NDLS Options History — May 2016

In May 2016, NDLS traded between $75.12 and $90.80. ATM implied volatility averaged 57.0%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded above realized volatility by 25.7% (HV 20d: 31.4%). Max pain ranged from $80.00 to $100.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 4.11.

Notable Days

  • 2016-05-10: Highest Volume — 206 contracts
  • 2016-05-04: Largest IV drop — 46.9% change
  • 2016-05-03: Highest IV Rank — 62.8%
  • 2016-05-03: Largest Expected Move — 30.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.52$75.12$90.80$90.80$75.12
Max Pain$95.24$80.00$100.00$100.00$80.00
ATM IV57.0%46.8%105.5%83.2%59.3%
Expected Move16.2%13.4%30.2%23.9%17.0%
HV 20d31.4%28.3%37.4%31.7%28.3%
HV 60d41.1%35.1%43.1%42.8%35.2%
IV Rank31.2%21.6%62.8%44.4%37.2%
IV Percentile49.0%27.4%98.8%90.5%61.5%
Term Structure-1.5%-36.7%9.0%-22.3%-4.3%
VWIV54.3%44.5%97.2%82.5%59.4%
Skew 25d10.0%-0.9%29.4%14.1%-0.9%
Skew 10d23.9%1.5%64.0%26.6%15.2%
Call IV 25d51.0%41.6%80.9%73.4%58.2%
Put IV 25d61.0%47.4%106.5%87.4%57.2%
Bid-Ask Spread %68.9830.21106.2292.2539.51
Gamma HHI0.430.230.630.230.35
Net GEX-22.3K-36.3K-11.7K-11.7K-14.3K
Net DEX1.9M1.4M2.3M1.6M1.5M
Net VEX-4.7K-7.2K-3.4K-7.2K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.112.527.203.774.38
Total Volume126.6198420612485
Total OI705.333451845759457

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$90.80$100.0083.2%23.9%31.7%44.4%82.5%14.1%-22.3%-11.7K1.6M-7.2K3.7792.25N/AN/A2698252507
2016-05-03$88.24$100.00105.5%30.2%32.2%62.8%97.2%25.6%-36.7%-16.6K2.0M-7.2K2.5859.36N/AN/A2974254563
2016-05-04$88.56$100.0056.0%16.1%32.2%21.9%51.6%12.4%9.0%-17.4K2.3M-6.6K2.5292.75N/AN/A3280257586
2016-05-05$87.20$100.0053.2%14.1%29.1%29.6%49.7%4.1%7.2%-19.5K2.2M-6.3K2.69106.22N/AN/A3286261584
2016-05-06$87.12$100.0055.5%15.5%29.0%32.4%51.3%4.5%-0.4%-25.6K2.2M-5.7K4.5690.91N/AN/A30139261575
2016-05-09$87.68$100.0052.8%14.5%28.8%29.1%49.5%4.1%6.1%-29.6K2.0M-5.6K4.5991.48N/AN/A30138262568
2016-05-10$87.68$100.0053.8%14.2%28.5%30.3%49.1%0.9%6.4%-28.0K2.0M-5.3K7.2091.51N/AN/A25181262553
2016-05-11$86.24$100.0053.2%15.2%28.5%29.5%47.3%7.0%-0.3%-26.7K1.9M-5.1K5.8872.77N/AN/A28165263533
2016-05-12$83.04$100.0046.8%13.4%31.2%21.6%46.0%0.8%7.0%-34.8K1.9M-5.0K4.9251.02N/AN/A28136263533
2016-05-13$80.80$100.0050.7%14.5%32.2%26.5%44.5%9.6%2.6%-36.1K2.0M-4.4K4.1065.04N/AN/A29120263533
2016-05-16$80.96$100.0058.4%16.8%31.9%36.1%52.6%13.9%-3.4%-36.3K2.0M-4.6K4.4680.82N/AN/A26116264533
2016-05-17$80.40$100.0055.9%16.0%31.6%32.9%49.7%29.4%-6.6%-34.0K2.0M-4.4K4.4676.57N/AN/A26116264533
2016-05-18$75.68$100.0052.3%15.0%37.4%28.5%51.9%19.2%6.4%-33.8K2.2M-4.1K4.0161.00N/AN/A26106264534
2016-05-19$75.76$100.0055.7%16.0%37.4%32.6%53.5%28.5%0.3%-14.2K2.2M-3.7K2.7981.67N/AN/A2775263519
2016-05-20$75.28$100.0052.5%15.1%35.1%28.7%51.0%25.6%4.1%-14.0K2.1M-3.6K3.6530.21N/AN/A2798264513
2016-05-23$75.52$100.0050.1%14.4%35.1%25.7%50.0%1.3%0.4%-14.6K1.5M-3.5K4.0633.22N/AN/A1770132319
2016-05-24$75.92$80.0051.1%14.7%30.0%27.0%52.0%3.9%2.0%-15.1K1.5M-3.4K4.00102.74N/AN/A1769134319
2016-05-25$76.48$80.0049.2%14.1%29.1%24.6%49.4%1.6%-2.0%-15.0K1.5M-3.5K4.0132.92N/AN/A1767135320
2016-05-26$76.96$80.0049.1%14.1%29.5%24.4%49.2%2.4%-1.2%-15.3K1.5M-3.4K3.8336.07N/AN/A1767135320
2016-05-27$76.56$80.0053.1%15.2%29.5%29.4%53.3%3.1%-5.7%-15.7K1.4M-3.6K3.8360.44N/AN/A1767137320
2016-05-31$75.12$80.0059.3%17.0%28.3%37.2%59.4%-0.9%-4.3%-14.3K1.5M-3.4K4.3839.51N/AN/A1669137320