NDLS Options History — January 2018

In January 2018, NDLS traded between $41.60 and $50.00. ATM implied volatility averaged 55.2%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 10.8% (HV 20d: 44.4%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.35.

Notable Days

2018-01-08: Highest Volume — 51 contracts
2018-01-23: Largest IV spike — 80.3% change
2018-01-03: Highest IV Rank — 28.9%
2018-01-03: Largest Expected Move — 21.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.52	$41.60	$50.00	$41.60	$47.20
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	55.2%	36.7%	73.9%	63.3%	51.3%
Expected Move	17.1%	10.5%	21.2%	18.1%	14.7%
HV 20d	44.4%	34.6%	59.0%	59.0%	34.6%
HV 60d	52.9%	52.1%	53.6%	53.4%	53.3%
IV Rank	16.1%	3.6%	28.9%	21.7%	13.5%
IV Percentile	22.5%	0.4%	66.3%	35.3%	11.9%
Term Structure	7.2%	-13.6%	29.9%	-5.5%	17.4%
VWIV	55.0%	36.5%	74.6%	63.3%	49.0%
Bid-Ask Spread %	43.04	11.53	100.78	21.61	15.40
Gamma HHI	0.61	0.48	0.80	0.71	0.60
Net GEX	4.2K	2.2K	6.2K	5.7K	5.2K
Net DEX	-106.8K	-222.8K	-809	-26.6K	-169.0K
Net VEX	-1.8K	-2.2K	-1.3K	-1.8K	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.35	0.21	0.52	0.26	0.50
Total Volume	34.667	18	51	34	27
Total OI	360.048	345	392	355	392

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
2018-01-02	$41.60	$40.00	63.3%	18.1%	59.0%	21.7%	63.3%	0.0%	-5.5%	5.7K	-26.6K	-1.8K	0.26	21.61	N/A	N/A	27	7	208	147
2018-01-03	$41.84	$40.00	73.9%	21.2%	51.8%	28.9%	74.6%	0.0%	0.2%	5.9K	-809	-1.7K	0.26	99.05	N/A	N/A	27	7	208	148
2018-01-04	$42.00	$40.00	45.6%	19.1%	48.8%	9.6%	62.3%	0.0%	2.7%	6.0K	-43.1K	-1.8K	0.25	22.68	N/A	N/A	29	7	208	148
2018-01-05	$42.40	$40.00	47.0%	19.1%	48.4%	10.5%	63.1%	0.0%	0.3%	6.2K	-53.7K	-1.8K	0.23	15.74	N/A	N/A	38	9	209	148
2018-01-08	$42.00	$40.00	43.5%	19.5%	47.0%	8.2%	67.2%	0.0%	1.2%	4.6K	-8.1K	-1.8K	0.21	28.34	N/A	N/A	42	9	197	149
2018-01-09	$44.80	$40.00	44.6%	20.2%	50.5%	9.0%	65.6%	0.0%	-1.1%	3.9K	-77.5K	-1.8K	0.29	23.81	N/A	N/A	27	8	198	149
2018-01-10	$44.24	$40.00	63.0%	18.1%	51.1%	21.5%	61.7%	0.0%	4.7%	4.1K	-94.8K	-1.8K	0.29	49.83	N/A	N/A	27	8	200	151
2018-01-11	$44.80	$40.00	73.2%	21.0%	50.8%	28.4%	0.0%	0.0%	-13.3%	2.9K	-134.8K	-1.3K	0.27	79.03	N/A	N/A	26	7	200	151
2018-01-12	$45.84	$40.00	58.6%	16.8%	49.8%	18.5%	45.1%	0.0%	13.4%	3.9K	-107.9K	-1.9K	0.34	85.64	N/A	N/A	20	7	200	152
2018-01-16	$46.40	$40.00	67.9%	19.5%	49.5%	24.8%	42.3%	0.0%	3.9%	2.3K	-131.1K	-1.4K	0.42	25.02	N/A	N/A	28	12	192	153
2018-01-17	$46.64	$40.00	61.1%	17.5%	47.9%	20.2%	41.1%	0.0%	23.3%	2.2K	-141.4K	-1.5K	0.40	24.70	N/A	N/A	30	12	194	158
2018-01-18	$46.00	$40.00	48.8%	14.0%	47.4%	11.8%	56.4%	0.0%	5.2%	3.3K	-91.8K	-1.8K	0.50	11.53	N/A	N/A	26	13	195	158
2018-01-19	$46.40	$40.00	36.7%	10.5%	37.3%	3.6%	36.5%	0.0%	18.9%	3.4K	-87.9K	-1.4K	0.38	66.96	N/A	N/A	33	12	196	158
2018-01-22	$46.00	$40.00	37.7%	10.8%	37.5%	4.3%	37.6%	0.0%	29.9%	3.9K	-101.7K	-1.6K	0.50	13.78	N/A	N/A	23	12	197	154
2018-01-23	$45.84	$40.00	68.0%	19.5%	36.0%	24.9%	64.4%	0.0%	-3.6%	3.7K	-74.4K	-1.8K	0.52	24.16	N/A	N/A	12	6	200	155
2018-01-24	$47.20	$40.00	64.4%	18.5%	36.4%	22.4%	60.8%	0.0%	13.3%	3.5K	-118.1K	-1.9K	0.24	48.61	N/A	N/A	25	6	200	155
2018-01-25	$48.80	$40.00	45.1%	12.9%	37.7%	9.3%	43.3%	0.0%	29.5%	3.8K	-194.0K	-1.9K	0.27	59.85	N/A	N/A	22	6	215	155
2018-01-26	$50.00	$40.00	57.4%	16.5%	38.3%	17.7%	64.4%	0.0%	-13.6%	4.4K	-222.8K	-2.1K	0.38	100.78	N/A	N/A	23	9	224	155
2018-01-29	$48.40	$40.00	52.2%	15.0%	37.9%	14.1%	50.0%	0.0%	19.0%	4.9K	-189.6K	-2.2K	0.40	23.55	N/A	N/A	23	9	233	159
2018-01-30	$47.44	$40.00	55.4%	15.9%	34.8%	16.3%	51.2%	0.0%	5.9%	5.3K	-172.8K	-1.9K	0.50	63.73	N/A	N/A	18	9	233	159
2018-01-31	$47.20	$40.00	51.3%	14.7%	34.6%	13.5%	49.0%	0.0%	17.4%	5.2K	-169.0K	-1.8K	0.50	15.40	N/A	N/A	18	9	233	159