NDLS Options History — January 2017

In January 2017, NDLS traded between $32.40 and $37.60. ATM implied volatility averaged 63.2%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 0.4% (HV 20d: 62.8%). Max pain ranged from $40.00 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.52.

Notable Days

2017-01-20: Highest Volume — 117 contracts
2017-01-09: Largest IV spike — 59.6% change
2017-01-03: Highest IV Rank — 40.8%
2017-01-03: Largest Expected Move — 23.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.52	$32.40	$37.60	$32.64	$35.20
Max Pain	$42.00	$40.00	$60.00	$60.00	$40.00
ATM IV	63.2%	44.7%	80.3%	80.3%	53.9%
Expected Move	17.7%	13.7%	23.0%	23.0%	15.5%
HV 20d	62.8%	48.6%	69.6%	48.6%	65.9%
HV 60d	67.6%	63.9%	69.4%	63.9%	67.5%
IV Rank	27.8%	13.7%	40.8%	40.8%	20.8%
IV Percentile	58.1%	9.5%	88.1%	88.1%	39.7%
Term Structure	1.4%	-24.3%	19.5%	-24.3%	17.4%
VWIV	71.2%	49.4%	97.3%	90.2%	49.4%
Skew 25d	29.2%	2.0%	79.6%	2.0%	78.9%
Skew 10d	35.3%	8.0%	74.0%	18.6%	61.0%
Call IV 25d	67.3%	44.9%	106.1%	106.1%	48.4%
Put IV 25d	96.4%	70.7%	134.0%	108.1%	127.3%
Bid-Ask Spread %	54.45	6.58	98.19	8.86	93.71
Gamma HHI	0.73	0.57	0.85	0.57	0.83
Net GEX	2.7K	1.8K	3.9K	1.8K	3.1K
Net DEX	272.6K	96.0K	380.7K	367.6K	138.9K
Net VEX	-984	-1.1K	-810	-810	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.52	1.04	2.64	1.35	1.38
Total Volume	96.55	85	117	85	107
Total OI	480.15	323	594	535	340

Daily Data (20 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
2017-01-03	$32.64	$60.00	80.3%	23.0%	48.6%	40.8%	90.2%	2.0%	-24.3%	1.8K	367.6K	-810	1.35	8.86	N/A	N/A	36	49	363	172
2017-01-04	$36.40	$60.00	73.5%	21.1%	61.6%	35.6%	77.9%	8.2%	-17.2%	2.6K	325.2K	-1.1K	1.04	17.88	N/A	N/A	48	49	367	174
2017-01-05	$35.20	$40.00	59.3%	16.5%	62.9%	24.9%	59.9%	26.7%	9.0%	3.1K	318.8K	-1.1K	1.04	79.36	N/A	N/A	48	49	380	175
2017-01-06	$35.60	$40.00	44.7%	16.9%	54.0%	13.7%	60.8%	16.6%	5.2%	3.3K	339.1K	-1.0K	1.10	66.42	N/A	N/A	48	53	379	174
2017-01-09	$34.00	$40.00	71.3%	14.4%	56.0%	34.0%	61.2%	24.5%	7.1%	2.5K	369.5K	-896	1.10	78.40	N/A	N/A	48	53	379	178
2017-01-10	$35.04	$40.00	69.6%	13.7%	55.1%	32.7%	70.5%	13.4%	11.7%	3.1K	344.6K	-937	1.39	41.45	N/A	N/A	38	53	379	178
2017-01-11	$37.60	$40.00	57.3%	16.4%	61.3%	23.3%	58.8%	25.8%	6.6%	3.9K	299.9K	-1.1K	1.32	79.29	N/A	N/A	39	52	383	178
2017-01-12	$36.40	$40.00	55.1%	15.8%	62.2%	21.7%	59.7%	25.8%	6.8%	3.6K	325.4K	-1.0K	1.28	55.99	N/A	N/A	40	52	382	177
2017-01-13	$34.24	$40.00	57.6%	16.5%	65.0%	23.6%	68.9%	24.4%	-1.3%	2.4K	362.2K	-884	1.28	78.84	N/A	N/A	39	50	382	177
2017-01-17	$34.80	$40.00	56.5%	16.2%	65.6%	22.7%	69.8%	18.5%	4.6%	2.7K	362.9K	-912	1.22	58.66	N/A	N/A	39	47	383	179
2017-01-18	$34.08	$40.00	62.1%	17.8%	65.8%	27.0%	70.3%	9.8%	-5.6%	2.4K	363.0K	-886	1.47	42.11	N/A	N/A	44	64	383	179
2017-01-19	$33.20	$40.00	72.0%	20.7%	66.1%	34.5%	83.3%	25.2%	-4.2%	2.2K	351.0K	-1.0K	1.56	41.64	N/A	N/A	44	68	389	196
2017-01-20	$33.20	$40.00	64.6%	18.5%	65.8%	28.9%	77.8%	28.2%	-4.3%	2.2K	380.7K	-1.0K	1.72	78.05	N/A	N/A	43	74	389	205
2017-01-23	$32.64	$40.00	66.7%	19.1%	65.9%	30.5%	75.3%	17.5%	-9.5%	2.0K	127.2K	-999	1.80	10.80	N/A	N/A	34	62	199	124
2017-01-24	$32.40	$40.00	68.4%	19.6%	64.1%	31.8%	71.7%	23.6%	-3.8%	2.2K	152.7K	-890	2.64	11.80	N/A	N/A	23	62	200	126
2017-01-25	$32.64	$40.00	50.8%	14.6%	64.2%	18.4%	62.6%	28.2%	11.5%	1.9K	174.7K	-873	2.02	6.58	N/A	N/A	31	62	201	126
2017-01-26	$35.04	$40.00	76.5%	21.9%	69.6%	37.9%	97.3%	61.4%	7.8%	2.6K	96.0K	-1.1K	1.98	76.43	N/A	N/A	31	62	207	126
2017-01-27	$34.80	$40.00	53.8%	15.4%	68.2%	20.7%	68.7%	79.6%	19.5%	2.9K	140.0K	-1.0K	1.89	64.57	N/A	N/A	33	62	209	126
2017-01-30	$35.20	$40.00	70.7%	20.3%	68.3%	33.5%	89.0%	45.2%	-8.5%	3.1K	111.9K	-1.1K	1.90	98.19	N/A	N/A	33	62	211	128
2017-01-31	$35.20	$40.00	53.9%	15.5%	65.9%	20.8%	49.4%	78.9%	17.4%	3.1K	138.9K	-1.0K	1.38	93.71	N/A	N/A	45	62	212	128