NGL Options History — December 2024

In December 2024, NGL traded between $4.54 and $4.95. ATM implied volatility averaged 34.2%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 2.5% (HV 20d: 36.7%). Max pain ranged from $4.00 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 0.23.

Notable Days

  • 2024-12-30: Highest Volume — 1,302 contracts
  • 2024-12-16: Largest IV spike — 48.0% change
  • 2024-12-19: Highest IV Rank — 25.1%
  • 2024-12-19: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.72$4.54$4.95$4.64$4.95
Max Pain$4.86$4.00$5.00$4.00$5.00
ATM IV34.2%20.3%52.2%27.5%20.3%
Expected Move10.2%5.8%15.0%7.9%5.8%
HV 20d36.7%27.7%42.1%40.8%27.7%
HV 60d38.8%34.6%42.9%42.8%35.3%
IV Rank9.0%0.0%25.1%2.7%0.0%
IV Percentile21.1%0.0%64.7%4.0%0.0%
Term Structure4.6%-27.0%31.9%9.1%31.9%
VWIV38.2%13.9%52.4%38.0%13.9%
Skew 25d9.0%-20.9%277.5%6.6%11.9%
Skew 10d15.4%-32.6%371.4%9.0%8.3%
Call IV 25d39.8%22.4%58.8%32.6%23.8%
Put IV 25d48.8%28.2%315.6%39.2%35.7%
Bid-Ask Spread %82.5349.31100.4889.2365.03
Gamma HHI0.580.320.750.630.60
Net GEX54.5K26.2K85.1K61.9K66.2K
Net DEX-1.2M-1.5M-814.3K-1.2M-1.4M
Net VEX-5.4K-6.5K-4.2K-6.3K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.002.640.070.00
Total Volume202.42941,302321611
Total OI12,628.90510,64513,35313,12812,270

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-12-02$4.64$4.0027.5%7.9%40.8%2.7%0.0%6.6%9.1%61.9K-1.2M-6.3K0.0789.23N/AN/A3012010,6162,512
2024-12-03$4.71$4.0026.4%7.6%40.8%1.8%38.0%3.9%5.9%74.6K-1.5M-6.5K0.0093.35N/AN/A21010,7972,532
2024-12-04$4.72$4.0031.0%8.9%40.6%6.0%52.4%9.2%6.9%72.0K-1.4M-6.4K2.6488.93N/AN/A112910,7872,532
2024-12-05$4.71$5.0031.8%10.9%39.1%6.7%38.1%-4.0%-10.0%71.4K-1.5M-6.4K0.1770.59N/AN/A18310,7952,537
2024-12-06$4.54$5.0035.7%11.5%41.9%10.2%0.0%-17.8%3.8%52.3K-1.2M-6.2K0.0084.71N/AN/A28010,8132,537
2024-12-09$4.62$5.0033.8%12.5%42.1%8.5%0.0%-18.1%0.6%56.7K-1.2M-6.0K0.0085.72N/AN/A45010,8162,537
2024-12-10$4.65$5.0032.0%11.9%38.8%6.9%33.9%-5.4%-8.1%61.2K-1.3M-5.8K0.0085.22N/AN/A64010,7982,537
2024-12-11$4.75$5.0036.8%10.5%36.9%11.1%42.5%-9.7%7.2%76.7K-1.4M-5.9K0.0079.51N/AN/A261110,7662,537
2024-12-12$4.67$5.0026.9%7.7%37.7%2.3%0.0%8.1%18.2%63.4K-1.0M-4.8K0.00100.48N/AN/A01010,6222,537
2024-12-13$4.70$5.0025.4%7.3%37.3%0.9%0.0%8.8%23.5%68.1K-1.1M-5.0K0.0080.33N/AN/A49010,6222,547
2024-12-16$4.65$5.0037.5%10.8%36.8%11.8%39.0%-14.7%6.8%57.6K-1.1M-5.1K0.3387.41N/AN/A3110,6392,547
2024-12-17$4.80$5.0038.5%11.0%38.1%12.7%38.5%-14.8%7.6%85.1K-1.3M-5.3K0.1880.14N/AN/A11210,6402,548
2024-12-18$4.69$5.0047.2%13.5%39.4%20.5%38.4%-15.2%-5.6%66.1K-1.2M-5.5K0.2491.87N/AN/A1232910,6452,549
2024-12-19$4.76$5.0052.2%15.0%35.9%25.1%52.3%-20.9%-27.0%26.2K-1.1M-5.0K0.0496.23N/AN/A2941110,6852,569
2024-12-20$4.75$5.0038.1%10.9%35.1%12.3%39.3%9.3%4.9%28.5K-1.1M-4.8K0.0096.86N/AN/A246110,7222,580
2024-12-23$4.75$5.0029.3%8.4%35.0%4.4%32.6%-5.3%9.0%32.0K-979.7K-4.6K0.0092.20N/AN/A10508,3532,494
2024-12-24$4.76$5.0037.2%10.7%34.7%11.6%0.0%-6.7%5.2%32.0K-994.8K-4.5K0.0081.86N/AN/A25108,3402,494
2024-12-26$4.72$5.0037.2%10.7%31.3%11.5%37.5%-8.6%-1.5%29.4K-814.4K-4.3K0.1174.05N/AN/A147168,1512,494
2024-12-27$4.71$5.0037.8%10.8%29.6%12.0%38.4%-4.4%2.0%30.1K-814.3K-4.2K0.9160.11N/AN/A1241138,2482,510
2024-12-30$4.80$5.0034.5%9.9%30.4%9.1%0.0%277.5%6.4%34.0K-910.0K-4.4K0.0049.31N/AN/A1,30208,3332,619
2024-12-31$4.95$5.0020.3%5.8%27.7%0.0%13.9%11.9%31.9%66.2K-1.4M-5.8K0.0065.03N/AN/A61109,6512,619