NDLS Options History — November 2017

In November 2017, NDLS traded between $32.00 and $43.20. ATM implied volatility averaged 69.7%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded above realized volatility by 19.5% (HV 20d: 50.1%). Max pain ranged from $40.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.34.

Notable Days

2017-11-30: Highest Volume — 124 contracts
2017-11-14: Largest IV spike — 43.2% change
2017-11-07: Highest IV Rank — 42.4%
2017-11-09: Largest Expected Move — 25.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.30	$32.00	$43.20	$34.40	$40.80
Max Pain	$40.95	$40.00	$60.00	$60.00	$40.00
ATM IV	69.7%	47.6%	98.9%	84.8%	69.3%
Expected Move	19.2%	13.7%	25.0%	24.3%	19.9%
HV 20d	50.1%	30.1%	63.6%	35.6%	63.6%
HV 60d	54.2%	49.0%	56.2%	53.2%	53.8%
IV Rank	21.2%	5.2%	42.4%	32.2%	20.9%
IV Percentile	46.2%	4.0%	90.9%	81.0%	50.4%
Term Structure	0.2%	-18.2%	25.0%	-18.2%	-10.7%
VWIV	69.5%	50.8%	128.9%	128.9%	69.4%
Bid-Ask Spread %	41.65	24.21	72.19	47.57	72.19
Gamma HHI	0.66	0.40	0.90	0.43	0.81
Net GEX	3.5K	875	12.7K	2.0K	3.7K
Net DEX	48.8K	-112.9K	210.7K	127.3K	-12.9K
Net VEX	-1.4K	-1.5K	-1.1K	-1.5K	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.34	0.78	4.85	2.98	0.78
Total Volume	60.667	33	124	57	124
Total OI	504.667	248	694	635	265

Daily Data (21 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
2017-11-01	$34.40	$60.00	84.8%	24.3%	35.6%	32.2%	128.9%	0.0%	-18.2%	2.0K	127.3K	-1.5K	2.98	47.57	N/A	N/A	14	43	433	202
2017-11-02	$35.60	$40.00	80.5%	21.5%	35.0%	29.0%	75.2%	0.0%	-3.0%	2.7K	130.9K	-1.5K	2.98	24.21	N/A	N/A	14	43	437	202
2017-11-03	$35.60	$40.00	95.5%	22.2%	33.8%	39.9%	76.3%	0.0%	-2.6%	2.8K	105.1K	-1.5K	2.97	52.76	N/A	N/A	14	43	437	202
2017-11-06	$35.20	$40.00	86.1%	20.8%	33.6%	33.1%	72.7%	0.0%	2.3%	2.7K	108.7K	-1.5K	4.06	34.90	N/A	N/A	11	43	437	203
2017-11-07	$34.00	$40.00	98.9%	23.0%	33.7%	42.4%	80.3%	0.0%	-6.4%	2.7K	115.8K	-1.4K	4.06	24.95	N/A	N/A	11	43	437	203
2017-11-08	$34.24	$40.00	71.5%	20.5%	30.1%	22.5%	75.2%	0.0%	8.6%	2.7K	94.9K	-1.5K	4.85	47.56	N/A	N/A	9	45	437	203
2017-11-09	$32.00	$40.00	87.1%	25.0%	35.0%	33.8%	87.5%	0.0%	-10.6%	1.1K	208.9K	-1.1K	3.07	33.51	N/A	N/A	20	61	437	205
2017-11-10	$36.00	$40.00	64.5%	18.5%	55.4%	17.4%	64.9%	0.0%	4.1%	875	210.7K	-1.3K	2.01	41.81	N/A	N/A	28	56	442	227
2017-11-13	$36.80	$40.00	47.6%	13.7%	55.9%	5.2%	50.8%	0.0%	25.0%	3.1K	135.2K	-1.5K	2.00	60.98	N/A	N/A	23	46	456	213
2017-11-14	$37.28	$40.00	68.2%	19.6%	55.3%	20.1%	68.2%	0.0%	2.4%	2.9K	160.5K	-1.4K	2.68	30.05	N/A	N/A	17	46	455	225
2017-11-15	$39.20	$40.00	68.3%	19.6%	57.9%	20.2%	68.7%	0.0%	2.4%	3.8K	120.0K	-1.5K	1.09	47.69	N/A	N/A	38	41	457	225
2017-11-16	$40.00	$40.00	57.7%	16.5%	58.2%	12.5%	57.8%	0.0%	8.9%	12.7K	55.6K	-1.5K	1.51	40.32	N/A	N/A	27	41	468	225
2017-11-17	$40.40	$40.00	63.0%	18.1%	57.9%	16.3%	63.2%	0.0%	2.2%	2.7K	-112.9K	-1.3K	1.21	33.38	N/A	N/A	34	41	469	225
2017-11-20	$40.64	$40.00	56.9%	16.3%	57.7%	11.9%	56.9%	0.0%	4.5%	3.2K	-43.7K	-1.3K	2.65	34.73	N/A	N/A	9	24	141	112
2017-11-21	$41.84	$40.00	60.1%	17.2%	57.6%	14.2%	60.3%	0.0%	1.8%	3.4K	-70.1K	-1.2K	2.39	33.11	N/A	N/A	10	24	140	113
2017-11-22	$40.80	$40.00	61.5%	17.6%	58.8%	15.3%	61.4%	0.0%	-1.7%	3.4K	-47.9K	-1.3K	2.39	37.05	N/A	N/A	10	24	139	113
2017-11-24	$42.40	$40.00	56.4%	16.2%	59.6%	11.6%	56.3%	0.0%	-3.4%	3.8K	-68.3K	-1.2K	2.43	39.84	N/A	N/A	10	25	135	113
2017-11-27	$41.84	$40.00	66.7%	19.1%	60.1%	19.0%	66.8%	0.0%	-4.3%	3.8K	-49.2K	-1.3K	1.20	37.64	N/A	N/A	22	27	138	114
2017-11-28	$42.00	$40.00	59.3%	17.0%	59.2%	13.6%	59.3%	0.0%	-1.3%	4.4K	-65.1K	-1.2K	1.01	51.57	N/A	N/A	26	26	142	116
2017-11-29	$43.20	$40.00	59.2%	17.0%	59.2%	13.6%	58.5%	0.0%	4.9%	4.1K	-79.5K	-1.2K	0.85	48.93	N/A	N/A	33	28	139	116
2017-11-30	$40.80	$40.00	69.3%	19.9%	63.6%	20.9%	69.4%	0.0%	-10.7%	3.7K	-12.9K	-1.3K	0.78	72.19	N/A	N/A	70	54	144	121