NDLS Options History — February 2017

In February 2017, NDLS traded between $29.20 and $35.60. ATM implied volatility averaged 73.9%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded above realized volatility by 21.3% (HV 20d: 52.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 2.14.

Notable Days

2017-02-16: Highest Volume — 102 contracts
2017-02-14: Largest IV spike — 78.9% change
2017-02-22: Highest IV Rank — 74.4%
2017-02-22: Largest Expected Move — 35.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.11	$29.20	$35.60	$34.40	$30.64
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	73.9%	49.4%	124.6%	60.7%	64.1%
Expected Move	21.6%	14.3%	35.7%	17.4%	18.4%
HV 20d	52.6%	42.9%	66.5%	66.5%	55.8%
HV 60d	61.2%	56.5%	67.6%	67.6%	56.9%
IV Rank	36.0%	17.4%	74.4%	25.9%	28.5%
IV Percentile	70.0%	21.0%	99.2%	59.5%	68.3%
Term Structure	-5.0%	-51.9%	27.2%	1.0%	-3.5%
VWIV	68.2%	49.9%	99.8%	63.0%	99.1%
Skew 25d	56.6%	56.6%	56.6%	56.6%	56.6%
Skew 10d	62.3%	62.3%	62.3%	62.3%	62.3%
Call IV 25d	59.7%	59.7%	59.7%	59.7%	59.7%
Put IV 25d	116.3%	116.3%	116.3%	116.3%	116.3%
Bid-Ask Spread %	62.38	17.84	103.14	95.11	29.38
Gamma HHI	0.72	0.58	0.83	0.78	0.75
Net GEX	1.5K	530	2.9K	2.4K	1.1K
Net DEX	156.7K	112.0K	231.2K	138.4K	112.0K
Net VEX	-801	-1.0K	-467	-1.0K	-773
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.14	1.65	3.32	1.65	3.32
Total Volume	76.947	46	102	98	51
Total OI	300.789	204	355	335	226

Daily Data (19 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
2017-02-01	$34.40	$40.00	60.7%	17.4%	66.5%	25.9%	63.0%	0.0%	1.0%	2.4K	138.4K	-1.0K	1.65	95.11	N/A	N/A	37	61	207	128
2017-02-02	$35.60	$40.00	62.3%	19.2%	54.9%	27.1%	68.9%	0.0%	-2.5%	2.8K	125.8K	-1.0K	1.65	68.55	N/A	N/A	37	61	208	128
2017-02-03	$34.80	$40.00	49.4%	18.6%	54.2%	17.4%	65.1%	56.6%	0.2%	2.7K	161.0K	-948	1.65	68.71	N/A	N/A	37	61	208	128
2017-02-06	$34.80	$40.00	60.4%	20.1%	54.0%	25.7%	70.4%	0.0%	-3.1%	2.7K	155.8K	-947	2.35	68.43	N/A	N/A	26	61	208	128
2017-02-07	$34.80	$40.00	68.1%	18.6%	51.3%	31.6%	65.0%	0.0%	1.2%	2.7K	151.0K	-940	2.58	68.34	N/A	N/A	24	61	208	128
2017-02-08	$35.04	$40.00	62.0%	17.8%	50.2%	26.9%	62.1%	0.0%	2.8%	2.8K	163.1K	-909	2.66	65.15	N/A	N/A	24	63	208	128
2017-02-09	$35.20	$40.00	63.1%	18.1%	42.9%	27.7%	63.1%	0.0%	2.3%	2.9K	152.2K	-906	2.66	66.95	N/A	N/A	24	63	208	126
2017-02-10	$32.00	$40.00	77.9%	22.3%	53.1%	38.9%	78.0%	0.0%	-9.9%	875	202.1K	-735	2.34	84.91	N/A	N/A	25	59	208	126
2017-02-13	$30.40	$40.00	57.5%	16.5%	51.9%	23.5%	57.7%	0.0%	-1.3%	874	231.2K	-645	2.32	98.68	N/A	N/A	25	57	212	139
2017-02-14	$29.60	$40.00	102.8%	29.5%	51.7%	57.9%	66.9%	0.0%	-51.9%	714	171.6K	-762	2.32	94.82	N/A	N/A	25	57	212	126
2017-02-15	$29.84	$40.00	107.2%	30.7%	51.8%	61.2%	59.2%	0.0%	-48.4%	539	212.1K	-768	1.76	72.89	N/A	N/A	33	58	211	139
2017-02-16	$30.16	$40.00	49.9%	14.3%	51.6%	17.7%	49.9%	0.0%	27.2%	530	182.3K	-890	2.09	74.27	N/A	N/A	33	69	216	139
2017-02-17	$30.40	$40.00	60.9%	17.5%	51.7%	26.1%	54.2%	0.0%	14.4%	603	171.2K	-784	1.65	18.36	N/A	N/A	31	51	216	127
2017-02-21	$30.00	$40.00	90.5%	25.9%	51.6%	48.5%	0.0%	0.0%	-4.0%	776	124.0K	-567	1.74	17.84	N/A	N/A	20	34	106	98
2017-02-22	$29.60	$40.00	124.6%	35.7%	51.7%	74.4%	0.0%	0.0%	-20.2%	949	129.3K	-570	1.68	103.14	N/A	N/A	20	33	112	102
2017-02-23	$29.20	$40.00	102.2%	29.3%	51.6%	57.4%	0.0%	0.0%	-2.3%	685	151.2K	-467	2.07	26.83	N/A	N/A	15	31	112	105
2017-02-24	$31.20	$40.00	71.4%	20.5%	50.7%	34.0%	99.8%	0.0%	-4.7%	883	126.7K	-739	2.07	31.02	N/A	N/A	15	31	112	105
2017-02-27	$32.40	$40.00	70.0%	20.1%	53.0%	33.0%	99.1%	0.0%	8.1%	1.0K	116.3K	-797	2.07	31.75	N/A	N/A	16	33	112	105
2017-02-28	$30.64	$40.00	64.1%	18.4%	55.8%	28.5%	0.0%	0.0%	-3.5%	1.1K	112.0K	-773	3.32	29.38	N/A	N/A	12	39	119	107