NDLS Options History — December 2016

In December 2016, NDLS traded between $32.80 and $39.44. ATM implied volatility averaged 62.7%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded below realized volatility by 5.3% (HV 20d: 67.9%). 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 12 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2016-12-16: Highest Volume — 166 contracts
  • 2016-12-13: Largest IV drop — 35.5% change
  • 2016-12-12: Highest IV Rank — 42.7%
  • 2016-12-29: Largest Expected Move — 22.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.69$32.80$39.44$34.00$32.80
Max Pain$58.10$40.00$60.00$40.00$60.00
ATM IV62.7%49.1%82.8%60.5%77.6%
Expected Move16.9%13.4%22.6%17.3%22.3%
HV 20d67.9%46.4%85.7%85.4%49.3%
HV 60d63.1%60.8%64.5%60.8%64.0%
IV Rank27.4%17.1%42.7%25.7%38.8%
IV Percentile58.6%19.4%90.9%60.3%86.5%
Term Structure-1.5%-24.9%21.1%-16.7%-19.4%
VWIV63.2%46.1%89.9%54.0%89.6%
Skew 25d25.6%9.6%41.3%40.9%9.6%
Skew 10d35.7%12.0%61.6%15.2%14.6%
Call IV 25d58.4%35.3%86.9%35.3%83.8%
Put IV 25d84.1%66.6%104.9%76.2%93.4%
Bid-Ask Spread %61.0118.4774.0927.5760.83
Gamma HHI0.570.490.760.500.51
Net GEX3.0K9137.2K2.0K2.2K
Net DEX362.9K308.5K477.3K426.0K308.5K
Net VEX-1.2K-1.4K-955-1.2K-996
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.591.660.611.65
Total Volume125.7148216615490
Total OI562.714526592581529

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$34.00$40.0060.5%17.3%85.4%25.7%54.0%40.9%-16.7%2.0K426.0K-1.2K0.6127.57N/AN/A9559379202
2016-12-02$33.20$40.0063.8%18.3%85.7%28.3%63.8%18.4%-20.3%913471.2K-9760.6068.89N/AN/A9558379202
2016-12-05$34.24$60.0072.2%15.2%80.0%34.6%46.1%19.9%21.1%2.6K394.2K-1.3K0.6164.60N/AN/A9558379203
2016-12-06$34.40$60.0061.3%13.4%74.7%26.4%53.0%14.5%9.5%2.2K413.1K-1.2K0.6118.47N/AN/A9558379203
2016-12-07$37.60$60.0062.5%15.8%80.3%27.3%59.5%29.5%-0.1%2.9K349.5K-1.4K0.7957.31N/AN/A8265379203
2016-12-08$37.76$60.0066.1%16.6%74.3%30.0%69.3%29.7%0.5%3.5K366.1K-1.4K0.8164.01N/AN/A8165381210
2016-12-09$39.28$60.0061.7%15.8%73.6%26.7%57.0%15.1%2.4%4.7K353.5K-1.4K0.8060.54N/AN/A8165381210
2016-12-12$38.80$60.0082.8%16.8%73.8%42.7%62.9%14.7%1.6%4.2K371.6K-1.3K0.8458.01N/AN/A7866381210
2016-12-13$38.80$60.0053.4%15.9%73.6%20.4%56.1%15.4%4.0%6.0K390.8K-1.3K0.8564.41N/AN/A8169381211
2016-12-14$39.44$60.0061.0%17.5%73.6%26.2%61.3%31.9%-2.8%6.5K349.7K-1.3K0.7965.46N/AN/A8869382210
2016-12-15$39.20$60.0058.3%16.7%73.5%24.1%62.6%28.2%-0.7%7.2K311.2K-1.3K0.7857.55N/AN/A7962381210
2016-12-16$38.80$60.0059.0%16.9%71.6%24.6%61.5%28.6%3.7%1.1K477.3K-1.2K0.5971.32N/AN/A10462381211
2016-12-19$38.24$60.0057.0%16.3%71.2%23.1%58.1%30.3%2.5%2.3K319.2K-1.3K0.8173.55N/AN/A5847351178
2016-12-20$38.64$60.0060.3%17.3%64.8%25.6%65.9%36.0%1.4%2.4K322.0K-1.3K0.8572.40N/AN/A5547349178
2016-12-21$38.24$60.0055.1%15.8%55.8%21.7%57.4%25.6%8.4%2.4K335.0K-1.3K0.7765.96N/AN/A6147349178
2016-12-22$36.40$60.0058.1%16.6%58.2%23.9%62.5%36.8%2.4%2.3K328.0K-1.2K1.3474.09N/AN/A3547356177
2016-12-23$36.00$60.0049.1%14.1%57.9%17.1%62.8%33.1%2.8%2.1K333.1K-1.2K1.3465.25N/AN/A3547357176
2016-12-27$35.76$60.0055.4%15.9%53.4%21.9%67.1%41.3%-0.8%2.1K330.7K-1.1K1.3467.08N/AN/A3547357176
2016-12-28$34.40$60.0062.0%17.8%49.4%26.9%66.3%26.3%-6.9%1.9K334.8K-1.1K1.5361.46N/AN/A3655356176
2016-12-29$34.40$60.0078.7%22.6%46.4%39.6%89.9%12.6%-24.9%2.3K335.5K-9551.6662.54N/AN/A3355357169
2016-12-30$32.80$60.0077.6%22.3%49.3%38.8%89.6%9.6%-19.4%2.2K308.5K-9961.6560.83N/AN/A3456360169