NDLS Options History — April 2016

In April 2016, NDLS traded between $85.84 and $93.68. ATM implied volatility averaged 76.1%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 21.0%. IV traded above realized volatility by 38.4% (HV 20d: 37.7%). Max pain ranged from $100.00 to $120.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 2.22.

Notable Days

  • 2016-04-07: Highest Volume — 193 contracts
  • 2016-04-11: Largest IV spike — 35.0% change
  • 2016-04-11: Highest IV Rank — 55.5%
  • 2016-04-28: Largest Expected Move — 24.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.16$85.84$93.68$93.68$89.28
Max Pain$103.81$100.00$120.00$100.00$100.00
ATM IV76.1%60.2%96.6%60.4%84.7%
Expected Move21.0%17.3%24.4%17.3%24.3%
HV 20d37.7%29.4%46.4%43.6%31.6%
HV 60d45.8%42.7%48.4%48.4%42.7%
IV Rank38.6%25.3%55.5%25.5%45.6%
IV Percentile83.1%66.3%98.0%67.1%92.1%
Term Structure-10.9%-23.2%38.6%-2.1%-20.7%
VWIV69.0%55.8%80.8%59.5%66.6%
Skew 25d7.8%-7.6%14.2%-7.6%5.9%
Skew 10d16.7%-7.2%35.6%17.1%1.1%
Call IV 25d70.0%60.4%81.3%60.5%76.7%
Put IV 25d77.8%52.8%86.2%52.8%82.6%
Bid-Ask Spread %87.2779.27102.94102.9493.58
Gamma HHI0.250.230.310.310.29
Net GEX-12.3K-18.9K266266-4.7K
Net DEX1.9M1.3M2.2M1.3M1.7M
Net VEX-7.4K-8.3K-5.9K-8.3K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.221.203.652.913.08
Total Volume110.6196219313298
Total OI814.429728894728759

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$93.68$100.0060.4%17.3%43.6%25.5%59.5%-7.6%-2.1%2661.3M-8.3K2.91102.94N/AN/A3498277451
2016-04-04$92.00$120.0060.2%17.6%44.0%25.3%62.8%10.3%-5.4%-3.0K1.6M-8.3K2.5584.76N/AN/A3588277490
2016-04-05$89.84$120.0068.6%19.6%44.4%32.3%65.1%11.3%-8.5%-5.8K1.9M-7.6K2.3082.29N/AN/A3375279492
2016-04-06$89.44$120.0073.4%19.3%44.4%36.3%63.5%8.6%-10.0%-7.8K1.9M-7.2K2.2081.45N/AN/A3169278493
2016-04-07$85.84$120.0078.4%20.2%46.2%40.4%69.6%6.0%-15.6%-18.9K2.1M-6.6K1.4984.82N/AN/A78115280499
2016-04-08$86.40$100.0071.6%20.0%46.4%34.8%65.9%7.6%-11.2%-15.3K2.0M-7.7K1.2092.24N/AN/A7893323553
2016-04-11$87.28$100.0096.6%20.5%42.5%55.5%66.6%10.4%-13.9%-14.2K2.2M-7.5K1.2487.69N/AN/A7593323562
2016-04-12$88.32$100.0092.5%21.0%42.6%52.1%68.2%12.5%-13.7%-15.3K2.1M-7.8K1.3287.20N/AN/A7498324562
2016-04-13$89.60$100.0075.0%21.5%41.6%37.6%70.8%12.5%-17.6%-16.7K2.1M-7.6K3.2787.31N/AN/A2996324568
2016-04-14$89.36$100.0072.6%20.8%41.4%35.6%70.2%6.4%-13.6%-15.7K2.1M-8.0K3.3685.78N/AN/A2998324570
2016-04-15$88.16$100.0072.8%20.9%33.7%35.8%68.2%7.6%-11.1%-15.2K2.1M-7.8K3.0887.24N/AN/A2990324569
2016-04-18$88.88$100.0075.7%21.7%33.8%38.2%75.3%14.2%38.6%-15.8K2.0M-7.4K1.4885.16N/AN/A2638252550
2016-04-19$87.28$100.0072.9%20.9%33.9%35.9%73.3%8.7%-8.6%-15.0K2.0M-7.3K1.4284.70N/AN/A2738252557
2016-04-20$86.96$100.0073.5%21.1%33.9%36.4%72.3%8.7%-10.3%-15.4K2.0M-7.3K1.4184.62N/AN/A2637252557
2016-04-21$87.04$100.0077.2%22.1%29.4%39.4%77.6%10.0%-17.7%-16.0K2.1M-7.1K1.3981.32N/AN/A2636251560
2016-04-22$89.44$100.0077.8%22.3%31.2%39.9%73.1%11.0%-12.5%-16.4K2.0M-7.4K1.3979.27N/AN/A2636252560
2016-04-25$89.76$100.0084.0%24.1%31.3%45.0%80.8%-1.2%-23.0%-15.5K1.8M-7.6K1.6090.84N/AN/A2438252560
2016-04-26$93.68$100.0070.7%20.3%31.3%34.0%55.8%10.0%-13.5%-12.9K1.8M-7.6K3.6590.09N/AN/A2487252561
2016-04-27$90.40$100.0075.5%21.6%33.2%38.0%68.0%7.0%-14.9%-11.4K1.6M-7.3K3.1589.26N/AN/A2475252523
2016-04-28$89.76$100.0085.1%24.4%31.9%46.0%76.6%4.4%-23.2%-8.2K1.5M-6.7K3.1590.17N/AN/A2475252507
2016-04-29$89.28$100.0084.7%24.3%31.6%45.6%66.6%5.9%-20.7%-4.7K1.7M-5.9K3.0893.58N/AN/A2474252507