NGL Options History — August 2024

In August 2024, NGL traded between $4.06 and $4.63. ATM implied volatility averaged 48.8%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 6.4% (HV 20d: 42.4%). Max pain ranged from $3.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 6.11.

Notable Days

  • 2024-08-19: Highest Volume — 850 contracts
  • 2024-08-13: Largest IV spike — 83.4% change
  • 2024-08-13: Highest IV Rank — 74.1%
  • 2024-08-05: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.21$4.06$4.63$4.63$4.12
Max Pain$4.27$3.00$5.00$4.00$4.00
ATM IV48.8%25.8%106.6%51.3%32.2%
Expected Move11.7%7.4%21.1%14.7%9.2%
HV 20d42.4%24.8%48.6%24.8%42.2%
HV 60d42.4%37.2%44.1%37.2%43.7%
IV Rank22.0%1.3%74.1%24.3%7.0%
IV Percentile37.8%0.8%96.8%48.8%9.9%
Term Structure4.0%-24.8%59.3%6.7%-10.3%
VWIV45.5%23.5%58.2%45.1%23.5%
Skew 25d18.2%-4.7%57.7%10.7%28.1%
Skew 10d58.2%0.6%125.5%0.8%97.5%
Call IV 25d39.4%24.1%65.4%45.6%42.2%
Put IV 25d57.5%32.0%94.1%56.3%70.3%
Bid-Ask Spread %85.2266.25135.2583.1271.38
Gamma HHI0.360.230.460.410.35
Net GEX13.8K9.0K18.9K14.9K10.5K
Net DEX-164.2K-643.5K52.4K-258.8K-116.1K
Net VEX-3.9K-5.2K-2.6K-3.6K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.110.00102.000.000.00
Total Volume219.18208501310
Total OI8,114.5456,4849,0946,4849,048

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-08-01$4.63$4.0051.3%14.7%24.8%24.3%45.1%10.7%6.7%14.9K-258.8K-3.6K0.0083.12N/AN/A13104,8301,654
2024-08-02$4.32$4.0049.9%14.3%32.4%23.0%0.0%6.6%0.0%13.0K-135.4K-3.1K0.0369.08N/AN/A547174,9611,654
2024-08-05$4.10$5.0062.0%21.1%35.3%33.9%0.0%35.1%45.4%10.4K-643.5K-5.2K0.32128.10N/AN/A197635,4401,665
2024-08-06$4.06$5.0071.6%14.0%35.3%42.6%0.0%2.5%59.3%12.8K-110.1K-3.4K0.00102.70N/AN/A16105,6371,725
2024-08-07$4.10$5.0063.5%13.1%35.8%35.3%0.0%-4.7%-10.0%15.8K-96.3K-3.2K0.0280.25N/AN/A10825,7971,725
2024-08-08$4.06$5.0083.4%14.4%35.7%53.2%0.0%8.7%-24.8%15.0K-67.2K-3.1K0.0081.29N/AN/A34005,9001,727
2024-08-09$4.31$5.0070.9%11.4%42.8%42.0%0.0%28.6%17.5%18.5K-565.4K-4.3K0.02135.25N/AN/A9326,2271,474
2024-08-12$4.09$5.0058.1%11.9%45.2%30.4%0.0%27.8%-13.5%18.9K-102.2K-2.6K1.58107.66N/AN/A33526,2421,474
2024-08-13$4.18$5.00106.6%12.1%44.3%74.1%0.0%26.7%-3.4%18.5K-159.5K-3.0K9.30107.68N/AN/A434006,2701,524
2024-08-14$4.21$5.0041.7%12.0%44.5%15.6%48.8%28.2%6.8%16.1K-156.5K-3.4K102.0082.48N/AN/A22046,2991,924
2024-08-15$4.14$3.0041.2%11.8%44.6%15.1%0.0%37.0%-3.0%13.9K-76.4K-3.6K2.7381.38N/AN/A772106,3012,128
2024-08-16$4.21$3.0032.8%9.4%45.1%7.5%35.3%11.7%-2.1%9.8K-159.5K-3.9K0.1779.05N/AN/A444746,2942,205
2024-08-19$4.25$4.0047.4%13.6%45.5%20.7%52.8%57.7%9.4%10.4K-55.1K-3.8K0.0079.17N/AN/A84825,5972,212
2024-08-20$4.17$4.0031.5%9.0%45.7%6.4%0.0%21.3%6.7%12.5K-94.6K-4.3K0.0078.02N/AN/A0106,4362,213
2024-08-21$4.29$4.0025.8%7.4%47.2%1.3%0.0%7.8%1.4%14.2K-176.5K-4.5K0.0667.69N/AN/A10666,4362,223
2024-08-22$4.30$4.0032.0%9.2%47.3%6.9%0.0%-0.4%-2.3%14.9K-172.5K-4.4K0.5069.14N/AN/A216,5162,229
2024-08-23$4.33$4.0028.7%8.2%47.1%3.9%54.7%8.5%0.3%15.2K-141.5K-4.3K0.4866.25N/AN/A27136,5162,230
2024-08-26$4.33$4.0027.2%7.8%47.1%2.5%58.2%9.9%8.0%15.6K-153.7K-4.4K0.0570.29N/AN/A10756,5252,242
2024-08-27$4.21$4.0034.0%9.8%47.8%8.7%23.5%7.3%18.7%13.6K-110.4K-4.3K0.6176.59N/AN/A104636,6322,246
2024-08-28$4.08$4.0045.7%13.1%48.6%19.2%0.0%0.4%-9.0%9.0K52.4K-3.7K4.3375.23N/AN/A612646,7282,366
2024-08-29$4.09$4.0036.7%10.5%48.2%11.1%0.0%40.3%-13.8%9.9K-112.4K-4.4K0.0083.09N/AN/A306,7882,260
2024-08-30$4.12$4.0032.2%9.2%42.2%7.0%0.0%28.1%-10.3%10.5K-116.1K-4.3K0.0071.38N/AN/A006,7912,257