NDLS Options History — September 2017

In September 2017, NDLS traded between $31.60 and $39.20. ATM implied volatility averaged 73.4%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded above realized volatility by 10.6% (HV 20d: 62.8%). 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 9 of 20 days. Put/call ratio averaged 0.75.

Notable Days

2017-09-19: Highest Volume — 308 contracts
2017-09-11: Largest IV spike — 71.3% change
2017-09-11: Highest IV Rank — 50.0%
2017-09-20: Largest Expected Move — 24.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.21	$31.60	$39.20	$31.60	$35.44
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	73.4%	57.8%	105.7%	67.2%	75.3%
Expected Move	20.2%	16.0%	24.4%	19.3%	21.6%
HV 20d	62.8%	54.1%	67.8%	55.2%	66.4%
HV 60d	59.5%	56.9%	64.9%	64.1%	59.0%
IV Rank	27.8%	17.1%	50.0%	23.6%	29.2%
IV Percentile	60.9%	27.8%	93.3%	51.2%	69.4%
Term Structure	-0.4%	-19.8%	35.1%	-16.8%	-9.6%
VWIV	72.8%	53.9%	89.9%	62.8%	84.5%
Bid-Ask Spread %	46.20	14.55	83.92	23.70	41.77
Gamma HHI	0.60	0.46	0.78	0.66	0.53
Net GEX	10.3K	4.1K	17.0K	9.3K	6.3K
Net DEX	-155.6K	-470.0K	105.4K	-151.9K	21.6K
Net VEX	-2.9K	-4.1K	-1.9K	-3.2K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.02	3.35	1.56	0.59
Total Volume	93.15	27	308	34	53
Total OI	747.65	620	854	801	657

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
2017-09-01	$31.60	$40.00	67.2%	19.3%	55.2%	23.6%	0.0%	0.0%	-16.8%	9.3K	-151.9K	-3.2K	1.56	23.70	N/A	N/A	13	21	626	175
2017-09-05	$33.20	$40.00	83.1%	16.0%	57.2%	34.5%	62.8%	0.0%	35.1%	10.7K	-188.1K	-3.4K	3.35	14.55	N/A	N/A	6	21	629	179
2017-09-06	$35.76	$40.00	61.5%	16.2%	62.7%	19.7%	53.9%	0.0%	16.0%	14.5K	-309.6K	-3.6K	1.59	57.69	N/A	N/A	14	23	629	179
2017-09-07	$36.40	$40.00	57.8%	21.2%	62.8%	17.1%	73.6%	0.0%	-3.7%	13.1K	-327.0K	-3.8K	1.50	48.97	N/A	N/A	16	23	636	182
2017-09-08	$38.64	$40.00	61.7%	20.1%	65.6%	19.8%	70.1%	0.0%	5.6%	15.2K	-470.0K	-4.1K	0.56	23.12	N/A	N/A	39	22	640	183
2017-09-11	$37.20	$40.00	105.7%	19.2%	61.0%	50.0%	67.7%	0.0%	7.2%	14.5K	-362.2K	-3.8K	0.86	38.35	N/A	N/A	26	22	659	183
2017-09-12	$37.60	$40.00	85.5%	19.9%	56.6%	36.1%	69.6%	0.0%	3.0%	15.8K	-376.0K	-3.8K	1.15	38.54	N/A	N/A	19	22	669	183
2017-09-13	$39.20	$40.00	69.5%	19.9%	54.1%	25.2%	69.3%	0.0%	8.6%	17.0K	-458.2K	-4.0K	0.60	71.41	N/A	N/A	19	12	670	183
2017-09-14	$37.60	$40.00	65.2%	18.7%	55.8%	22.2%	65.7%	0.0%	3.9%	16.8K	-389.4K	-3.8K	0.64	35.15	N/A	N/A	20	13	671	182
2017-09-15	$35.60	$40.00	57.8%	16.6%	60.3%	17.1%	61.1%	0.0%	12.9%	14.9K	-329.3K	-3.6K	0.70	83.92	N/A	N/A	20	14	673	181
2017-09-18	$33.04	$40.00	68.5%	19.6%	67.2%	24.4%	58.6%	0.0%	8.2%	13.7K	-172.8K	-3.0K	0.04	40.44	N/A	N/A	291	12	670	178
2017-09-19	$32.40	$40.00	69.2%	19.8%	67.0%	24.9%	72.2%	0.0%	-3.2%	4.5K	105.4K	-1.9K	0.04	47.97	N/A	N/A	296	12	442	178
2017-09-20	$33.20	$40.00	85.0%	24.4%	65.5%	35.8%	89.9%	0.0%	-19.8%	4.1K	83.2K	-2.0K	0.04	44.74	N/A	N/A	281	12	451	178
2017-09-21	$33.76	$40.00	72.6%	20.8%	65.4%	27.3%	81.1%	0.0%	-10.1%	4.9K	58.8K	-2.1K	0.02	34.14	N/A	N/A	287	5	457	178
2017-09-22	$33.76	$40.00	76.8%	22.0%	65.4%	30.2%	81.5%	0.0%	-12.2%	5.2K	64.9K	-2.0K	0.13	37.91	N/A	N/A	40	5	466	179
2017-09-25	$35.76	$40.00	84.3%	24.2%	67.8%	35.4%	88.0%	0.0%	-10.5%	6.3K	19.0K	-2.2K	0.13	67.64	N/A	N/A	40	5	467	179
2017-09-26	$35.60	$40.00	73.5%	21.1%	66.9%	27.9%	77.6%	0.0%	-10.2%	6.4K	44.8K	-2.0K	0.15	40.10	N/A	N/A	34	5	470	179
2017-09-27	$34.64	$40.00	68.6%	19.7%	67.7%	24.6%	73.3%	0.0%	-1.6%	6.7K	21.1K	-2.1K	0.65	52.53	N/A	N/A	30	20	476	179
2017-09-28	$33.76	$40.00	79.5%	22.8%	65.4%	32.0%	82.9%	0.0%	-11.6%	6.3K	3.8K	-2.2K	0.65	81.26	N/A	N/A	30	20	477	180
2017-09-29	$35.44	$40.00	75.3%	21.6%	66.4%	29.2%	84.5%	0.0%	-9.6%	6.3K	21.6K	-2.2K	0.59	41.77	N/A	N/A	33	20	477	180