NDLS Options History — August 2018

In August 2018, NDLS traded between $77.84 and $98.80. ATM implied volatility averaged 52.6%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 4.7% (HV 20d: 48.0%). Max pain ranged from $80.00 to $140.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.20.

Notable Days

  • 2018-08-17: Highest Volume — 294 contracts
  • 2018-08-13: Largest IV spike — 49.2% change
  • 2018-08-14: Highest IV Rank — 36.8%
  • 2018-08-21: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.37$77.84$98.80$84.40$98.80
Max Pain$105.22$80.00$140.00$80.00$100.00
ATM IV52.6%43.3%77.6%54.1%46.0%
Expected Move14.5%12.4%16.2%15.5%13.2%
HV 20d48.0%30.5%56.2%51.2%32.2%
HV 60d52.5%47.7%62.3%61.6%47.7%
IV Rank16.9%9.4%36.8%18.1%11.6%
IV Percentile23.6%6.7%81.0%22.6%10.7%
Term Structure4.3%-6.1%24.7%-1.7%1.8%
VWIV48.8%41.9%54.2%50.2%45.0%
Skew 25d6.5%-16.2%80.7%16.5%-12.3%
Skew 10d23.1%-23.7%125.2%79.9%-19.8%
Call IV 25d51.9%44.2%66.8%61.4%52.7%
Put IV 25d58.4%35.6%127.2%77.9%40.4%
Bid-Ask Spread %30.2011.5498.3311.6811.92
Gamma HHI0.350.270.520.520.32
Net GEX23.7K8.3K43.3K20.6K43.3K
Net DEX-1.7M-2.3M-1.0M-1.8M-2.3M
Net VEX-8.7K-10.5K-6.7K-9.0K-10.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.233.450.871.34
Total Volume1577529419075
Total OI1,142.7837431,5011,374754

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-08-01$84.40$80.0054.1%15.5%51.2%18.1%50.2%16.5%-1.7%20.6K-1.8M-9.0K0.8711.68N/AN/A10288840534
2018-08-02$80.80$80.0051.7%14.8%52.8%16.1%54.2%-16.2%0.1%8.8K-1.4M-8.5K0.6311.60N/AN/A10566847535
2018-08-03$79.20$80.0052.6%15.1%52.9%16.9%52.6%80.7%-2.8%8.8K-1.1M-8.1K0.7713.00N/AN/A8364861532
2018-08-06$77.84$100.0058.5%15.2%52.8%21.5%46.6%2.0%4.6%10.3K-1.0M-7.7K0.6627.09N/AN/A10167869524
2018-08-07$79.20$100.0053.7%14.6%53.5%17.7%44.6%3.6%9.0%8.3K-1.2M-7.7K0.6724.55N/AN/A10067887531
2018-08-08$82.40$100.0050.1%15.5%56.2%14.9%49.6%-6.2%-1.5%9.9K-1.7M-7.0K1.1933.16N/AN/A5464892531
2018-08-09$84.24$100.0055.3%14.5%53.3%19.0%41.9%-4.9%4.7%17.9K-1.9M-7.9K1.1319.80N/AN/A5562892531
2018-08-10$86.00$100.0046.0%14.2%53.8%11.6%50.3%11.9%6.3%29.0K-2.2M-7.8K1.3415.16N/AN/A5269892530
2018-08-13$83.44$120.0068.7%14.6%52.9%29.6%51.5%38.6%6.8%15.4K-2.0M-6.7K2.4698.33N/AN/A61150897538
2018-08-14$85.20$140.0077.6%15.4%53.6%36.8%42.1%18.7%4.3%17.0K-1.4M-7.4K1.3818.49N/AN/A6184897604
2018-08-15$84.80$140.0054.7%15.7%53.3%18.5%49.2%-2.9%6.2%12.5K-1.5M-7.1K1.3060.71N/AN/A6584893604
2018-08-16$87.04$140.0051.2%14.7%54.5%15.8%54.0%9.3%6.5%19.4K-1.7M-7.2K1.4019.22N/AN/A6084891604
2018-08-17$90.00$140.0043.3%12.4%56.1%9.4%46.1%-4.6%16.8%17.7K-2.0M-7.0K0.3873.84N/AN/A21480884604
2018-08-20$89.44$100.0048.8%14.0%55.6%13.8%49.3%0.6%24.7%31.6K-1.3M-9.7K0.2318.05N/AN/A18042493260
2018-08-21$88.64$100.0056.6%16.2%53.3%20.0%52.6%7.2%-6.1%31.4K-1.3M-9.6K0.2594.33N/AN/A18245489263
2018-08-22$90.00$100.0046.9%13.4%53.4%12.3%48.4%-0.6%3.9%31.1K-1.5M-10.1K0.9720.28N/AN/A5250501267
2018-08-23$92.40$100.0052.8%15.1%38.1%17.0%51.5%5.4%0.2%33.2K-1.7M-10.5K0.7522.13N/AN/A6750505274
2018-08-24$93.44$100.0047.5%13.6%36.1%12.8%46.8%-8.6%4.8%33.8K-1.8M-10.4K1.0128.99N/AN/A5050522274
2018-08-27$92.40$100.0049.0%14.1%36.3%14.0%48.6%5.7%3.1%33.6K-1.7M-10.1K3.4514.62N/AN/A52179522274
2018-08-28$93.04$100.0047.8%13.7%35.3%13.0%48.9%3.6%4.2%35.7K-1.8M-10.0K3.2833.44N/AN/A52171512231
2018-08-29$92.80$100.0049.1%14.1%35.4%14.0%49.8%-3.2%1.1%37.0K-1.9M-9.8K0.9912.62N/AN/A4444516231
2018-08-30$94.00$100.0048.2%13.8%30.5%13.3%47.9%6.1%3.2%39.6K-1.9M-10.0K1.0611.54N/AN/A4143521231
2018-08-31$98.80$100.0046.0%13.2%32.2%11.6%45.0%-12.3%1.8%43.3K-2.3M-10.0K1.3411.92N/AN/A3243520234