NDLS Options History — June 2018

In June 2018, NDLS traded between $66.56 and $102.40. ATM implied volatility averaged 50.1%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded below realized volatility by 9.2% (HV 20d: 59.2%). 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 21 of 21 days. Put/call ratio averaged 2.24.

Notable Days

  • 2018-06-19: Highest Volume — 691 contracts
  • 2018-06-13: Largest IV drop — 23.7% change
  • 2018-06-12: Highest IV Rank — 24.3%
  • 2018-06-19: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.20$66.56$102.40$67.60$98.00
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV50.1%32.9%62.0%32.9%54.3%
Expected Move14.3%9.4%17.1%9.4%15.6%
HV 20d59.2%47.3%77.0%73.9%53.2%
HV 60d57.5%53.5%62.7%62.6%56.6%
IV Rank14.8%1.1%24.3%1.1%18.2%
IV Percentile17.4%0.4%36.1%0.4%21.4%
Term Structure7.6%3.9%12.2%7.8%8.8%
VWIV45.8%35.6%55.7%44.2%51.3%
Skew 25d3.1%-11.1%35.5%-2.3%14.5%
Skew 10d15.0%-5.8%92.3%27.3%24.1%
Call IV 25d47.5%30.5%64.6%44.5%46.5%
Put IV 25d50.6%36.7%92.9%42.2%61.0%
Bid-Ask Spread %26.879.6174.7710.5027.69
Gamma HHI0.510.440.660.590.45
Net GEX56.4K24.0K92.2K26.3K78.3K
Net DEX-6.5M-11.1M-1.3M-1.4M-10.5M
Net VEX-8.9K-13.6K-4.3K-4.7K-11.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.240.108.925.571.61
Total Volume221.0486269111367
Total OI1,237.4766111,7626111,721

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$67.60$60.0032.9%9.4%73.9%1.1%44.2%-2.3%7.8%26.3K-1.4M-4.7K5.5710.50N/AN/A1796416195
2018-06-04$66.56$60.0035.9%12.2%74.1%3.6%42.1%-3.3%5.6%25.1K-1.3M-4.8K7.0534.30N/AN/A1496421210
2018-06-05$67.84$60.0041.1%13.1%73.9%7.7%45.3%15.1%8.4%24.0K-1.4M-4.7K8.9243.88N/AN/A1196424210
2018-06-06$72.24$60.0038.8%10.9%76.2%5.8%37.7%6.9%12.2%25.0K-1.8M-4.3K1.4333.69N/AN/A6999424210
2018-06-07$76.40$60.0044.9%14.4%77.0%10.7%40.7%-1.8%5.4%28.3K-2.5M-4.9K0.1013.82N/AN/A39939477212
2018-06-08$76.00$60.0046.9%14.0%76.1%12.3%36.4%-1.9%6.3%50.3K-4.4M-7.8K0.2811.12N/AN/A13337791215
2018-06-11$74.80$60.0056.9%13.9%53.0%20.2%42.2%-4.5%8.7%55.5K-4.8M-7.9K0.659.61N/AN/A5737874215
2018-06-12$77.44$60.0062.0%14.1%51.8%24.3%42.5%-1.4%7.3%61.5K-5.4M-7.6K1.2411.23N/AN/A3037905215
2018-06-13$75.84$60.0047.3%13.6%50.9%12.6%35.6%-5.3%7.7%58.1K-5.1M-7.6K0.1610.06N/AN/A19532898215
2018-06-14$77.20$60.0048.6%13.9%47.3%13.7%46.6%-0.5%7.4%55.9K-5.8M-7.5K0.1311.47N/AN/A23932963215
2018-06-15$80.40$60.0046.5%13.3%48.7%11.9%46.4%6.2%9.8%49.6K-6.8M-7.0K0.3214.80N/AN/A98311,011215
2018-06-18$84.40$60.0055.6%15.9%50.6%19.2%55.7%35.5%4.0%35.5K-5.9M-6.0K0.1041.47N/AN/A31132832174
2018-06-19$92.00$60.0059.7%17.1%58.0%22.5%51.1%-11.1%12.0%60.6K-8.0M-11.7K0.4743.62N/AN/A4702211,089308
2018-06-20$91.20$60.0053.8%15.4%55.1%17.8%54.8%2.4%6.5%92.2K-8.2M-13.4K0.3926.86N/AN/A3951551,242375
2018-06-21$96.40$60.0052.9%15.2%56.9%17.0%45.1%-1.4%6.1%77.2K-10.7M-13.5K2.2974.77N/AN/A751731,383379
2018-06-22$96.40$60.0052.9%15.2%56.3%17.1%45.4%-0.8%8.0%78.9K-10.2M-13.6K5.4532.02N/AN/A311701,341391
2018-06-25$99.60$60.0052.5%15.0%53.2%16.7%47.6%18.5%9.1%78.8K-10.8M-11.6K5.6124.16N/AN/A291601,325391
2018-06-26$102.40$60.0053.6%15.4%50.0%17.6%47.6%4.5%7.0%68.7K-11.1M-12.7K3.6222.76N/AN/A431541,315391
2018-06-27$98.64$60.0058.0%16.6%53.1%21.2%52.1%-1.6%7.9%73.6K-10.1M-12.3K0.2426.77N/AN/A162381,284392
2018-06-28$96.80$60.0056.2%16.1%54.7%19.7%51.7%-2.1%3.9%81.1K-10.3M-12.2K1.4239.74N/AN/A26361,328395
2018-06-29$98.00$60.0054.3%15.6%53.2%18.2%51.3%14.5%8.8%78.3K-10.5M-11.7K1.6127.69N/AN/A26411,326395