NDLS Options History — February 2018 In February 2018, NDLS traded between $44.40 and $54.80. ATM implied volatility averaged 74.7%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded above realized volatility by 26.3% (HV 20d: 48.4%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.55.
Notable Days 2018-02-16 : Highest Volume — 170 contracts2018-02-05 : Largest IV spike — 54.9% change2018-02-06 : Highest IV Rank — 49.0%2018-02-08 : Largest Expected Move — 25.0%Monthly Statistics Metric Avg Min Max Open Close Price $49.38 $44.40 $54.80 $46.80 $50.24 Max Pain $40.00 $40.00 $40.00 $40.00 $40.00 ATM IV 74.7% 45.1% 103.5% 47.8% 78.4% Expected Move 21.4% 14.5% 25.0% 14.5% 22.5% HV 20d 48.4% 32.1% 64.3% 35.0% 64.2% HV 60d 51.7% 47.3% 55.0% 53.4% 53.7% IV Rank 29.4% 9.3% 49.0% 11.1% 31.9% IV Percentile 60.0% 3.6% 93.3% 8.3% 71.4% Term Structure -4.4% -27.0% 16.6% 10.9% -22.8% VWIV 70.9% 47.7% 89.8% 58.8% 75.9% Bid-Ask Spread % 56.25 25.03 94.19 60.48 68.68 Gamma HHI 0.83 0.53 0.99 0.63 0.91 Net GEX 10.3K 3.2K 20.6K 5.5K 6.9K Net DEX -277.8K -632.8K -30.0K -151.1K -236.4K Net VEX -2.4K -3.3K -1.7K -1.8K -2.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.55 0.12 1.09 0.53 1.09 Total Volume 58.474 23 170 23 40 Total OI 427.053 392 547 396 451
Daily Data (19 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 2018-02-01 $46.80 $40.00 47.8% 14.5% 35.0% 11.1% 58.8% 0.0% 10.9% 5.5K -151.1K -1.8K 0.53 60.48 N/A N/A 15 8 237 159 2018-02-02 $47.44 $40.00 45.1% 18.1% 35.1% 9.3% 56.5% 0.0% 13.3% 4.9K -136.1K -1.7K 0.45 90.01 N/A N/A 18 8 238 160 2018-02-05 $47.20 $40.00 70.0% 23.7% 35.3% 26.2% 77.5% 0.0% -9.6% 5.5K -167.9K -1.9K 0.44 94.19 N/A N/A 19 8 236 160 2018-02-06 $49.20 $40.00 103.5% 20.5% 37.0% 49.0% 85.9% 0.0% -27.0% 5.0K -243.8K -2.2K 0.24 51.02 N/A N/A 24 6 237 160 2018-02-07 $48.00 $40.00 77.2% 22.1% 32.1% 31.2% 72.8% 0.0% -6.5% 5.4K -142.1K -1.9K 0.20 44.28 N/A N/A 29 6 232 160 2018-02-08 $45.44 $40.00 87.2% 25.0% 37.9% 37.9% 89.8% 0.0% 15.3% 5.3K -77.0K -1.9K 0.56 50.19 N/A N/A 29 16 242 160 2018-02-09 $45.20 $40.00 85.8% 24.6% 37.7% 37.0% 47.7% 0.0% -6.7% 3.2K -35.8K -1.8K 0.30 34.26 N/A N/A 29 9 242 165 2018-02-12 $44.40 $40.00 84.9% 24.3% 37.3% 36.4% 72.2% 0.0% -5.2% 4.8K -30.0K -1.8K 0.81 31.05 N/A N/A 29 24 242 167 2018-02-13 $48.24 $40.00 68.8% 19.7% 47.8% 25.5% 53.3% 0.0% 16.6% 4.7K -107.4K -1.9K 0.60 39.06 N/A N/A 29 18 242 175 2018-02-14 $49.04 $40.00 85.8% 24.6% 48.0% 37.0% 69.1% 0.0% -4.3% 5.1K -162.9K -2.0K 0.15 80.99 N/A N/A 114 18 242 175 2018-02-15 $49.20 $40.00 68.7% 19.7% 47.6% 25.4% 72.8% 0.0% 9.7% 13.1K -337.9K -2.8K 0.12 60.67 N/A N/A 147 18 371 175 2018-02-16 $49.04 $40.00 79.1% 22.7% 47.6% 32.5% 76.8% 0.0% 0.5% 12.7K -313.3K -2.7K 0.14 25.03 N/A N/A 149 21 372 175 2018-02-20 $54.80 $40.00 85.9% 24.6% 60.9% 37.1% 85.7% 0.0% -20.9% 18.2K -605.9K -3.1K 0.58 33.40 N/A N/A 35 20 308 96 2018-02-21 $54.80 $40.00 82.1% 23.5% 60.9% 34.5% 81.9% 0.0% -15.4% 19.4K -632.8K -3.3K 0.80 61.70 N/A N/A 25 20 321 97 2018-02-22 $52.00 $40.00 70.7% 20.3% 64.1% 26.7% 72.2% 0.0% 2.4% 17.8K -478.1K -3.0K 0.83 66.70 N/A N/A 25 21 321 97 2018-02-23 $52.40 $40.00 64.8% 18.6% 63.2% 22.7% 60.4% 0.0% -20.3% 17.8K -462.6K -2.9K 0.86 56.41 N/A N/A 22 19 322 99 2018-02-26 $53.60 $40.00 65.6% 18.8% 63.1% 23.2% 72.1% 0.0% -6.5% 20.6K -531.0K -3.1K 0.56 60.23 N/A N/A 34 19 333 99 2018-02-27 $51.20 $40.00 67.5% 19.3% 64.3% 24.5% 65.4% 0.0% -6.7% 18.8K -427.0K -3.0K 1.09 60.50 N/A N/A 19 21 347 99 2018-02-28 $50.24 $40.00 78.4% 22.5% 64.2% 31.9% 75.9% 0.0% -22.8% 6.9K -236.4K -2.4K 1.09 68.68 N/A N/A 19 21 348 103
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