NDLS Options History — July 2017

In July 2017, NDLS traded between $30.80 and $35.04. ATM implied volatility averaged 76.3%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 22.3%. IV traded above realized volatility by 14.8% (HV 20d: 61.5%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.06.

Notable Days

2017-07-19: Highest Volume — 31 contracts
2017-07-06: Largest IV spike — 36.8% change
2017-07-18: Highest IV Rank — 41.3%
2017-07-18: Largest Expected Move — 25.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.82	$30.80	$35.04	$32.00	$31.04
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	76.3%	57.4%	89.3%	62.5%	79.3%
Expected Move	22.3%	16.5%	25.6%	17.9%	22.7%
HV 20d	61.5%	43.9%	83.0%	83.0%	51.2%
HV 60d	66.1%	64.8%	67.3%	65.4%	66.0%
IV Rank	32.8%	20.3%	41.3%	23.7%	34.7%
IV Percentile	72.9%	33.7%	88.1%	49.6%	79.4%
Term Structure	-6.3%	-20.6%	35.1%	29.9%	-20.6%
VWIV	82.6%	59.5%	90.9%	59.5%	86.8%
Bid-Ask Spread %	24.17	10.46	40.08	18.48	10.63
Gamma HHI	0.67	0.59	0.77	0.64	0.60
Net GEX	17.6K	8.9K	21.9K	15.4K	8.9K
Net DEX	-453.4K	-690.6K	-86.9K	-474.7K	-138.4K
Net VEX	-4.7K	-5.6K	-3.2K	-5.2K	-3.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.48	1.74	1.32	1.15
Total Volume	17.4	11	31	14	11
Total OI	1,087.05	1,060	1,129	1,060	1,129

Daily Data (20 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
2017-07-03	$32.00	$40.00	62.5%	17.9%	83.0%	23.7%	59.5%	0.0%	29.9%	15.4K	-474.7K	-5.2K	1.32	18.48	N/A	N/A	6	8	892	168
2017-07-05	$30.80	$40.00	57.4%	16.5%	80.3%	20.3%	0.0%	0.0%	35.1%	15.6K	-366.9K	-4.6K	1.74	20.74	N/A	N/A	5	8	892	168
2017-07-06	$30.80	$40.00	78.5%	21.6%	80.3%	34.3%	82.1%	0.0%	-7.9%	14.7K	-408.4K	-4.8K	1.74	29.93	N/A	N/A	5	8	893	168
2017-07-07	$32.00	$40.00	79.8%	23.2%	81.2%	35.1%	80.4%	0.0%	-8.5%	16.8K	-427.5K	-4.8K	1.06	31.50	N/A	N/A	8	8	893	168
2017-07-10	$32.80	$40.00	72.7%	23.9%	81.7%	30.4%	81.1%	0.0%	-9.3%	17.8K	-522.3K	-5.0K	0.80	16.38	N/A	N/A	10	8	895	168
2017-07-11	$33.04	$40.00	61.4%	22.4%	67.9%	23.0%	77.0%	0.0%	-3.9%	18.2K	-496.2K	-4.9K	0.86	24.80	N/A	N/A	10	8	897	168
2017-07-12	$34.40	$40.00	81.5%	23.4%	67.9%	36.2%	80.5%	0.0%	-8.3%	20.7K	-650.6K	-5.5K	0.63	18.05	N/A	N/A	13	8	897	168
2017-07-13	$35.04	$40.00	72.5%	20.8%	62.8%	30.3%	85.6%	0.0%	-2.9%	21.0K	-690.6K	-5.6K	0.82	32.89	N/A	N/A	10	8	901	168
2017-07-14	$33.44	$40.00	69.1%	19.8%	66.0%	28.0%	80.8%	0.0%	-10.7%	20.2K	-530.0K	-4.9K	0.85	35.98	N/A	N/A	9	8	904	168
2017-07-17	$34.24	$40.00	87.2%	25.0%	66.0%	40.0%	86.0%	0.0%	-12.3%	20.3K	-610.9K	-5.2K	1.33	20.18	N/A	N/A	6	8	908	168
2017-07-18	$33.60	$40.00	89.3%	25.6%	52.4%	41.3%	89.5%	0.0%	-15.6%	19.6K	-519.6K	-4.7K	1.37	18.93	N/A	N/A	8	10	911	168
2017-07-19	$34.80	$40.00	84.4%	24.2%	50.5%	38.1%	86.6%	0.0%	-10.5%	20.5K	-674.6K	-5.3K	0.48	29.63	N/A	N/A	21	10	914	170
2017-07-20	$34.00	$40.00	87.5%	25.1%	49.7%	40.1%	87.2%	0.0%	-15.1%	21.2K	-555.4K	-5.0K	1.24	16.28	N/A	N/A	8	10	931	170
2017-07-21	$33.44	$40.00	87.6%	25.1%	47.3%	40.2%	90.9%	0.0%	-14.2%	20.4K	-514.2K	-4.8K	0.92	26.40	N/A	N/A	11	10	935	170
2017-07-24	$32.40	$40.00	76.5%	21.9%	47.7%	32.9%	80.2%	0.0%	-19.0%	19.5K	-405.1K	-4.4K	1.15	35.16	N/A	N/A	10	12	936	169
2017-07-25	$32.80	$40.00	69.7%	20.0%	43.9%	28.5%	75.5%	0.0%	-10.1%	21.0K	-306.9K	-4.1K	1.07	14.48	N/A	N/A	9	10	940	174
2017-07-26	$33.76	$40.00	78.6%	22.5%	44.8%	34.3%	88.2%	0.0%	-19.4%	21.9K	-522.7K	-4.7K	1.01	32.40	N/A	N/A	10	10	944	176
2017-07-27	$31.20	$40.00	83.7%	24.0%	52.8%	37.7%	89.1%	0.0%	-18.0%	10.3K	-86.9K	-3.2K	0.62	40.08	N/A	N/A	9	6	950	176
2017-07-28	$30.80	$40.00	67.6%	19.4%	53.0%	27.1%	86.8%	0.0%	16.1%	8.9K	-165.4K	-3.6K	1.12	10.46	N/A	N/A	5	6	950	176
2017-07-31	$31.04	$40.00	79.3%	22.7%	51.2%	34.7%	0.0%	0.0%	-20.6%	8.9K	-138.4K	-3.4K	1.15	10.63	N/A	N/A	5	6	952	177