.070.51
Total Volume771.714803,31237380
Total OI27,416.52418,18234,35030,72520,630

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$5.50$2.5030.8%8.8%42.0%4.1%30.0%0.0%33.6%95.5K-8.4M-13.0K0.0764.67N/AN/A3482526,1884,537
2024-01-03$5.58$2.5036.0%10.3%40.3%7.8%20.9%0.0%22.2%87.5K-8.6M-13.2K0.0563.81N/AN/A2211226,3084,558
2024-01-04$5.59$5.0032.2%19.2%40.5%5.2%66.9%0.0%-8.1%75.8K-8.7M-13.2K0.0156.04N/AN/A8441026,3584,559
2024-01-05$5.58$5.0034.0%19.5%38.9%6.4%70.6%0.0%-10.2%81.8K-8.8M-13.1K0.1566.84N/AN/A1151726,6424,564
2024-01-08$5.41$5.0024.4%16.8%41.9%0.0%59.1%0.0%0.1%76.5K-8.2M-11.9K0.0670.28N/AN/A6684326,5974,574
2024-01-09$5.36$5.0028.5%18.0%42.4%2.7%81.2%0.0%-8.5%107.2K-7.8M-12.4K0.2813.03N/AN/A2326426,6354,612
2024-01-10$5.46$5.0052.8%15.1%42.5%19.1%45.4%0.0%16.9%99.8K-8.1M-12.9K0.0022.82N/AN/A3,2961626,5384,673
2024-01-11$5.37$5.0063.4%18.2%42.8%26.2%71.5%0.0%-9.6%142.9K-7.8M-15.4K0.0520.32N/AN/A78429,4894,659
2024-01-12$5.29$5.0065.2%18.7%43.6%29.5%62.5%0.0%-5.3%132.4K-7.9M-14.1K0.0259.01N/AN/A4271029,5194,643
2024-01-16$5.22$5.0063.8%18.3%40.3%28.5%63.2%0.0%0.9%151.8K-7.9M-14.2K0.0143.75N/AN/A349529,6974,653
2024-01-17$4.96$5.0070.5%20.2%38.7%33.3%73.0%0.0%-7.6%262.3K-5.6M-13.2K0.6728.51N/AN/A45230229,6384,655
2024-01-18$5.11$5.0077.2%22.1%34.9%38.2%76.6%0.0%3.0%242.0K-6.4M-13.8K0.0572.82N/AN/A9745328,9304,861
2024-01-19$5.16$5.0077.9%22.3%33.2%38.7%76.7%0.0%-16.9%55.4K-6.8M-13.9K0.0164.34N/AN/A3,2571828,2684,890
2024-01-22$5.26$5.0080.2%23.0%34.1%43.1%80.3%0.0%-11.7%60.5K-2.0M-14.3K1.0611.92N/AN/A26728215,9872,195
2024-01-23$5.17$5.0071.6%20.5%32.7%36.4%71.2%0.0%-5.9%57.5K-1.9M-13.6K0.0430.26N/AN/A4221716,1502,436
2024-01-24$5.28$5.0082.0%23.5%31.2%44.4%80.9%0.0%-9.2%62.8K-2.1M-14.7K0.0525.91N/AN/A3732016,4012,454
2024-01-25$5.46$5.0083.7%24.0%33.4%45.7%60.5%0.0%-20.9%69.3K-2.5M-15.6K0.0031.01N/AN/A392116,6422,454
2024-01-26$5.76$5.0084.5%24.2%38.4%46.4%82.2%0.0%-9.9%74.6K-3.6M-17.7K0.1815.79N/AN/A4007416,8482,467
2024-01-29$5.86$5.0072.6%20.8%38.7%37.1%100.7%0.0%20.6%83.0K-3.6M-17.9K0.0534.83N/AN/A1,0645417,0442,494
2024-01-30$5.86$5.0071.3%20.4%38.5%36.1%93.1%0.0%15.9%85.5K-4.0M-19.8K0.1072.63N/AN/A8368417,7982,502
2024-01-31$5.81$5.0072.2%20.7%38.5%36.9%50.5%0.0%5.9%86.4K-3.8M-19.1K0.5139.82N/AN/A532718,0462,584