NDLS Options History — April 2018

In April 2018, NDLS traded between $58.24 and $62.64. ATM implied volatility averaged 65.6%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded above realized volatility by 10.4% (HV 20d: 55.2%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2018-04-02: Highest Volume — 62 contracts
  • 2018-04-10: Largest IV spike — 26.6% change
  • 2018-04-10: Highest IV Rank — 31.0%
  • 2018-04-10: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.89$58.24$62.64$58.24$58.24
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV65.6%55.1%70.4%64.6%69.7%
Expected Move19.2%15.8%21.2%18.5%20.0%
HV 20d55.2%34.3%76.4%76.3%34.3%
HV 60d61.8%60.5%62.7%61.7%61.8%
IV Rank27.2%18.9%31.0%26.4%30.4%
IV Percentile40.1%13.5%57.9%35.7%57.9%
Term Structure-1.8%-9.2%12.0%4.4%-9.2%
VWIV65.6%57.4%72.6%64.7%68.8%
Skew 25d5.7%-10.0%27.9%9.4%5.5%
Skew 10d10.4%-15.4%41.5%23.5%9.7%
Call IV 25d63.0%45.5%67.9%63.1%45.5%
Put IV 25d68.7%51.0%73.4%72.5%51.0%
Bid-Ask Spread %27.6013.9357.4228.8618.51
Gamma HHI0.680.620.790.660.71
Net GEX22.3K17.3K36.0K20.6K19.3K
Net DEX-788.6K-1.1M-592.6K-706.8K-592.6K
Net VEX-3.7K-4.0K-3.2K-3.9K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.172.970.290.66
Total Volume39.66721626228
Total OI549505598546516

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$58.24$60.0064.6%18.5%76.3%26.4%64.7%9.4%4.4%20.6K-706.8K-3.9K0.2928.86N/AN/A4814393153
2018-04-03$59.20$60.0055.1%15.8%76.4%18.9%57.4%4.7%12.0%22.4K-783.3K-3.9K0.8955.24N/AN/A1614393153
2018-04-04$60.64$60.0063.4%18.2%74.0%25.5%63.4%5.5%7.4%21.9K-904.0K-4.0K0.9652.93N/AN/A1313394153
2018-04-05$60.40$60.0065.6%20.6%74.0%27.2%72.3%5.4%-5.1%21.7K-885.6K-4.0K2.3123.24N/AN/A1229394154
2018-04-06$60.80$60.0067.6%20.4%73.2%28.8%71.6%5.9%-2.6%21.9K-879.1K-4.0K2.2534.43N/AN/A1329395161
2018-04-09$61.20$60.0055.6%20.7%73.2%19.2%72.6%0.0%-4.9%23.5K-915.2K-3.8K2.9720.60N/AN/A1029395161
2018-04-10$60.24$60.0070.4%21.2%71.0%31.0%71.3%5.2%-6.8%22.2K-884.4K-4.0K1.4323.50N/AN/A1622401161
2018-04-11$62.64$60.0066.0%18.9%68.4%27.5%63.9%0.0%0.5%25.3K-1.1M-3.9K1.0327.69N/AN/A2424401162
2018-04-12$62.64$60.0065.6%18.8%66.5%27.2%63.7%5.8%5.9%24.1K-1.0M-3.8K1.1657.42N/AN/A2427394165
2018-04-13$58.80$60.0068.1%19.5%57.0%29.2%66.7%5.9%-1.9%22.2K-713.3K-3.7K1.3427.35N/AN/A1520394168
2018-04-16$59.20$60.0066.7%19.1%45.3%28.1%66.3%5.6%-5.3%24.6K-704.3K-3.6K1.2331.40N/AN/A2025395177
2018-04-17$58.40$60.0064.7%18.5%45.0%26.5%57.4%4.0%0.9%24.4K-616.5K-3.5K1.1714.79N/AN/A1923399177
2018-04-18$60.24$60.0067.1%19.2%43.3%28.4%66.5%7.6%-2.0%28.3K-784.9K-3.6K0.5325.27N/AN/A3418399177
2018-04-19$60.64$60.0064.9%18.6%42.9%26.7%62.4%5.4%1.6%36.0K-895.9K-3.7K0.6930.93N/AN/A139413179
2018-04-20$60.64$60.0067.6%19.4%41.3%28.8%65.8%5.2%-8.3%17.7K-1.0M-3.6K0.7913.93N/AN/A1512417181
2018-04-23$60.00$60.0067.2%19.3%41.2%28.5%66.2%9.9%-4.4%18.2K-714.9K-3.5K0.8418.19N/AN/A1110340165
2018-04-24$58.64$60.0068.5%19.6%41.5%29.5%65.0%-10.0%-5.9%17.3K-608.2K-3.3K0.1920.05N/AN/A458341166
2018-04-25$59.20$60.0066.6%19.1%39.3%28.0%62.5%27.9%-3.6%18.3K-642.6K-3.4K0.1817.85N/AN/A438345167
2018-04-26$59.20$60.0068.1%19.5%39.3%29.2%64.8%9.6%-6.7%18.7K-650.5K-3.4K0.1716.59N/AN/A488347167
2018-04-27$58.40$60.0064.5%18.5%36.7%26.3%63.3%-9.8%-3.5%19.3K-605.7K-3.4K0.5020.85N/AN/A168349167
2018-04-30$58.24$60.0069.7%20.0%34.3%30.4%68.8%5.5%-9.2%19.3K-592.6K-3.2K0.6618.51N/AN/A1711349167