NDLS Options History — March 2018

In March 2018, NDLS traded between $49.44 and $63.20. ATM implied volatility averaged 77.8%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 19.1%. IV traded above realized volatility by 2.5% (HV 20d: 75.3%). 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 14 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2018-03-16: Highest Volume — 152 contracts
  • 2018-03-14: Largest IV drop — 55.3% change
  • 2018-03-13: Highest IV Rank — 85.4%
  • 2018-03-02: Largest Expected Move — 23.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.40$49.44$63.20$51.20$60.40
Max Pain$56.19$40.00$60.00$40.00$60.00
ATM IV77.8%56.5%156.9%76.3%57.3%
Expected Move19.1%16.2%23.7%21.9%16.4%
HV 20d75.3%64.4%87.4%64.4%78.9%
HV 60d57.4%52.0%62.5%53.4%61.1%
IV Rank33.6%19.9%85.4%30.5%20.6%
IV Percentile54.4%17.1%99.6%67.1%17.9%
Term Structure1.9%-15.1%19.9%-15.1%2.8%
VWIV65.7%42.9%82.7%76.2%48.6%
Skew 25d6.4%3.1%13.2%6.4%7.6%
Skew 10d14.5%0.7%25.6%17.4%25.6%
Call IV 25d65.9%63.9%67.9%65.9%67.2%
Put IV 25d72.3%67.6%81.1%72.3%74.8%
Bid-Ask Spread %44.2116.5574.8244.8654.28
Gamma HHI0.800.610.970.960.63
Net GEX20.7K8.5K34.9K18.8K22.8K
Net DEX-776.3K-2.0M-236.2K-475.2K-881.1K
Net VEX-3.5K-4.2K-2.7K-3.0K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.061.190.360.30
Total Volume70.143261524162
Total OI510.952401602451545

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$51.20$40.0076.3%21.9%64.4%30.5%76.2%0.0%-15.1%18.8K-475.2K-3.0K0.3644.86N/AN/A3011348103
2018-03-02$55.20$40.0082.5%23.7%68.9%34.8%82.7%0.0%-12.0%25.7K-679.3K-3.3K0.5056.76N/AN/A2211358106
2018-03-05$55.04$40.0075.8%19.6%69.0%30.2%71.1%0.0%0.9%29.6K-624.5K-3.2K0.3932.81N/AN/A197362106
2018-03-06$58.40$40.0089.0%20.2%71.2%39.2%63.6%0.0%-0.5%33.3K-880.5K-3.3K1.1930.65N/AN/A1822362104
2018-03-07$58.40$60.0088.9%20.9%70.3%39.1%64.3%0.0%1.0%33.4K-924.0K-3.5K0.7052.30N/AN/A3222367118
2018-03-08$56.80$60.00100.8%21.1%70.5%47.2%73.4%0.0%-2.7%30.4K-788.5K-3.4K0.4040.05N/AN/A5622371120
2018-03-09$56.64$60.00101.8%22.0%66.7%47.9%73.5%0.0%-3.9%34.9K-886.2K-3.6K0.7360.94N/AN/A3424409120
2018-03-12$54.00$60.00118.9%20.9%69.7%59.5%74.4%0.0%-3.9%10.2K-426.2K-3.0K0.7758.77N/AN/A3023421131
2018-03-13$51.20$60.00156.9%18.4%72.6%85.4%66.3%0.0%0.4%9.4K-242.9K-2.7K0.2959.28N/AN/A7020425131
2018-03-14$49.44$60.0070.1%20.1%68.2%30.8%82.3%0.0%19.9%8.5K-236.2K-2.7K0.4532.77N/AN/A3918442132
2018-03-15$56.00$60.0064.5%18.5%81.0%26.3%65.4%0.0%-5.0%13.6K-445.9K-2.9K0.2122.76N/AN/A6514465137
2018-03-16$61.60$60.0059.7%17.1%86.8%22.5%59.4%0.0%10.2%14.4K-2.0M-3.3K0.0622.21N/AN/A1439456142
2018-03-19$60.40$60.0064.8%18.6%87.4%26.5%64.9%6.4%4.7%14.8K-755.9K-3.3K0.1674.82N/AN/A274273128
2018-03-20$63.20$60.0058.0%16.6%80.2%21.1%63.2%3.8%9.9%16.6K-938.5K-3.4K0.0956.12N/AN/A11711280129
2018-03-21$62.00$60.0061.5%17.6%80.7%24.0%42.9%3.1%2.0%20.4K-1.1M-4.2K0.1225.42N/AN/A8710365137
2018-03-22$60.00$60.0056.5%16.2%79.1%19.9%69.8%7.2%10.3%19.3K-870.6K-4.2K0.1233.27N/AN/A749379140
2018-03-23$59.20$60.0062.6%18.0%79.4%24.8%74.0%13.2%0.4%20.3K-820.1K-4.1K0.1847.47N/AN/A7513384139
2018-03-26$60.24$60.0062.2%17.8%79.3%24.5%52.1%6.3%7.7%20.3K-911.4K-4.1K0.4752.82N/AN/A5325385136
2018-03-27$58.00$60.0063.0%18.1%78.7%25.1%56.9%3.7%6.3%18.4K-734.2K-4.0K0.5316.55N/AN/A5127385147
2018-03-28$58.00$60.0063.3%18.1%78.1%25.4%53.8%7.6%7.0%18.8K-764.2K-4.1K0.2753.49N/AN/A5314391151
2018-03-29$60.40$60.0057.3%16.4%78.9%20.6%48.6%0.0%2.8%22.8K-881.1K-4.0K0.3054.28N/AN/A4814393152