NDLS Options History — October 2016

In October 2016, NDLS traded between $34.80 and $39.20. ATM implied volatility averaged 66.3%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded above realized volatility by 25.4% (HV 20d: 40.9%). Max pain ranged from $40.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2016-10-31: Highest Volume — 127 contracts
  • 2016-10-11: Largest IV spike — 64.0% change
  • 2016-10-31: Highest IV Rank — 48.8%
  • 2016-10-31: Largest Expected Move — 26.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.50$34.80$39.20$37.76$37.76
Max Pain$48.57$40.00$60.00$40.00$40.00
ATM IV66.3%32.9%90.8%51.3%90.8%
Expected Move20.1%14.4%26.0%14.7%26.0%
HV 20d40.9%26.9%54.5%28.3%54.5%
HV 60d49.9%36.0%61.6%58.7%39.0%
IV Rank30.2%4.8%48.8%18.8%48.8%
IV Percentile64.9%0.4%96.0%30.2%96.0%
Term Structure-13.0%-32.4%15.8%12.8%-26.3%
VWIV71.6%49.8%91.3%50.9%91.3%
Skew 25d21.9%-6.0%42.5%31.4%42.5%
Skew 10d32.2%-16.4%66.0%28.0%66.0%
Call IV 25d71.2%59.0%88.3%61.7%81.5%
Put IV 25d93.1%76.8%124.0%93.1%124.0%
Bid-Ask Spread %61.848.7793.8439.6690.73
Gamma HHI0.570.490.760.490.57
Net GEX2.9K2286.8K2284.8K
Net DEX428.4K345.8K514.3K514.3K345.8K
Net VEX-1.2K-1.4K-953-953-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.370.760.640.49
Total Volume105.3818812792127
Total OI519.762455565455552

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$37.76$40.0051.3%14.7%28.3%18.8%50.9%31.4%12.8%228514.3K-9530.6439.66N/AN/A5636277178
2016-10-04$37.28$40.0050.2%14.4%27.6%17.9%50.2%23.7%15.8%269506.7K-9660.4714.13N/AN/A7636278178
2016-10-05$36.40$40.0051.6%14.8%26.9%19.0%49.8%22.4%5.0%1.5K477.7K-1.1K0.5289.05N/AN/A7137314178
2016-10-06$36.72$60.0057.5%18.6%28.6%23.5%65.5%28.4%-9.8%1.9K473.1K-1.1K0.4684.46N/AN/A7334319180
2016-10-07$35.92$60.0032.9%19.5%28.4%4.8%69.9%18.9%-11.3%1.9K483.2K-1.1K0.4840.76N/AN/A7034322180
2016-10-10$37.60$60.0035.6%19.2%36.0%6.9%67.4%20.0%-9.3%2.6K486.2K-1.1K0.4810.31N/AN/A6531324179
2016-10-11$36.32$60.0058.4%19.5%36.4%24.1%74.3%-6.0%-10.9%1.9K460.0K-1.0K0.3979.75N/AN/A7931323176
2016-10-12$36.56$60.0071.7%20.6%36.3%34.3%71.0%15.4%-14.4%2.1K462.2K-1.1K0.418.77N/AN/A7631330176
2016-10-13$35.20$60.0065.5%18.8%37.0%29.6%69.7%18.2%-11.9%2.0K453.1K-1.0K0.4852.46N/AN/A6431337176
2016-10-14$35.12$60.0072.6%20.8%35.9%35.0%73.1%3.6%-17.9%1.4K464.3K-9780.4080.83N/AN/A8133337174
2016-10-17$35.20$60.0074.6%21.4%36.0%36.5%75.2%16.7%-19.6%1.6K447.7K-1.0K0.4239.75N/AN/A7532357173
2016-10-18$38.00$60.0073.7%21.1%47.8%35.8%73.9%35.1%-17.5%6.8K402.9K-1.2K0.3786.11N/AN/A8733374173
2016-10-19$39.20$40.0071.9%20.6%49.4%34.4%71.9%35.0%-17.5%6.6K368.2K-1.3K0.5286.72N/AN/A6333384173
2016-10-20$37.04$40.0074.7%21.4%49.9%36.5%74.7%25.8%-18.0%3.8K393.0K-1.3K0.5754.62N/AN/A5632387173
2016-10-21$37.44$40.0073.9%21.2%49.6%35.9%74.0%20.1%-18.3%4.1K387.8K-1.3K0.7677.42N/AN/A5642393172
2016-10-24$36.24$40.0076.7%22.0%49.6%38.1%78.2%22.7%-16.7%3.4K379.0K-1.3K0.7285.63N/AN/A5741348175
2016-10-25$34.80$40.0076.4%21.9%50.4%37.8%79.5%8.6%-15.6%3.3K374.1K-1.3K0.6581.36N/AN/A6039353174
2016-10-26$35.04$40.0081.3%23.3%49.9%41.6%82.6%20.4%-26.7%3.3K380.7K-1.2K0.5853.40N/AN/A7041361174
2016-10-27$35.20$40.0065.8%18.9%49.9%29.8%74.1%21.2%-12.8%4.1K376.5K-1.2K0.6348.83N/AN/A6742369172
2016-10-28$35.68$40.0084.8%24.3%50.3%44.2%86.8%35.4%-32.4%3.7K360.0K-1.3K0.5793.84N/AN/A7342369173
2016-10-31$37.76$40.0090.8%26.0%54.5%48.8%91.3%42.5%-26.3%4.8K345.8K-1.4K0.4990.73N/AN/A8542379173