NDLS Options History — December 2017

In December 2017, NDLS traded between $36.80 and $45.60. ATM implied volatility averaged 55.7%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 5.7% (HV 20d: 61.4%). 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 19 of 20 days. Put/call ratio averaged 1.38.

Notable Days

2017-12-05: Highest Volume — 81 contracts
2017-12-12: Largest IV spike — 40.4% change
2017-12-12: Highest IV Rank — 27.9%
2017-12-07: Largest Expected Move — 20.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.07	$36.80	$45.60	$39.60	$42.00
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	55.7%	31.5%	79.0%	60.6%	31.5%
Expected Move	16.1%	9.0%	20.1%	17.4%	9.0%
HV 20d	61.4%	52.6%	72.1%	64.2%	60.0%
HV 60d	53.4%	51.2%	55.5%	54.1%	53.9%
IV Rank	11.4%	0.0%	27.9%	14.6%	0.0%
IV Percentile	20.2%	0.0%	73.4%	25.8%	0.0%
Term Structure	10.1%	-7.8%	31.4%	3.8%	31.4%
VWIV	55.5%	31.3%	69.9%	60.3%	31.3%
Bid-Ask Spread %	32.23	11.08	83.13	30.13	83.13
Gamma HHI	0.73	0.62	0.91	0.80	0.72
Net GEX	6.4K	2.8K	18.0K	2.8K	7.3K
Net DEX	-2.1K	-134.7K	95.9K	77.4K	-13.0K
Net VEX	-1.7K	-1.8K	-1.5K	-1.5K	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.38	0.27	4.06	0.44	0.31
Total Volume	43.05	18	81	78	39
Total OI	341.25	298	365	298	345

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
2017-12-01	$39.60	$40.00	60.6%	17.4%	64.2%	14.6%	60.3%	0.0%	3.8%	2.8K	77.4K	-1.5K	0.44	30.13	N/A	N/A	54	24	158	140
2017-12-04	$36.80	$40.00	68.6%	16.9%	70.0%	20.4%	58.8%	0.0%	13.7%	3.0K	95.9K	-1.6K	0.49	39.58	N/A	N/A	48	24	188	143
2017-12-05	$38.80	$40.00	52.4%	17.4%	72.1%	8.6%	60.7%	0.0%	4.6%	3.9K	74.0K	-1.7K	0.50	20.67	N/A	N/A	54	27	182	142
2017-12-06	$39.60	$40.00	59.3%	17.6%	70.8%	13.6%	61.6%	0.0%	4.0%	7.2K	21.9K	-1.7K	2.15	18.67	N/A	N/A	13	27	201	142
2017-12-07	$38.40	$40.00	65.9%	20.1%	72.1%	18.4%	69.9%	0.0%	-7.8%	6.2K	79.1K	-1.6K	2.53	29.02	N/A	N/A	11	27	206	142
2017-12-08	$37.60	$40.00	40.7%	17.1%	67.5%	0.2%	59.7%	0.0%	5.3%	7.4K	77.0K	-1.6K	4.06	16.38	N/A	N/A	7	27	212	142
2017-12-11	$38.00	$40.00	56.2%	16.8%	53.7%	11.4%	58.5%	0.0%	9.4%	9.3K	39.4K	-1.6K	3.29	24.19	N/A	N/A	8	27	213	142
2017-12-12	$37.76	$40.00	79.0%	17.9%	53.3%	27.9%	62.5%	0.0%	4.3%	7.5K	58.6K	-1.6K	2.93	31.93	N/A	N/A	9	27	216	142
2017-12-13	$39.28	$40.00	62.9%	18.0%	54.9%	16.3%	62.9%	0.0%	1.6%	11.5K	-5.6K	-1.7K	2.75	23.71	N/A	N/A	10	27	218	141
2017-12-14	$40.24	$40.00	57.7%	16.6%	52.6%	12.5%	57.7%	0.0%	8.3%	18.0K	-23.5K	-1.6K	2.72	23.99	N/A	N/A	10	28	220	141
2017-12-15	$39.20	$40.00	56.9%	16.3%	53.0%	11.9%	56.9%	0.0%	10.2%	3.3K	87.8K	-1.6K	0.55	36.34	N/A	N/A	51	28	223	142
2017-12-18	$40.64	$40.00	56.5%	16.2%	54.5%	11.6%	58.1%	0.0%	12.9%	3.8K	52.2K	-1.5K	1.25	21.41	N/A	N/A	8	10	180	136
2017-12-19	$44.24	$40.00	58.6%	16.8%	62.2%	13.1%	58.6%	0.0%	7.9%	4.0K	-80.2K	-1.7K	1.01	28.25	N/A	N/A	13	13	181	138
2017-12-20	$44.24	$40.00	50.9%	14.6%	61.6%	7.5%	50.9%	0.0%	11.1%	4.9K	-34.5K	-1.7K	0.27	63.57	N/A	N/A	35	10	187	142
2017-12-21	$45.60	$40.00	52.5%	15.1%	61.4%	8.7%	50.5%	0.0%	10.8%	5.9K	-134.7K	-1.7K	0.37	29.26	N/A	N/A	26	10	197	143
2017-12-22	$44.64	$40.00	47.6%	13.6%	60.8%	5.2%	42.9%	0.0%	20.5%	5.4K	-96.0K	-1.8K	0.37	39.19	N/A	N/A	28	10	197	145
2017-12-26	$45.44	$40.00	55.2%	15.8%	60.7%	10.7%	51.2%	0.0%	18.8%	6.0K	-126.6K	-1.7K	0.58	34.52	N/A	N/A	18	10	199	146
2017-12-27	$45.44	$40.00	59.5%	17.0%	60.7%	13.8%	48.2%	0.0%	14.7%	5.5K	-123.7K	-1.8K	0.47	39.65	N/A	N/A	22	10	202	146
2017-12-28	$43.84	$40.00	41.7%	12.0%	61.6%	0.9%	49.1%	0.0%	16.7%	5.6K	-67.0K	-1.7K	0.50	11.08	N/A	N/A	21	10	198	147
2017-12-29	$42.00	$40.00	31.5%	9.0%	60.0%	0.0%	31.3%	0.0%	31.4%	7.3K	-13.0K	-1.6K	0.31	83.13	N/A	N/A	30	9	198	147