NDLS Options History — March 2017

In March 2017, NDLS traded between $26.40 and $45.60. ATM implied volatility averaged 81.7%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 1.5% (HV 20d: 80.2%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.26.

Notable Days

  • 2017-03-29: Highest Volume — 251 contracts
  • 2017-03-03: Largest IV spike — 112.4% change
  • 2017-03-13: Highest IV Rank — 100.0%
  • 2017-03-03: Largest Expected Move — 36.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.48$26.40$45.60$31.60$45.60
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV81.7%40.5%178.3%71.3%64.6%
Expected Move17.7%11.6%36.7%20.4%18.5%
HV 20d80.2%57.4%95.0%57.4%85.5%
HV 60d66.3%57.2%74.9%57.2%72.2%
IV Rank39.2%9.2%100.0%33.9%25.1%
IV Percentile58.3%4.4%100.0%76.6%64.7%
Term Structure5.1%-52.4%38.4%-14.2%38.4%
VWIV59.2%40.9%96.3%60.6%52.1%
Bid-Ask Spread %44.5420.0979.3228.0763.19
Gamma HHI0.650.420.940.700.75
Net GEX3.2K-24819.1K80419.1K
Net DEX31.9K-654.2K209.0K105.0K-654.2K
Net VEX-1.2K-3.0K-388-905-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.093.123.030.21
Total Volume88.5224225148187
Total OI325.609227586227586

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$31.60$40.0071.3%20.4%57.4%33.9%0.0%0.0%-14.2%804105.0K-9053.0328.07N/AN/A1236119108
2017-03-02$32.40$40.0060.3%17.3%57.9%25.6%0.0%0.0%-8.5%913115.3K-8982.4622.88N/AN/A1435121111
2017-03-03$29.20$40.00128.0%36.7%66.3%77.0%0.0%0.0%-52.4%667174.3K-4133.0929.41N/AN/A1444121112
2017-03-06$28.64$40.00136.7%21.5%66.2%83.7%60.6%0.0%-18.8%141181.6K-4103.1220.09N/AN/A1442121132
2017-03-07$26.40$40.00123.3%20.0%70.8%73.4%54.8%0.0%-1.4%-248188.1K-3881.2733.50N/AN/A2532121136
2017-03-08$27.20$40.00109.2%21.0%72.3%62.7%96.3%0.0%-3.9%-103179.0K-6522.4542.73N/AN/A1230135145
2017-03-09$27.44$40.00117.3%19.9%72.4%68.9%59.7%0.0%13.1%87209.0K-4432.4526.53N/AN/A1230136147
2017-03-10$28.24$40.00131.8%17.3%73.7%79.9%54.0%0.0%-15.3%186187.1K-6492.4529.23N/AN/A1230136147
2017-03-13$28.64$40.00178.3%19.8%67.0%100.0%67.2%0.0%-10.4%377203.0K-5382.4525.93N/AN/A1230136147
2017-03-14$32.80$40.00129.4%13.4%81.4%67.8%71.6%0.0%19.5%1.2K155.1K-9141.0633.13N/AN/A2829136147
2017-03-15$32.80$40.0046.4%13.3%80.6%13.1%62.8%0.0%22.3%901142.1K-1.1K0.8928.24N/AN/A3632134148
2017-03-16$36.40$40.0053.5%15.3%87.9%17.8%53.4%0.0%7.2%1.3K114.5K-1.2K0.4753.36N/AN/A4421152160
2017-03-17$36.64$40.0045.4%13.0%87.9%12.4%46.4%0.0%10.8%1.7K103.8K-1.3K0.5351.25N/AN/A3921166162
2017-03-20$37.04$40.0048.2%13.8%87.9%14.3%49.5%0.0%20.5%2.0K78.9K-1.2K0.4974.32N/AN/A3618164158
2017-03-21$35.44$40.0040.5%11.6%89.7%9.2%48.3%0.0%14.6%1.8K101.1K-1.3K0.4972.21N/AN/A3618162158
2017-03-22$35.20$40.0045.8%13.1%89.5%12.7%50.1%0.0%22.8%1.6K99.3K-1.3K0.4134.04N/AN/A4318162158
2017-03-23$35.20$40.0058.5%16.8%89.2%21.0%61.5%0.0%-0.2%1.8K114.7K-1.3K0.5068.21N/AN/A3518157158
2017-03-24$36.00$40.0048.3%13.8%86.8%14.3%60.7%0.0%2.7%1.8K120.3K-1.2K0.6240.62N/AN/A2818158158
2017-03-27$39.52$40.0046.7%13.4%91.5%13.3%40.9%0.0%33.2%2.0K34.1K-1.4K0.1079.32N/AN/A18219158158
2017-03-28$43.84$40.0061.9%17.8%93.8%23.3%0.0%0.0%16.8%8.1K-378.2K-2.2K0.0971.34N/AN/A21819267158
2017-03-29$43.92$40.0061.9%17.7%93.8%23.3%63.4%0.0%14.4%16.2K-429.0K-2.5K0.1554.39N/AN/A21833356159
2017-03-30$42.80$40.0071.7%20.5%95.0%29.7%71.8%0.0%6.2%10.9K-410.9K-3.0K0.2042.42N/AN/A17234356162
2017-03-31$45.60$40.0064.6%18.5%85.5%25.1%52.1%0.0%38.4%19.1K-654.2K-2.6K0.2163.19N/AN/A15433424162