NGL Options History — September 2024

In September 2024, NGL traded between $3.99 and $4.96. ATM implied volatility averaged 41.3%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 2.2% (HV 20d: 43.5%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 2.15.

Notable Days

  • 2024-09-11: Highest Volume — 1,737 contracts
  • 2024-09-05: Largest IV spike — 76.7% change
  • 2024-09-05: Highest IV Rank — 39.3%
  • 2024-09-09: Largest Expected Move — 23.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.45$3.99$4.96$3.99$4.47
Max Pain$4.60$4.00$5.00$4.00$4.00
ATM IV41.3%29.1%68.0%47.3%37.9%
Expected Move12.3%8.3%23.5%13.6%10.9%
HV 20d43.5%32.6%54.1%39.6%54.1%
HV 60d41.2%37.4%44.0%44.0%43.5%
IV Rank15.2%4.2%39.3%20.7%12.2%
IV Percentile29.4%4.8%76.2%42.1%22.2%
Term Structure-0.9%-62.3%16.9%-5.7%0.6%
VWIV46.2%28.2%73.3%36.4%60.4%
Skew 25d16.3%-30.1%81.8%81.8%-30.1%
Skew 10d52.8%-32.7%261.3%122.1%3.2%
Call IV 25d39.2%25.1%59.9%46.6%59.9%
Put IV 25d55.5%29.8%128.4%128.4%29.8%
Bid-Ask Spread %81.3147.9497.0893.2667.85
Gamma HHI0.340.310.390.330.34
Net GEX10.2K-2.6K35.0K7.1K6.5K
Net DEX-416.2K-1.1M-3.1K-3.1K-508.4K
Net VEX-5.5K-6.8K-3.7K-3.7K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.0018.320.042.14
Total Volume317.611,73711722
Total OI11,157.29,04813,0099,04813,009

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$3.99$4.0047.3%13.6%39.6%20.7%36.4%81.8%-5.7%7.1K-3.1K-3.7K0.0493.26N/AN/A11346,7912,257
2024-09-04$4.19$4.0038.5%11.0%43.3%12.7%0.0%4.6%-5.4%12.1K-197.7K-4.5K0.0097.08N/AN/A02506,9042,259
2024-09-05$4.14$5.0068.0%11.0%43.4%39.3%0.0%58.8%16.9%9.6K-168.3K-4.8K0.0593.48N/AN/A1916,9032,509
2024-09-06$4.14$5.0036.9%11.8%43.2%11.3%0.0%58.8%9.5%10.4K-153.6K-4.6K0.0088.54N/AN/A106,9222,508
2024-09-09$4.19$5.0037.1%23.5%37.6%11.4%0.0%37.0%-62.3%10.6K-185.8K-4.5K0.0090.66N/AN/A206,9222,508
2024-09-10$4.24$5.0037.1%14.7%32.6%11.4%0.0%60.0%5.5%11.9K-235.2K-4.7K0.0089.33N/AN/A106,9202,508
2024-09-11$4.42$5.0043.5%12.5%34.9%17.2%50.3%23.1%-6.9%13.8K-366.2K-5.1K15.3972.14N/AN/A1061,6316,9192,508
2024-09-12$4.50$5.0045.5%13.0%35.3%19.0%51.8%7.5%9.7%3.0K-275.5K-5.5K0.0490.98N/AN/A13056,9184,057
2024-09-13$4.34$5.0050.9%14.6%37.4%23.9%51.3%32.1%-4.7%-552-152.3K-5.7K18.3271.53N/AN/A224037,0474,059
2024-09-16$4.45$5.0032.4%9.3%37.9%7.2%0.0%8.6%-2.6%-1.0K-232.4K-5.7K0.1566.41N/AN/A200307,0464,460
2024-09-17$4.67$5.0029.1%8.3%41.2%4.2%73.3%7.1%16.5%16.8K-581.3K-5.8K0.3393.50N/AN/A4361467,2474,460
2024-09-18$4.54$5.0030.1%8.6%42.0%5.1%29.7%5.2%15.0%6.2K-426.3K-5.7K0.0077.93N/AN/A5007,5394,533
2024-09-19$4.43$5.0031.5%9.0%42.2%6.4%28.2%6.0%-0.2%-2.6K-351.9K-5.8K0.0078.35N/AN/A4207,4704,533
2024-09-20$4.57$5.0033.8%9.7%43.4%8.5%34.8%20.2%7.5%4.4K-486.4K-5.8K1.0186.75N/AN/A3103147,4874,513
2024-09-23$4.94$4.0052.4%15.0%50.9%25.2%52.5%1.7%-9.8%14.6K-1.0M-6.2K0.0847.94N/AN/A1,207987,3804,504
2024-09-24$4.96$4.0039.8%11.4%50.9%13.9%41.4%-2.8%-1.1%35.0K-1.1M-6.1K1.0378.96N/AN/A2542618,1334,577
2024-09-25$4.71$4.0041.7%12.0%53.6%15.6%42.6%-12.5%0.3%22.5K-735.2K-6.6K0.0781.33N/AN/A247178,1624,709
2024-09-26$4.58$4.0048.8%14.0%53.3%22.0%0.0%-22.3%-2.3%12.6K-606.7K-6.8K0.0095.62N/AN/A028,2664,715
2024-09-27$4.54$4.0043.6%12.5%53.6%17.3%48.2%-18.0%1.0%10.4K-512.8K-6.3K0.0064.66N/AN/A2808,2664,716
2024-09-30$4.47$4.0037.9%10.9%54.1%12.2%60.4%-30.1%0.6%6.5K-508.4K-6.6K2.1467.85N/AN/A7158,2934,716