NDLS Options History — June 2016

In June 2016, NDLS traded between $75.52 and $82.64. ATM implied volatility averaged 51.5%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 16.0% (HV 20d: 35.6%). Max pain ranged from $80.00 to $80.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.82.

Notable Days

  • 2016-06-15: Highest Volume — 94 contracts
  • 2016-06-10: Largest IV spike — 16.5% change
  • 2016-06-27: Highest IV Rank — 36.6%
  • 2016-06-27: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.58$75.52$82.64$75.52$78.48
Max Pain$80.00$80.00$80.00$80.00$80.00
ATM IV51.5%45.9%59.1%52.5%50.6%
Expected Move14.4%10.7%16.9%15.0%14.5%
HV 20d35.6%27.8%41.4%27.8%41.4%
HV 60d34.6%32.0%38.1%35.2%34.3%
IV Rank26.4%18.7%36.6%28.6%18.7%
IV Percentile35.8%15.5%61.1%40.9%27.8%
Term Structure5.5%-4.9%16.5%-4.9%9.1%
VWIV52.6%36.0%67.8%52.2%55.5%
Skew 25d10.6%-0.7%66.9%2.7%9.0%
Skew 10d19.7%2.5%106.1%2.5%13.5%
Call IV 25d48.2%36.6%62.5%54.2%51.4%
Put IV 25d58.8%44.7%103.4%56.9%60.4%
Bid-Ask Spread %84.6436.61124.3536.6143.69
Gamma HHI0.340.280.390.360.36
Net GEX-12.9K-20.3K-7.3K-15.5K-7.3K
Net DEX1.4M1.3M1.5M1.5M1.4M
Net VEX-3.4K-3.6K-3.1K-3.4K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.821.514.333.614.01
Total Volume76.45556948873
Total OI484.545459507459490

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$75.52$80.0052.5%15.0%27.8%28.6%52.2%2.7%-4.9%-15.5K1.5M-3.4K3.6136.61N/AN/A1969137322
2016-06-02$76.16$80.0049.9%12.9%28.1%25.4%45.0%18.8%6.8%-16.1K1.5M-3.2K2.1773.97N/AN/A2350140322
2016-06-03$76.00$80.0050.1%13.3%28.0%25.7%46.5%22.3%5.8%-15.1K1.5M-3.3K2.2078.11N/AN/A2350144329
2016-06-06$81.20$80.0051.3%14.8%38.2%27.2%51.3%28.1%2.4%-19.5K1.5M-3.6K1.99104.76N/AN/A2142144330
2016-06-07$80.88$80.0058.4%10.7%38.0%36.0%36.0%66.9%16.5%-20.3K1.5M-3.4K1.99120.41N/AN/A2142146331
2016-06-08$79.52$80.0049.2%14.1%38.3%24.5%49.2%6.9%3.3%-17.8K1.5M-3.6K2.0370.63N/AN/A2142146331
2016-06-09$79.12$80.0045.9%13.2%38.0%20.4%45.9%3.5%7.0%-18.5K1.5M-3.5K2.0366.67N/AN/A2142146331
2016-06-10$78.88$80.0053.5%15.3%35.9%29.9%53.5%4.3%1.1%-17.1K1.5M-3.6K1.6673.49N/AN/A2135150331
2016-06-13$75.92$80.0047.4%13.6%37.1%22.3%47.6%-0.7%8.5%-16.2K1.5M-3.3K1.5170.53N/AN/A3452151331
2016-06-14$78.00$80.0047.5%13.6%38.6%22.4%47.7%2.9%7.7%-13.4K1.5M-3.5K1.5176.07N/AN/A3553167332
2016-06-15$77.12$80.0052.3%15.0%38.7%28.4%53.0%4.0%4.7%-14.0K1.4M-3.5K1.69124.35N/AN/A3559167334
2016-06-16$77.60$80.0051.1%14.6%32.0%26.5%51.1%7.8%6.5%-14.3K1.5M-3.4K1.7173.78N/AN/A3559167340
2016-06-17$78.48$80.0048.8%14.0%32.2%23.6%48.9%4.6%8.4%-8.8K1.5M-3.5K3.1570.25N/AN/A1960167340
2016-06-20$80.16$80.0046.3%13.3%32.7%20.5%56.1%4.0%7.6%-8.8K1.4M-3.4K3.61111.97N/AN/A1762161323
2016-06-21$79.44$80.0051.4%14.7%33.0%26.9%52.8%1.7%-0.9%-9.0K1.4M-3.2K3.41112.15N/AN/A1862161323
2016-06-22$79.44$80.0054.9%15.8%33.0%31.4%54.4%5.6%1.8%-9.6K1.3M-3.5K3.1979.76N/AN/A1962161323
2016-06-23$79.44$80.0052.4%15.0%33.0%28.2%58.7%7.2%5.2%-8.6K1.4M-3.3K3.92117.91N/AN/A1662164323
2016-06-24$82.64$80.0050.9%14.6%35.6%26.3%59.5%11.1%11.2%-8.8K1.3M-3.6K4.07107.01N/AN/A1664164323
2016-06-27$78.16$80.0059.1%16.9%41.3%36.6%67.8%6.8%3.2%-8.8K1.4M-3.2K4.1557.92N/AN/A1563164326
2016-06-28$77.52$80.0055.3%15.8%40.8%25.2%63.7%8.1%5.6%-8.3K1.4M-3.3K4.3387.83N/AN/A1462163326
2016-06-29$79.12$80.0055.3%15.9%41.3%25.2%60.7%8.1%4.8%-8.2K1.4M-3.3K4.04104.13N/AN/A1559163326
2016-06-30$78.48$80.0050.6%14.5%41.4%18.7%55.5%9.0%9.1%-7.3K1.4M-3.1K4.0143.69N/AN/A1558164326