NDLS Options History — July 2016

In July 2016, NDLS traded between $59.20 and $82.72. ATM implied volatility averaged 60.9%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 12.7% (HV 20d: 48.2%). Max pain ranged from $80.00 to $120.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 3.19.

Notable Days

  • 2016-07-26: Highest Volume — 175 contracts
  • 2016-07-12: Largest IV spike — 52.1% change
  • 2016-07-12: Highest IV Rank — 73.5%
  • 2016-07-25: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.76$59.20$82.72$78.48$59.20
Max Pain$114.00$80.00$120.00$80.00$100.00
ATM IV60.9%39.3%91.0%39.3%66.4%
Expected Move17.7%11.3%20.0%11.3%19.0%
HV 20d48.2%33.7%98.1%41.4%97.5%
HV 60d40.0%32.7%63.2%33.4%63.0%
IV Rank30.7%0.0%73.5%0.0%38.6%
IV Percentile55.4%0.0%96.8%0.0%69.0%
Term Structure-5.4%-11.5%22.5%22.5%-5.5%
VWIV67.9%40.4%83.2%40.4%70.2%
Skew 25d6.2%-14.0%20.1%-3.3%17.7%
Skew 10d12.8%-22.7%37.6%-9.7%28.4%
Call IV 25d62.6%44.2%84.9%44.2%61.0%
Put IV 25d68.8%40.9%81.3%40.9%78.7%
Bid-Ask Spread %64.3716.8496.2078.5196.20
Gamma HHI0.430.270.930.270.93
Net GEX-8.6K-17.2K-39-5.3K-16.4K
Net DEX1.5M1.3M1.8M1.4M1.8M
Net VEX-2.6K-3.1K-1.6K-3.1K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.191.266.714.272.17
Total Volume84.25671757273
Total OI514.3477632490632

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$78.48$80.0039.3%11.3%41.4%0.0%40.4%-3.3%22.5%-5.3K1.4M-3.1K4.2778.51N/AN/A1458164326
2016-07-05$77.84$120.0040.5%17.2%33.7%1.6%77.5%14.6%-4.1%-4.4K1.4M-3.0K4.2752.24N/AN/A1458164326
2016-07-06$76.24$120.0051.4%17.9%34.3%17.1%71.4%6.2%-5.9%-6.0K1.4M-2.9K4.5453.96N/AN/A1359164326
2016-07-07$76.96$120.0048.7%18.0%34.2%13.4%77.3%14.2%-6.2%-7.2K1.5M-2.8K4.6350.92N/AN/A1359164328
2016-07-08$80.88$120.0068.7%17.9%38.7%41.8%83.2%20.1%-7.5%-6.1K1.4M-2.9K4.3187.75N/AN/A1459164328
2016-07-11$81.92$120.0059.8%18.2%38.9%29.2%78.9%13.6%-7.4%-3.2K1.3M-2.9K4.0286.59N/AN/A1559166328
2016-07-12$81.68$120.0091.0%18.4%35.9%73.5%83.1%17.6%-8.7%-4.8K1.4M-2.8K3.1089.26N/AN/A1959167328
2016-07-13$80.32$120.0063.9%18.3%35.5%35.0%54.3%-8.2%-7.9%-391.4M-2.8K3.8158.05N/AN/A1558173328
2016-07-14$80.08$120.0060.9%17.5%35.2%30.7%69.2%6.8%-3.6%-7581.3M-2.8K3.0077.22N/AN/A1956176327
2016-07-15$79.28$120.0063.0%18.1%35.4%33.7%74.9%11.4%-7.9%-12.9K1.5M-2.8K2.6089.72N/AN/A2257181330
2016-07-18$78.88$120.0062.8%18.0%35.3%33.5%73.7%5.9%-11.5%-12.2K1.4M-2.6K2.9960.23N/AN/A1750157320
2016-07-19$79.84$120.0057.0%16.3%34.7%25.2%65.8%8.7%-4.5%-12.4K1.4M-2.5K2.7951.44N/AN/A1850160320
2016-07-20$80.08$120.0056.8%16.3%34.6%24.9%57.0%12.3%-3.1%-12.0K1.4M-2.5K1.6493.33N/AN/A3964159320
2016-07-21$78.64$120.0061.5%17.6%35.2%31.6%61.4%1.6%-10.3%-8.7K1.4M-2.7K1.6461.49N/AN/A3964184325
2016-07-22$78.80$120.0061.5%17.6%35.2%31.5%59.3%5.7%-9.0%-8.4K1.4M-2.7K1.2657.06N/AN/A3950184325
2016-07-25$82.72$120.0069.7%20.0%36.7%43.2%70.2%4.3%-10.0%-8.7K1.3M-2.6K2.5954.03N/AN/A1950184325
2016-07-26$64.16$100.0065.1%18.7%96.1%36.7%55.1%-5.8%-4.4%-8.8K1.5M-1.6K6.7155.62N/AN/A23152186325
2016-07-27$60.08$100.0063.3%18.1%98.1%34.1%66.1%-6.0%-5.9%-16.1K1.7M-2.0K1.2716.99N/AN/A5266194401
2016-07-28$59.20$100.0066.7%19.1%97.3%39.0%69.7%-14.0%-7.8%-17.2K1.8M-2.1K2.1216.84N/AN/A2654205422
2016-07-29$59.20$100.0066.4%19.0%97.5%38.6%70.2%17.7%-5.5%-16.4K1.8M-2.0K2.1796.20N/AN/A2350210422