NDLS Options History — August 2016

In August 2016, NDLS traded between $52.80 and $59.28. ATM implied volatility averaged 46.4%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 28.7% (HV 20d: 75.1%). Max pain ranged from $60.00 to $100.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.69.

Notable Days

  • 2016-08-19: Highest Volume — 119 contracts
  • 2016-08-29: Largest IV spike — 60.1% change
  • 2016-08-04: Highest IV Rank — 51.9%
  • 2016-08-01: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.35$52.80$59.28$59.28$52.80
Max Pain$65.22$60.00$100.00$100.00$60.00
ATM IV46.4%26.6%75.8%69.9%47.3%
Expected Move13.1%7.6%20.0%20.0%13.6%
HV 20d75.1%27.6%97.6%97.5%27.8%
HV 60d62.7%61.1%63.4%63.0%61.2%
IV Rank13.5%0.0%51.9%43.5%24.9%
IV Percentile18.0%0.0%86.5%74.2%16.7%
Term Structure-0.1%-15.1%10.0%-11.8%7.3%
VWIV52.2%29.5%76.1%70.7%62.4%
Skew 25d10.4%-6.2%28.1%12.2%19.6%
Skew 10d14.3%-2.2%44.4%19.6%9.7%
Call IV 25d47.5%37.9%67.7%64.0%41.0%
Put IV 25d57.8%39.9%77.8%76.1%60.6%
Bid-Ask Spread %32.0914.01104.7416.2925.76
Gamma HHI0.900.820.950.930.82
Net GEX-15.1K-23.4K-7.5K-18.2K-7.5K
Net DEX1.5M771.3K1.9M1.8M840.5K
Net VEX-1.6K-2.1K-1.3K-2.0K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.273.372.181.03
Total Volume73.21781198373
Total OI574.304369690639396

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$59.28$100.0069.9%20.0%97.5%43.5%70.7%12.2%-11.8%-18.2K1.8M-2.0K2.1816.29N/AN/A2657211428
2016-08-02$59.04$100.0067.3%19.3%97.5%39.9%68.0%17.3%-12.3%-19.5K1.8M-2.1K1.9314.49N/AN/A2752213440
2016-08-03$58.88$100.0069.5%19.9%97.6%43.0%76.1%10.1%-15.1%-19.2K1.8M-2.0K2.0323.43N/AN/A2347216440
2016-08-04$58.40$60.0075.8%15.7%97.2%51.9%56.0%28.1%-0.4%-17.9K1.8M-2.1K2.1035.43N/AN/A2859217440
2016-08-05$55.76$60.0042.1%13.5%94.9%4.0%67.3%20.8%2.9%-22.2K1.9M-1.9K3.3719.28N/AN/A2790226462
2016-08-08$55.52$60.0046.8%13.8%94.3%10.7%49.0%-0.8%1.9%-19.6K1.9M-1.8K2.2733.93N/AN/A2762229454
2016-08-09$54.40$60.0047.4%13.8%94.1%11.5%49.2%-0.1%2.0%-18.2K1.9M-1.8K2.2721.82N/AN/A2762236453
2016-08-10$54.48$60.0044.5%12.7%94.4%7.3%59.2%23.5%5.7%-17.4K1.8M-1.6K1.9275.64N/AN/A3058236434
2016-08-11$55.20$60.0041.1%11.8%95.0%2.5%49.3%5.6%8.6%-19.6K1.9M-1.6K2.1217.79N/AN/A2961237435
2016-08-12$56.32$60.0041.2%11.8%95.9%2.7%46.6%6.9%7.8%-23.4K1.8M-1.7K2.0920.50N/AN/A2961240439
2016-08-15$55.92$60.0045.2%13.0%95.9%8.4%46.5%5.9%5.0%-21.3K1.8M-1.6K1.5520.97N/AN/A3453242439
2016-08-16$55.84$60.0038.8%11.1%95.5%0.0%48.7%9.6%10.0%-20.8K1.9M-1.5K2.2583.02N/AN/A2352250440
2016-08-17$54.56$60.0038.8%11.1%95.1%0.0%44.0%4.1%4.3%-11.4K1.9M-1.4K0.2728.89N/AN/A144250435
2016-08-18$54.72$60.0039.6%11.4%95.5%1.2%0.0%2.7%-0.4%-11.3K1.9M-1.4K0.0027.64N/AN/A08253435
2016-08-19$53.04$60.0038.9%11.2%95.3%0.3%45.4%5.4%4.7%-11.4K1.7M-1.4K2.1528.43N/AN/A3881253403
2016-08-22$53.68$60.0041.0%11.8%92.6%3.2%45.9%-6.2%-7.1%-10.2K864.1K-1.3K0.6525.48N/AN/A5435140229
2016-08-23$53.68$60.0044.5%12.8%32.4%8.1%50.9%-2.2%-13.5%-8.7K812.6K-1.5K0.8124.24N/AN/A4234158229
2016-08-24$55.36$60.0034.8%10.0%27.7%0.0%31.0%20.9%2.3%-12.4K785.6K-1.6K0.50104.74N/AN/A63163228
2016-08-25$54.56$60.0047.0%13.5%27.7%16.3%58.3%8.9%-6.6%-10.2K771.3K-1.6K1.4533.68N/AN/A2537165229
2016-08-26$54.16$60.0026.6%7.6%27.7%0.0%29.5%14.7%9.2%-8.6K873.6K-1.4K1.4514.01N/AN/A2537166229
2016-08-29$54.00$60.0042.5%12.2%27.6%19.2%47.7%14.2%-6.4%-10.8K783.2K-1.6K1.4522.23N/AN/A2537166229
2016-08-30$53.52$60.0035.7%10.2%27.6%11.0%47.2%17.3%0.9%-8.0K854.2K-1.4K1.4520.28N/AN/A2537167229
2016-08-31$52.80$60.0047.3%13.6%27.8%24.9%62.4%19.6%7.3%-7.5K840.5K-1.4K1.0325.76N/AN/A3637167229