NDLS Options History — May 2018

In May 2018, NDLS traded between $57.20 and $78.56. ATM implied volatility averaged 50.3%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 5.8% (HV 20d: 56.2%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.25.

Notable Days

  • 2018-05-31: Highest Volume — 223 contracts
  • 2018-05-29: Largest IV spike — 78.8% change
  • 2018-05-08: Highest IV Rank — 32.9%
  • 2018-05-29: Largest Expected Move — 18.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.03$57.20$78.56$58.24$68.80
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV50.3%34.2%72.8%63.2%34.6%
Expected Move13.8%9.8%18.4%18.1%9.9%
HV 20d56.2%32.5%73.7%33.8%73.7%
HV 60d63.2%58.8%67.3%61.7%62.4%
IV Rank15.0%2.1%32.9%25.3%2.5%
IV Percentile17.7%0.4%69.4%31.7%0.8%
Term Structure5.6%-9.0%21.9%-3.3%8.1%
VWIV47.2%29.4%63.5%63.5%40.7%
Skew 25d13.4%-12.0%67.5%26.3%7.5%
Skew 10d20.4%-12.2%91.2%42.1%6.7%
Call IV 25d41.4%25.5%62.5%45.3%30.1%
Put IV 25d54.8%30.7%105.8%71.6%37.6%
Bid-Ask Spread %23.698.1161.8229.7012.14
Gamma HHI0.640.460.830.760.59
Net GEX23.2K10.3K64.6K20.5K10.3K
Net DEX-1.3M-3.0M-526.4K-550.6K-813.7K
Net VEX-3.3K-3.9K-2.1K-3.2K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.233.651.030.63
Total Volume74.7732522325223
Total OI556.409379789522485

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$58.24$60.0063.2%18.1%33.8%25.3%63.5%26.3%-3.3%20.5K-550.6K-3.2K1.0329.70N/AN/A1213351171
2018-05-02$58.40$60.0061.9%17.7%32.5%24.2%62.1%5.7%0.5%21.5K-526.4K-3.1K0.2347.11N/AN/A5513351173
2018-05-03$57.60$60.0061.5%15.7%32.8%23.9%52.1%-0.8%5.3%26.8K-605.4K-3.4K0.7938.00N/AN/A1411397173
2018-05-04$57.20$60.0070.8%16.6%32.7%31.4%56.3%19.5%2.0%25.0K-625.0K-3.4K0.8815.62N/AN/A1513401174
2018-05-07$58.80$60.0067.0%16.2%34.3%28.3%54.3%39.8%1.1%29.6K-721.5K-3.3K0.9821.07N/AN/A2625402177
2018-05-08$60.40$60.0072.8%15.6%35.3%32.9%52.7%0.0%-2.2%30.1K-863.3K-3.3K1.2716.10N/AN/A1924406185
2018-05-09$59.04$60.0056.6%16.2%33.0%20.0%47.7%47.7%-0.8%30.4K-719.0K-3.2K1.8613.76N/AN/A1426413184
2018-05-10$62.00$60.0062.4%17.9%37.8%24.6%58.9%28.0%-4.2%31.7K-1.0M-3.2K1.0220.25N/AN/A6465413189
2018-05-11$72.56$60.0034.9%10.0%62.4%2.7%38.8%8.6%10.3%19.5K-2.5M-2.1K0.2461.82N/AN/A11728452236
2018-05-14$76.00$60.0044.3%12.7%63.6%10.3%44.3%-2.8%6.5%38.2K-2.7M-2.4K0.5418.95N/AN/A5630482234
2018-05-15$78.56$60.0045.1%12.9%63.2%10.8%45.0%0.1%5.5%64.6K-3.0M-2.7K0.8010.21N/AN/A2722503236
2018-05-16$74.40$60.0049.4%14.2%67.5%14.3%49.1%-12.0%2.0%12.4K-2.4M-2.7K0.5217.31N/AN/A4322493238
2018-05-17$76.24$60.0045.7%13.1%67.6%11.4%45.7%-5.9%4.9%14.0K-2.5M-2.9K0.6615.45N/AN/A3523516238
2018-05-18$74.80$60.0043.0%12.3%68.4%9.2%42.7%-4.2%7.4%17.7K-2.6M-3.7K0.4814.66N/AN/A5728551238
2018-05-21$75.60$60.0039.3%11.3%67.9%6.3%39.6%67.5%6.5%16.9K-1.2M-3.7K0.4728.86N/AN/A4722269110
2018-05-22$72.40$60.0037.1%10.6%69.7%4.5%33.4%8.7%11.4%17.4K-1.1M-3.8K0.7836.25N/AN/A4838270110
2018-05-23$74.56$60.0034.2%9.8%70.0%2.1%29.4%10.3%21.9%17.5K-1.2M-3.8K0.7836.74N/AN/A4838272122
2018-05-24$73.60$60.0036.4%10.5%70.4%4.0%35.6%11.1%17.9%17.0K-1.1M-3.9K3.6536.83N/AN/A1140273122
2018-05-25$70.80$60.0035.9%10.3%72.1%3.6%34.1%-1.1%17.0%16.3K-985.7K-3.8K2.738.16N/AN/A1234273125
2018-05-29$68.56$60.0064.3%18.4%73.5%26.1%57.0%6.0%-9.0%17.6K-863.7K-3.8K3.5814.12N/AN/A1552278127
2018-05-30$68.00$60.0047.2%13.5%73.7%12.5%54.2%21.5%15.3%15.5K-758.8K-3.7K3.488.11N/AN/A2793280148
2018-05-31$68.80$60.0034.6%9.9%73.7%2.5%40.7%7.5%8.1%10.3K-813.7K-3.9K0.6312.14N/AN/A13786291194