NDLS Options History — November 2016

In November 2016, NDLS traded between $30.80 and $37.04. ATM implied volatility averaged 68.6%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded below realized volatility by 2.3% (HV 20d: 70.9%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.73.

Notable Days

2016-11-22: Highest Volume — 162 contracts
2016-11-09: Largest IV drop — 52.6% change
2016-11-08: Highest IV Rank — 74.1%
2016-11-02: Largest Expected Move — 25.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.34	$30.80	$37.04	$37.04	$33.60
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	68.6%	46.6%	124.2%	87.9%	57.4%
Expected Move	17.4%	13.4%	25.4%	25.2%	16.4%
HV 20d	70.9%	54.3%	85.4%	54.7%	85.4%
HV 60d	50.0%	39.0%	60.7%	39.0%	60.7%
IV Rank	31.9%	15.2%	74.1%	46.6%	23.4%
IV Percentile	61.8%	12.3%	99.2%	94.4%	52.4%
Term Structure	-1.7%	-24.8%	19.8%	-24.8%	8.5%
VWIV	65.8%	46.8%	91.4%	88.2%	58.0%
Skew 25d	11.9%	-36.0%	37.1%	29.4%	5.9%
Skew 10d	20.6%	-36.0%	57.9%	42.7%	13.6%
Call IV 25d	68.9%	50.5%	156.4%	87.9%	63.2%
Put IV 25d	80.8%	62.1%	130.8%	117.3%	69.1%
Bid-Ask Spread %	56.49	13.72	96.68	13.72	66.25
Gamma HHI	0.59	0.46	0.76	0.60	0.47
Net GEX	2.7K	458	8.7K	5.2K	2.5K
Net DEX	423.4K	282.6K	557.9K	341.3K	392.8K
Net VEX	-1.2K	-1.5K	-799	-1.3K	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.34	1.61	0.57	0.58
Total Volume	131.762	90	162	115	161
Total OI	638.476	499	753	567	579

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-11-01	$37.04	$40.00	87.9%	25.2%	54.7%	46.6%	88.2%	29.4%	-24.8%	5.2K	341.3K	-1.3K	0.57	13.72	N/A	N/A	73	42	394	173
2016-11-02	$36.40	$40.00	88.6%	25.4%	54.4%	47.1%	91.4%	20.1%	-23.7%	5.6K	320.6K	-1.3K	0.57	31.73	N/A	N/A	74	42	410	175
2016-11-03	$36.40	$40.00	101.4%	19.6%	54.3%	56.9%	72.5%	37.1%	-5.9%	6.1K	282.6K	-1.4K	0.51	32.48	N/A	N/A	86	44	424	175
2016-11-04	$33.20	$40.00	81.0%	17.8%	63.0%	41.3%	66.1%	16.1%	-11.9%	824	439.9K	-915	0.91	42.01	N/A	N/A	65	59	456	179
2016-11-07	$30.80	$40.00	86.5%	13.5%	64.9%	45.5%	68.3%	-36.0%	18.5%	551	509.2K	-799	0.86	21.60	N/A	N/A	48	42	461	206
2016-11-08	$30.80	$40.00	124.2%	13.7%	64.4%	74.1%	66.3%	6.5%	2.4%	458	509.2K	-834	0.36	70.00	N/A	N/A	104	38	461	212
2016-11-09	$33.76	$40.00	58.9%	16.9%	73.4%	24.5%	71.3%	12.4%	3.3%	816	525.9K	-1.0K	0.34	94.33	N/A	N/A	109	37	505	213
2016-11-10	$35.44	$40.00	49.7%	14.2%	74.5%	17.6%	58.0%	9.0%	0.9%	7.7K	336.1K	-1.5K	0.43	80.05	N/A	N/A	98	42	510	213
2016-11-11	$36.00	$40.00	50.3%	14.4%	74.7%	18.0%	52.4%	1.7%	-1.8%	8.7K	374.5K	-1.4K	0.62	80.77	N/A	N/A	65	41	510	215
2016-11-14	$35.60	$40.00	59.2%	17.0%	74.8%	24.8%	58.7%	19.8%	-3.9%	1.6K	506.9K	-1.2K	0.66	52.69	N/A	N/A	62	41	524	213
2016-11-15	$35.36	$40.00	53.6%	15.4%	69.3%	20.5%	65.5%	18.7%	-6.6%	1.5K	514.0K	-1.2K	0.89	80.31	N/A	N/A	62	55	526	212
2016-11-16	$35.04	$40.00	66.7%	19.1%	68.1%	30.4%	77.9%	8.9%	-9.8%	1.5K	532.1K	-1.2K	0.90	78.55	N/A	N/A	62	55	526	219
2016-11-17	$33.60	$40.00	71.4%	20.5%	66.8%	34.0%	71.3%	11.8%	-16.7%	1.3K	530.4K	-1.1K	1.03	42.79	N/A	N/A	62	64	525	219
2016-11-18	$32.80	$40.00	50.2%	14.4%	66.8%	17.9%	49.2%	8.4%	6.3%	1.3K	557.9K	-1.1K	1.18	92.40	N/A	N/A	60	70	525	228
2016-11-21	$35.76	$40.00	51.8%	14.9%	73.7%	19.2%	67.0%	16.3%	19.8%	511	378.7K	-1.2K	1.61	27.04	N/A	N/A	46	75	322	177
2016-11-22	$32.80	$40.00	73.5%	21.1%	78.6%	35.7%	79.5%	12.4%	-24.1%	901	342.7K	-1.2K	0.74	60.45	N/A	N/A	93	69	328	177
2016-11-23	$34.00	$40.00	55.9%	16.0%	79.8%	22.3%	54.0%	11.3%	3.6%	2.7K	357.8K	-1.2K	0.75	71.67	N/A	N/A	91	68	366	177
2016-11-25	$34.80	$40.00	62.4%	17.9%	80.2%	27.2%	56.9%	15.1%	5.0%	2.0K	366.6K	-1.3K	0.75	96.68	N/A	N/A	91	68	366	191
2016-11-28	$32.80	$40.00	62.5%	17.9%	82.7%	27.3%	61.6%	3.3%	6.6%	1.9K	385.3K	-1.2K	0.56	23.58	N/A	N/A	91	51	366	191
2016-11-29	$35.20	$40.00	46.6%	13.4%	84.2%	15.2%	46.8%	22.0%	17.7%	2.6K	385.8K	-1.3K	0.57	27.16	N/A	N/A	102	59	366	193
2016-11-30	$33.60	$40.00	57.4%	16.4%	85.4%	23.4%	58.0%	5.9%	8.5%	2.5K	392.8K	-1.3K	0.58	66.25	N/A	N/A	102	59	378	201