NDLS Options History — April 2017

In April 2017, NDLS traded between $43.60 and $48.00. ATM implied volatility averaged 74.2%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 22.7%. IV traded above realized volatility by 5.0% (HV 20d: 69.2%). 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 7 of 19 days. Put/call ratio averaged 0.77.

Notable Days

2017-04-03: Highest Volume — 217 contracts
2017-04-11: Largest IV spike — 31.6% change
2017-04-25: Highest IV Rank — 44.7%
2017-04-25: Largest Expected Move — 27.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.95	$43.60	$48.00	$47.60	$46.80
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	74.2%	53.5%	94.4%	66.7%	93.1%
Expected Move	22.7%	16.3%	27.1%	19.1%	26.7%
HV 20d	69.2%	49.9%	84.3%	84.3%	50.2%
HV 60d	70.9%	69.4%	73.4%	72.2%	70.1%
IV Rank	31.4%	17.8%	44.7%	26.5%	43.8%
IV Percentile	73.0%	34.5%	93.3%	67.1%	92.9%
Term Structure	-5.3%	-26.0%	17.2%	7.9%	-17.4%
VWIV	77.5%	50.9%	97.6%	50.9%	91.9%
Bid-Ask Spread %	47.91	18.86	88.62	49.09	40.24
Gamma HHI	0.53	0.46	0.63	0.46	0.49
Net GEX	16.1K	8.5K	21.5K	12.1K	19.8K
Net DEX	-890.0K	-1.1M	-698.4K	-936.7K	-866.0K
Net VEX	-3.9K	-4.8K	-3.0K	-4.5K	-4.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.14	1.13	0.14	0.67
Total Volume	90.316	59	217	217	123
Total OI	730	631	773	631	770

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
2017-04-03	$47.60	$40.00	66.7%	19.1%	84.3%	26.5%	50.9%	0.0%	7.9%	12.1K	-936.7K	-4.5K	0.14	49.09	N/A	N/A	190	27	467	164
2017-04-04	$44.80	$40.00	56.7%	16.3%	81.1%	19.9%	51.6%	0.0%	-9.2%	19.0K	-805.9K	-4.0K	0.88	28.62	N/A	N/A	44	38	535	165
2017-04-05	$45.60	$40.00	59.1%	17.0%	81.1%	21.5%	57.0%	0.0%	16.8%	19.7K	-792.7K	-4.0K	0.78	72.74	N/A	N/A	49	38	559	174
2017-04-06	$46.40	$40.00	57.6%	25.5%	81.0%	20.4%	87.9%	0.0%	-22.9%	19.5K	-837.4K	-4.0K	0.87	66.29	N/A	N/A	44	38	551	174
2017-04-07	$46.40	$40.00	55.8%	24.5%	81.5%	19.3%	80.6%	0.0%	-20.6%	19.1K	-910.9K	-4.4K	1.01	43.34	N/A	N/A	38	38	551	174
2017-04-10	$47.60	$40.00	53.5%	21.9%	81.4%	17.8%	77.3%	0.0%	2.2%	16.5K	-990.6K	-4.8K	1.00	38.74	N/A	N/A	38	38	551	174
2017-04-11	$45.60	$40.00	70.4%	22.7%	73.6%	28.9%	82.2%	0.0%	-5.0%	19.0K	-844.2K	-4.0K	1.13	45.04	N/A	N/A	34	38	551	174
2017-04-12	$46.80	$40.00	67.4%	19.3%	73.4%	26.9%	72.1%	0.0%	16.6%	15.8K	-928.0K	-4.7K	1.09	41.72	N/A	N/A	35	38	551	174
2017-04-13	$46.24	$40.00	79.4%	22.8%	66.6%	34.8%	79.4%	0.0%	-11.3%	19.6K	-869.8K	-4.0K	0.89	59.86	N/A	N/A	43	38	554	174
2017-04-17	$45.52	$40.00	92.9%	26.6%	67.3%	43.7%	81.2%	0.0%	-11.3%	8.5K	-946.0K	-3.3K	0.89	88.62	N/A	N/A	43	38	544	174
2017-04-18	$46.40	$40.00	75.5%	21.6%	67.3%	32.2%	71.8%	0.0%	3.4%	19.1K	-866.0K	-3.8K	0.77	33.16	N/A	N/A	42	33	548	174
2017-04-19	$45.20	$40.00	69.6%	19.9%	65.6%	28.3%	0.0%	0.0%	12.9%	9.2K	-937.9K	-3.3K	0.66	37.35	N/A	N/A	48	32	555	174
2017-04-20	$44.40	$40.00	84.4%	24.2%	66.2%	38.1%	84.8%	0.0%	-12.7%	19.5K	-755.4K	-3.9K	0.69	40.33	N/A	N/A	46	32	574	174
2017-04-21	$43.60	$40.00	84.2%	24.1%	66.9%	38.0%	80.8%	0.0%	-11.4%	19.7K	-725.0K	-3.9K	0.60	18.86	N/A	N/A	52	32	577	174
2017-04-24	$43.60	$40.00	83.5%	23.9%	66.9%	37.5%	74.6%	0.0%	-14.5%	21.5K	-698.4K	-3.5K	1.03	57.81	N/A	N/A	29	30	572	166
2017-04-25	$45.44	$40.00	94.4%	27.1%	60.5%	44.7%	0.0%	0.0%	-15.9%	9.5K	-983.7K	-3.0K	0.71	38.74	N/A	N/A	43	30	574	167
2017-04-26	$47.04	$40.00	76.7%	22.0%	49.9%	33.0%	95.2%	0.0%	17.2%	10.1K	-1.1M	-3.2K	0.33	49.81	N/A	N/A	93	30	596	167
2017-04-27	$48.00	$40.00	89.5%	25.7%	50.2%	41.5%	97.6%	0.0%	-26.0%	8.9K	-1.1M	-3.9K	0.54	59.89	N/A	N/A	61	33	604	169
2017-04-28	$46.80	$40.00	93.1%	26.7%	50.2%	43.8%	91.9%	0.0%	-17.4%	19.8K	-866.0K	-4.1K	0.67	40.24	N/A	N/A	74	49	601	169