NDLS Options History — July 2018

In July 2018, NDLS traded between $79.44 and $99.60. ATM implied volatility averaged 72.8%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 19.3%. IV traded above realized volatility by 26.0% (HV 20d: 46.8%). Max pain ranged from $60.00 to $100.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2018-07-19: Highest Volume — 391 contracts
  • 2018-07-05: Largest IV spike — 42.6% change
  • 2018-07-10: Highest IV Rank — 69.6%
  • 2018-07-18: Largest Expected Move — 26.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.05$79.44$99.60$99.04$83.60
Max Pain$63.81$60.00$100.00$60.00$80.00
ATM IV72.8%47.0%118.8%56.5%55.3%
Expected Move19.3%13.5%26.3%16.2%15.9%
HV 20d46.8%35.8%53.6%51.8%51.0%
HV 60d57.1%54.6%61.8%56.6%61.8%
IV Rank32.9%12.4%69.6%19.9%19.0%
IV Percentile55.5%11.9%99.2%25.8%24.6%
Term Structure-4.7%-20.8%13.6%9.6%-1.6%
VWIV69.6%50.1%92.9%54.9%54.8%
Skew 25d3.0%-12.0%27.8%23.2%27.8%
Skew 10d2.2%-38.6%78.8%37.3%78.8%
Call IV 25d70.2%43.8%100.6%44.1%63.2%
Put IV 25d73.2%53.1%99.4%67.4%90.9%
Bid-Ask Spread %31.2711.8259.1921.3912.38
Gamma HHI0.440.320.560.470.48
Net GEX73.3K9.7K106.0K70.1K17.0K
Net DEX-7.3M-11.1M3.7K-10.6M-1.7M
Net VEX-11.8K-14.6K-8.6K-11.9K-8.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.102.491.792.27
Total Volume200.3335539164303
Total OI1,738.3331,1852,2911,7241,360

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$99.04$60.0056.5%16.2%51.8%19.9%54.9%23.2%9.6%70.1K-10.6M-11.9K1.7921.39N/AN/A23411,325399
2018-07-03$97.20$60.0053.4%15.3%53.6%17.5%53.4%16.0%13.6%71.8K-10.2M-12.1K1.9016.21N/AN/A19361,318399
2018-07-05$95.60$60.0076.1%19.1%52.2%35.6%67.2%3.4%-6.1%78.0K-9.8M-12.0K1.7122.88N/AN/A21361,320394
2018-07-06$95.20$60.00103.5%20.3%50.1%57.4%74.1%3.1%-7.2%76.8K-9.6M-13.1K0.1459.19N/AN/A256371,325395
2018-07-09$95.44$60.00118.4%23.3%49.8%69.3%87.4%-4.0%-14.2%95.6K-10.3M-14.6K0.2355.47N/AN/A171401,555394
2018-07-10$95.84$60.00118.8%22.8%48.9%69.6%82.5%0.4%-11.8%102.8K-10.2M-14.0K0.1537.41N/AN/A162251,564404
2018-07-11$94.40$60.0082.5%23.7%49.0%40.7%88.7%-7.4%-14.6%100.6K-10.0M-14.3K0.1050.57N/AN/A167171,573410
2018-07-12$99.20$60.0077.9%22.3%49.6%37.0%86.9%-3.4%-12.1%104.8K-11.1M-14.2K0.4639.34N/AN/A40181,583409
2018-07-13$96.80$60.0075.2%21.5%51.3%34.8%86.9%-4.8%-4.9%100.2K-10.5M-13.7K1.1457.43N/AN/A39441,587410
2018-07-16$99.60$60.0083.4%23.9%50.6%41.4%87.2%-3.6%-14.6%105.1K-11.1M-13.1K1.1535.68N/AN/A44511,589434
2018-07-17$97.20$60.0087.0%24.9%49.9%44.3%88.3%0.1%-16.2%97.2K-9.9M-13.8K0.3941.07N/AN/A179691,542464
2018-07-18$95.20$60.0091.8%26.3%41.1%48.1%92.9%-1.2%-20.8%106.0K-9.4M-14.1K1.0020.61N/AN/A1711711,590487
2018-07-19$95.04$60.0058.4%16.7%40.9%21.4%59.0%-0.5%1.0%85.5K-9.2M-11.5K0.2932.19N/AN/A303881,696595
2018-07-20$94.40$60.0053.8%15.4%35.8%17.8%54.0%-1.3%5.4%79.8K-8.5M-10.4K0.1323.64N/AN/A276361,615599
2018-07-23$96.00$60.0047.0%13.5%36.4%12.4%50.1%13.7%6.9%78.2K-3.5M-9.3K0.1718.56N/AN/A14425761424
2018-07-24$91.60$60.0050.7%14.5%37.8%15.4%56.8%8.0%3.4%60.3K-2.9M-9.0K1.1315.72N/AN/A4248763427
2018-07-25$90.40$60.0061.4%17.6%35.9%23.8%61.7%3.5%-9.0%56.0K-2.8M-9.7K2.0714.06N/AN/A50103785444
2018-07-26$81.60$60.0064.7%18.5%48.6%26.5%66.8%-1.9%3.8%28.7K-1.6M-9.4K2.4953.98N/AN/A98243789504
2018-07-27$79.44$100.0054.9%15.7%48.9%18.7%53.2%3.4%-2.3%9.7K3.7K-9.0K2.4317.04N/AN/A83201829666
2018-07-30$81.20$80.0058.1%16.6%49.6%21.2%55.6%-12.0%-6.0%16.0K-1.3M-9.1K2.1911.82N/AN/A90197836542
2018-07-31$83.60$80.0055.3%15.9%51.0%19.0%54.8%27.8%-1.6%17.0K-1.7M-8.6K2.2712.38N/AN/A93210837523