NDLS Options History — May 2017

In May 2017, NDLS traded between $36.24 and $46.24. ATM implied volatility averaged 81.4%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded above realized volatility by 25.5% (HV 20d: 55.9%). Max pain ranged from $40.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.37.

Notable Days

  • 2017-05-15: Highest Volume — 154 contracts
  • 2017-05-10: Largest IV drop — 46.5% change
  • 2017-05-08: Highest IV Rank — 64.3%
  • 2017-05-03: Largest Expected Move — 29.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.65$36.24$46.24$43.20$39.04
Max Pain$41.82$40.00$60.00$40.00$40.00
ATM IV81.4%64.3%124.1%84.8%67.3%
Expected Move21.6%18.4%29.5%24.3%19.3%
HV 20d55.9%48.4%64.3%53.5%50.8%
HV 60d71.8%67.5%74.0%72.0%67.5%
IV Rank36.2%24.9%64.3%38.4%26.9%
IV Percentile78.7%60.3%96.4%89.3%63.5%
Term Structure-4.0%-26.9%8.2%-5.2%1.4%
VWIV70.6%45.2%84.7%84.7%67.4%
Bid-Ask Spread %25.4416.0656.0533.2521.94
Gamma HHI0.540.470.640.540.48
Net GEX11.1K5.5K19.7K19.4K10.4K
Net DEX-318.2K-753.1K107.4K-615.9K-284.1K
Net VEX-3.8K-4.4K-3.2K-4.1K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.342.771.722.15
Total Volume89.909331547835
Total OI802.545641974795701

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$43.20$40.0084.8%24.3%53.5%38.4%84.7%0.0%-5.2%19.4K-615.9K-4.1K1.7233.25N/AN/A2949601194
2017-05-02$44.80$40.0096.8%27.8%52.8%46.3%0.0%0.0%-22.8%9.6K-753.1K-3.7K1.5256.05N/AN/A3249607194
2017-05-03$44.40$40.00103.0%29.5%48.4%50.4%0.0%0.0%-26.9%9.8K-684.6K-3.4K0.7629.68N/AN/A6449607194
2017-05-04$43.20$60.00104.1%21.6%48.8%51.1%45.2%0.0%-1.4%17.3K-472.6K-3.9K1.7124.44N/AN/A2848585196
2017-05-05$44.80$60.00104.4%21.9%50.3%51.3%76.4%0.0%-6.2%9.9K-623.9K-3.5K2.3219.35N/AN/A3070585196
2017-05-08$45.20$40.00124.1%23.8%50.4%64.3%82.9%0.0%-12.7%8.7K-599.6K-3.5K2.0535.97N/AN/A3571588217
2017-05-09$46.24$40.00123.1%24.1%50.2%63.6%73.5%0.0%-12.9%11.0K-672.2K-3.4K1.2831.04N/AN/A5874599219
2017-05-10$43.44$40.0065.9%18.9%52.8%25.9%65.8%0.0%4.7%18.0K-461.0K-3.6K1.3524.78N/AN/A5169635225
2017-05-11$41.20$40.0068.5%19.6%54.5%27.6%68.5%0.0%1.7%19.7K-281.1K-3.6K1.2218.39N/AN/A5061637237
2017-05-12$38.80$40.0069.6%20.0%57.8%28.4%69.6%0.0%1.4%14.1K-156.8K-3.6K1.2221.62N/AN/A5162637237
2017-05-15$38.80$40.0071.9%20.6%57.8%29.9%71.8%0.0%-0.7%15.5K-69.2K-3.2K0.3421.69N/AN/A11539636237
2017-05-16$36.40$40.0072.1%20.7%60.1%30.0%72.0%0.0%-5.7%5.8K92.0K-3.2K0.7127.16N/AN/A7151705235
2017-05-17$36.80$40.0071.5%20.5%60.4%29.6%71.5%0.0%1.9%5.8K76.7K-3.6K0.8325.00N/AN/A5848720248
2017-05-18$36.24$40.0070.7%20.3%60.3%29.1%70.7%0.0%-4.8%5.5K107.4K-3.4K0.5022.59N/AN/A7337723245
2017-05-19$38.00$40.0071.9%20.6%63.6%29.9%71.9%0.0%2.5%7.4K-41.3K-4.0K1.1122.85N/AN/A7381738236
2017-05-22$38.80$40.0072.0%20.7%64.3%30.0%72.0%0.0%-3.1%8.2K-227.1K-4.2K0.7616.80N/AN/A3224473168
2017-05-23$38.80$40.0064.3%18.4%61.9%24.9%64.3%0.0%8.2%8.6K-240.5K-4.2K1.0924.06N/AN/A2224489168
2017-05-24$39.20$40.0069.6%19.9%60.3%28.3%69.5%0.0%0.4%9.3K-265.8K-4.3K1.2323.14N/AN/A1924502169
2017-05-25$39.20$40.0071.8%20.6%59.4%29.8%71.8%0.0%-2.8%9.9K-280.6K-4.4K0.7516.06N/AN/A3224505169
2017-05-26$39.04$40.0069.9%20.0%59.2%28.6%69.7%0.0%-1.5%10.4K-275.9K-4.4K2.6919.40N/AN/A924529169
2017-05-30$38.80$40.0074.3%21.3%52.9%31.4%73.8%0.0%-3.0%10.3K-270.3K-4.1K2.7724.39N/AN/A924532169
2017-05-31$39.04$40.0067.3%19.3%50.8%26.9%67.4%0.0%1.4%10.4K-284.1K-4.2K2.1521.94N/AN/A1124532169