NDLS Options History — October 2017

In October 2017, NDLS traded between $34.24 and $38.00. ATM implied volatility averaged 77.5%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 22.0%. IV traded above realized volatility by 28.0% (HV 20d: 49.5%). 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 3 of 22 days. Put/call ratio averaged 1.62.

Notable Days

  • 2017-10-20: Highest Volume — 79 contracts
  • 2017-10-20: Largest IV spike — 40.1% change
  • 2017-10-20: Highest IV Rank — 43.2%
  • 2017-10-20: Largest Expected Move — 28.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.66$34.24$38.00$34.64$34.80
Max Pain$57.27$40.00$60.00$40.00$60.00
ATM IV77.5%62.7%100.1%88.8%78.7%
Expected Move22.0%18.0%28.7%25.5%22.6%
HV 20d49.5%35.4%67.0%67.0%35.4%
HV 60d57.1%53.1%58.9%58.7%53.1%
IV Rank27.9%16.1%43.2%38.5%27.7%
IV Percentile66.0%34.5%90.9%86.9%72.6%
Term Structure-6.4%-22.6%23.8%-22.3%-4.4%
VWIV97.5%72.9%127.1%98.0%117.8%
Bid-Ask Spread %56.8232.4390.0444.0446.45
Gamma HHI0.490.370.630.510.46
Net GEX5.2K2.0K9.9K6.1K2.0K
Net DEX75.0K-58.4K161.2K15.7K142.4K
Net VEX-1.8K-2.2K-1.5K-2.1K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.635.120.633.90
Total Volume61.18248795154
Total OI672.909634723662634

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$34.64$40.0088.8%25.5%67.0%38.5%98.0%0.0%-22.3%6.1K15.7K-2.1K0.6344.04N/AN/A3120482180
2017-10-03$34.24$40.0091.7%26.3%65.1%40.4%99.5%0.0%-22.6%6.3K17.7K-2.0K0.6933.87N/AN/A2820485180
2017-10-04$34.40$40.0064.3%18.4%59.2%21.6%72.9%0.0%23.8%7.1K58.4K-2.0K0.6738.62N/AN/A2920488180
2017-10-05$35.76$60.0069.8%22.1%60.6%25.4%87.6%0.0%-10.9%8.1K19.3K-2.1K0.6747.39N/AN/A2920489180
2017-10-06$36.64$60.0091.1%23.1%57.1%40.0%95.2%0.0%1.3%7.7K-48.8K-2.2K0.6379.74N/AN/A3120488180
2017-10-09$37.04$60.0081.1%23.2%55.7%33.1%94.6%0.0%-5.9%8.9K-29.9K-2.1K0.6478.89N/AN/A3120492180
2017-10-10$38.00$60.0092.6%23.9%56.3%40.0%94.5%0.0%-10.1%9.9K-58.4K-2.1K0.8533.25N/AN/A3025495180
2017-10-11$36.24$60.0077.7%22.3%56.6%27.0%94.9%0.0%-12.2%8.1K23.5K-1.9K0.8948.89N/AN/A2825499186
2017-10-12$34.64$60.0066.1%18.9%56.9%18.6%84.3%0.0%8.7%2.3K158.4K-1.6K1.5282.33N/AN/A2842500186
2017-10-13$35.20$60.0070.4%20.2%54.0%21.7%87.9%0.0%-7.5%7.3K69.2K-2.0K1.3674.33N/AN/A3142500206
2017-10-16$35.44$60.0062.7%18.0%46.4%16.1%73.3%0.0%-3.9%6.7K69.7K-1.7K1.2781.03N/AN/A3342504206
2017-10-17$36.40$60.0073.3%21.0%46.3%23.8%94.6%0.0%-2.0%8.6K7.3K-2.0K1.4090.04N/AN/A3041505206
2017-10-18$36.24$60.0076.7%22.0%45.9%26.3%95.8%0.0%-2.9%2.8K154.3K-1.8K1.4062.36N/AN/A3041505217
2017-10-19$36.40$60.0071.4%20.5%45.6%22.4%93.4%0.0%-8.7%3.0K151.0K-1.8K1.3649.95N/AN/A3041505217
2017-10-20$36.00$60.00100.1%28.7%45.9%43.2%102.8%0.0%-21.2%4.2K73.5K-2.1K1.7148.31N/AN/A2950506217
2017-10-23$35.76$60.0066.1%18.9%41.3%18.6%88.9%0.0%-1.7%2.7K136.0K-1.7K1.5469.11N/AN/A2741431207
2017-10-24$35.20$60.0077.3%22.2%41.6%26.7%102.2%0.0%-9.2%2.7K135.8K-1.7K1.5432.43N/AN/A2741432207
2017-10-25$35.44$60.0076.4%21.9%40.5%26.0%110.2%0.0%-16.0%2.3K150.0K-1.6K1.5752.98N/AN/A2641433207
2017-10-26$35.20$60.0069.6%19.9%39.3%21.1%110.8%0.0%-3.0%2.4K161.2K-1.5K1.6552.53N/AN/A2643433207
2017-10-27$35.76$60.0078.0%22.4%35.8%27.2%118.0%0.0%-1.3%2.8K105.6K-1.6K5.1251.93N/AN/A843433202
2017-10-30$35.04$60.0080.4%23.0%35.6%28.9%127.1%0.0%-9.3%2.2K138.0K-1.5K4.7051.51N/AN/A943432202
2017-10-31$34.80$60.0078.7%22.6%35.4%27.7%117.8%0.0%-4.4%2.0K142.4K-1.5K3.9046.45N/AN/A1143432202