NDLS Options History — August 2017

In August 2017, NDLS traded between $29.20 and $32.24. ATM implied volatility averaged 69.2%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded above realized volatility by 11.1% (HV 20d: 58.1%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 1.12.

Notable Days

  • 2017-08-31: Highest Volume — 67 contracts
  • 2017-08-30: Largest IV spike — 67.7% change
  • 2017-08-08: Highest IV Rank — 50.6%
  • 2017-08-30: Largest Expected Move — 24.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.88$29.20$32.24$30.80$31.04
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV69.2%45.9%103.3%68.2%51.7%
Expected Move18.6%13.2%24.9%19.6%14.8%
HV 20d58.1%50.3%64.2%50.3%55.3%
HV 60d66.0%63.8%67.8%65.4%64.2%
IV Rank27.7%12.8%50.6%27.5%12.9%
IV Percentile51.6%5.6%92.5%56.7%15.9%
Term Structure1.2%-52.1%30.7%26.4%-16.5%
VWIV69.1%51.4%94.7%75.4%94.7%
Bid-Ask Spread %21.099.6634.009.6622.09
Gamma HHI0.670.590.850.640.69
Net GEX9.2K8.0K10.8K8.7K9.1K
Net DEX-78.6K-203.2K153.4K-59.0K-131.1K
Net VEX-2.9K-3.2K-2.1K-3.0K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.323.751.150.97
Total Volume23.08711671167
Total OI1,007.5227481,2071,128769

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$30.80$40.0068.2%19.6%50.3%27.5%0.0%0.0%26.4%8.7K-59.0K-3.0K1.159.66N/AN/A56951177
2017-08-02$29.60$40.0075.6%21.7%50.5%32.3%75.4%0.0%-19.1%8.3K104.4K-2.1K1.2710.95N/AN/A67951177
2017-08-03$31.84$40.0087.6%20.4%57.1%40.2%71.1%0.0%4.1%10.2K-56.1K-3.1K0.3232.62N/AN/A227954179
2017-08-04$31.20$40.0094.3%19.3%55.9%44.7%61.6%0.0%2.4%10.2K-90.7K-3.2K0.8032.12N/AN/A97973179
2017-08-07$32.00$40.0098.5%20.6%55.9%47.4%71.9%0.0%3.5%10.5K-89.5K-3.1K1.1831.16N/AN/A911974179
2017-08-08$32.00$40.00103.3%20.9%55.8%50.6%72.9%0.0%1.9%10.7K-67.4K-3.1K1.0731.93N/AN/A910975182
2017-08-09$32.00$40.0066.9%19.2%53.6%26.6%61.4%0.0%2.7%10.7K-88.7K-3.1K1.5432.38N/AN/A610981182
2017-08-10$32.24$40.0071.7%20.6%53.1%29.7%74.0%0.0%-1.9%10.8K-71.2K-3.1K0.7534.00N/AN/A86981182
2017-08-11$30.00$40.0083.7%24.0%56.5%37.7%78.3%0.0%-52.1%9.3K-26.4K-2.9K3.7520.36N/AN/A934983183
2017-08-14$32.24$40.0047.7%13.7%62.1%13.9%51.4%0.0%30.7%10.6K-23.8K-2.8K2.7517.24N/AN/A1335987211
2017-08-15$30.80$40.0068.6%19.7%63.7%27.7%63.0%0.0%-7.5%9.1K-88.3K-3.1K0.5815.01N/AN/A137990210
2017-08-16$30.00$40.0068.9%19.8%62.4%27.9%67.8%0.0%-29.6%8.6K-117.3K-3.2K0.5819.40N/AN/A137990210
2017-08-17$29.84$40.0066.6%19.1%62.1%26.4%0.0%0.0%3.1%8.3K129.9K-2.1K2.0415.22N/AN/A1326989210
2017-08-18$29.84$40.0061.5%17.6%62.0%23.0%56.9%0.0%15.0%8.0K153.4K-2.1K2.9910.96N/AN/A1237989218
2017-08-21$29.20$40.0066.4%19.0%61.6%26.3%67.4%0.0%-18.4%8.0K-153.2K-2.9K0.4117.76N/AN/A94595153
2017-08-22$30.64$40.0050.0%14.3%64.2%15.4%0.0%0.0%26.1%8.5K-169.2K-3.2K0.4817.61N/AN/A84596153
2017-08-23$30.24$40.0052.8%15.1%63.1%17.3%0.0%0.0%20.8%8.2K-169.6K-3.1K0.4813.39N/AN/A84603153
2017-08-24$30.24$40.0045.9%13.2%56.9%12.8%0.0%0.0%19.3%8.3K-139.8K-2.9K0.4814.54N/AN/A84603153
2017-08-25$30.80$40.0054.7%15.7%57.1%18.5%0.0%0.0%18.9%8.6K-123.1K-3.0K0.5319.15N/AN/A74603153
2017-08-28$32.00$40.0068.7%19.7%58.7%27.8%94.7%0.0%21.2%9.6K-203.2K-3.2K0.3328.59N/AN/A165604153
2017-08-29$31.60$40.0051.7%14.8%58.8%12.9%0.0%0.0%18.9%9.7K-171.2K-3.1K0.6817.35N/AN/A85613154
2017-08-30$30.00$40.0086.7%24.9%60.1%37.0%0.0%0.0%-42.5%8.7K-157.6K-2.9K0.6221.67N/AN/A85614154
2017-08-31$31.04$40.0051.7%14.8%55.3%12.9%0.0%0.0%-16.5%9.1K-131.1K-2.8K0.9722.09N/AN/A3433615154