NDLS Options History — June 2017

In June 2017, NDLS traded between $28.40 and $39.20. ATM implied volatility averaged 68.6%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded below realized volatility by 5.9% (HV 20d: 74.5%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.74.

Notable Days

  • 2017-06-08: Highest Volume — 301 contracts
  • 2017-06-12: Largest IV spike — 86.8% change
  • 2017-06-12: Highest IV Rank — 78.9%
  • 2017-06-14: Largest Expected Move — 22.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.60$28.40$39.20$39.20$31.20
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV68.6%45.8%146.3%69.3%48.3%
Expected Move17.8%13.1%22.9%19.9%13.9%
HV 20d74.5%50.9%88.8%50.9%82.3%
HV 60d67.6%64.7%72.2%65.0%65.2%
IV Rank27.7%12.7%78.9%28.2%14.4%
IV Percentile51.5%10.3%98.8%65.9%14.7%
Term Structure11.7%-21.3%40.9%-0.9%38.4%
VWIV58.6%45.7%74.0%69.2%54.8%
Bid-Ask Spread %21.149.8143.2023.9813.03
Gamma HHI0.600.460.680.470.64
Net GEX12.6K8.1K16.8K10.8K14.7K
Net DEX-265.1K-523.8K95.5K-272.2K-485.7K
Net VEX-4.4K-5.5K-3.0K-4.1K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.043.183.180.97
Total Volume98.455143013217
Total OI963.7277051,0607051,060

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$39.20$40.0069.3%19.9%50.9%28.2%69.2%0.0%-0.9%10.8K-272.2K-4.1K3.1823.98N/AN/A824536169
2017-06-02$35.04$40.0067.9%19.5%63.0%27.3%70.9%0.0%-8.5%8.9K-149.6K-3.6K1.0941.03N/AN/A2224536169
2017-06-05$35.20$40.0059.9%19.6%60.9%22.0%68.4%0.0%0.5%8.8K-116.7K-3.5K1.1120.45N/AN/A2224546169
2017-06-06$32.80$40.0059.7%20.6%63.7%21.8%72.3%0.0%1.5%8.4K-48.6K-3.3K0.6425.59N/AN/A2415546170
2017-06-07$32.40$40.0071.9%16.6%62.1%29.9%67.7%0.0%6.5%8.1K-34.9K-3.3K0.0642.37N/AN/A26015549176
2017-06-08$33.04$40.0057.5%19.6%61.1%20.4%68.5%0.0%9.0%14.8K-401.5K-5.4K0.0640.45N/AN/A28417799178
2017-06-09$32.80$40.0078.3%16.4%59.3%34.1%53.1%0.0%8.7%15.1K-396.1K-5.5K0.0643.20N/AN/A27217823180
2017-06-12$29.04$40.00146.3%21.2%69.2%78.9%74.0%0.0%1.1%11.8K-227.3K-4.5K0.0722.45N/AN/A27519826180
2017-06-13$30.24$40.00132.4%18.3%71.8%69.8%57.0%0.0%38.0%12.8K-244.9K-4.7K0.0511.57N/AN/A27214834187
2017-06-14$28.40$40.0079.9%22.9%71.7%35.2%53.4%0.0%-13.0%8.6K26.2K-3.2K0.0424.96N/AN/A28112838189
2017-06-15$28.80$40.0065.1%18.7%71.8%25.4%56.9%0.0%24.6%9.6K95.5K-3.0K0.6821.35N/AN/A1712855193
2017-06-16$28.64$40.0062.8%18.0%71.9%23.9%55.9%0.0%-16.8%11.6K-144.6K-4.3K0.7514.88N/AN/A1612856193
2017-06-19$32.24$40.0053.4%15.3%83.1%17.7%48.7%0.0%40.9%15.4K-430.5K-5.1K0.3621.43N/AN/A249851167
2017-06-20$30.80$40.0045.8%13.1%83.4%12.7%45.7%0.0%32.3%14.4K-354.1K-4.8K0.4111.76N/AN/A219870167
2017-06-21$29.84$40.0065.5%18.8%83.6%25.7%51.9%0.0%-21.3%13.7K-281.7K-4.5K0.5010.80N/AN/A189884167
2017-06-22$31.44$40.0046.8%13.4%86.4%13.3%46.1%0.0%36.2%15.4K-416.7K-5.1K0.919.81N/AN/A109885167
2017-06-23$32.40$40.0052.6%15.1%87.6%17.1%48.8%0.0%38.0%16.8K-523.8K-5.4K0.9312.00N/AN/A109888167
2017-06-26$30.80$40.0051.0%14.6%88.8%16.1%50.9%0.0%30.1%14.8K-403.6K-4.9K1.3811.76N/AN/A68888167
2017-06-27$30.80$40.0056.2%16.1%88.8%19.6%54.8%0.0%34.3%14.9K-427.6K-5.0K1.1213.23N/AN/A78889168
2017-06-28$30.00$40.0072.3%20.7%88.7%30.2%0.0%0.0%-9.9%14.3K-278.2K-4.4K0.9014.54N/AN/A98892168
2017-06-29$30.00$40.0066.0%18.9%88.6%26.0%0.0%0.0%-11.9%14.0K-316.1K-4.4K0.9714.44N/AN/A98892168
2017-06-30$31.20$40.0048.3%13.9%82.3%14.4%0.0%0.0%38.4%14.7K-485.7K-5.2K0.9713.03N/AN/A98892168