NDLS Options History — September 2016

In September 2016, NDLS traded between $38.16 and $52.48. ATM implied volatility averaged 61.3%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 36.1% (HV 20d: 25.3%). Max pain ranged from $40.00 to $60.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2016-09-21: Highest Volume — 101 contracts
  • 2016-09-12: Largest IV spike — 132.0% change
  • 2016-09-12: Highest IV Rank — 100.0%
  • 2016-09-13: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.06$38.16$52.48$52.48$38.16
Max Pain$53.33$40.00$60.00$60.00$40.00
ATM IV61.3%40.9%158.3%45.4%54.1%
Expected Move13.9%8.3%21.2%13.0%15.5%
HV 20d25.3%22.1%28.7%27.8%28.7%
HV 60d60.4%59.3%61.1%61.1%60.1%
IV Rank29.9%13.6%100.0%22.7%20.9%
IV Percentile39.4%4.8%100.0%11.5%44.0%
Term Structure13.4%-6.3%21.7%7.0%7.0%
VWIV50.9%30.6%83.4%78.3%54.1%
Skew 25d18.2%-8.8%41.4%41.4%27.2%
Skew 10d32.9%3.1%53.5%37.3%42.6%
Call IV 25d51.4%28.3%68.3%37.6%55.4%
Put IV 25d69.6%56.1%85.2%79.0%82.6%
Bid-Ask Spread %62.2517.4391.7349.7886.45
Gamma HHI0.570.460.830.800.48
Net GEX-1.0K-6.2K1.1K-6.2K6
Net DEX699.1K516.5K906.2K822.9K516.5K
Net VEX-1.0K-1.5K-660-1.5K-1.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.331.301.280.62
Total Volume72.714541016193
Total OI418.333358456410456

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$52.48$60.0045.4%13.0%27.8%22.7%78.3%41.4%7.0%-6.2K822.9K-1.5K1.2849.78N/AN/A2734180230
2016-09-02$52.40$60.0040.9%11.7%23.2%17.3%83.4%34.6%5.2%-5.4K832.8K-1.4K1.3036.55N/AN/A2634183230
2016-09-06$52.48$40.0052.3%10.2%23.3%30.9%30.7%36.6%19.2%-5.9K821.3K-1.4K1.1254.20N/AN/A2630183230
2016-09-07$52.48$40.0051.4%8.6%22.3%29.9%30.6%18.5%19.1%-5.6K834.0K-1.4K1.0857.75N/AN/A2628183231
2016-09-08$51.68$40.0054.0%8.3%22.8%33.0%33.5%31.0%15.1%1.1K884.7K-1.2K1.0856.64N/AN/A2628183231
2016-09-09$50.32$40.0063.6%8.4%23.5%44.6%31.9%26.1%20.6%716881.3K-1.1K1.2477.03N/AN/A2430183231
2016-09-12$49.36$60.00147.6%17.2%22.1%100.0%41.0%26.7%21.7%384906.2K-9960.7463.32N/AN/A4231184235
2016-09-13$48.00$60.00158.3%21.2%23.4%100.0%49.2%23.6%-6.3%568884.8K-1.0K0.7271.86N/AN/A4231204236
2016-09-14$48.40$60.0059.1%16.9%24.0%24.7%51.5%20.9%15.8%353897.0K-1.0K0.8577.70N/AN/A3630204237
2016-09-15$47.04$60.0060.0%17.2%24.5%25.4%55.1%10.6%10.9%153798.8K-9460.9890.14N/AN/A3232208218
2016-09-16$47.60$60.0053.5%15.4%25.2%20.5%49.7%6.3%19.9%790803.4K-9900.9690.44N/AN/A3231214220
2016-09-19$46.16$60.0053.7%15.4%25.2%20.6%58.5%9.8%17.6%152522.4K-8980.8087.91N/AN/A3226203155
2016-09-20$45.04$60.0048.9%14.0%24.9%16.9%70.5%-8.8%20.8%54532.7K-7530.5864.38N/AN/A4325204155
2016-09-21$43.92$60.0044.4%12.7%25.3%13.6%48.6%4.0%17.7%-388539.4K-6600.3391.73N/AN/A7625215157
2016-09-22$41.68$60.0050.3%14.4%24.7%18.0%50.3%6.1%13.4%68526.3K-7010.7981.96N/AN/A4032250159
2016-09-23$42.40$60.0050.7%14.5%27.1%18.4%51.1%0.9%11.4%-469541.5K-8100.8124.99N/AN/A4334254169
2016-09-26$41.04$60.0048.7%14.0%27.9%16.8%48.7%11.8%15.9%-794539.5K-7500.8117.43N/AN/A5645254169
2016-09-27$39.84$60.0048.9%14.0%28.1%17.0%48.9%16.7%11.1%-581534.0K-9610.7124.47N/AN/A5640268176
2016-09-28$38.72$40.0051.3%14.7%28.4%18.8%51.5%14.9%9.6%-447535.6K-9570.5678.21N/AN/A6134270179
2016-09-29$38.16$40.0051.2%14.7%28.4%18.7%52.7%22.9%9.6%-33525.3K-9330.5424.37N/AN/A5731275179
2016-09-30$38.16$40.0054.1%15.5%28.7%20.9%54.1%27.2%7.0%6516.5K-1.0K0.6286.45N/AN/A5736277179