NDLS Options History — September 2018

In September 2018, NDLS traded between $95.20 and $102.64. ATM implied volatility averaged 49.4%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 19.8% (HV 20d: 29.7%). Max pain ranged from $100.00 to $100.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.42.

Notable Days

2018-09-20: Highest Volume — 115 contracts
2018-09-27: Largest IV drop — 9.2% change
2018-09-11: Highest IV Rank — 16.3%
2018-09-10: Largest Expected Move — 15.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$98.59	$95.20	$102.64	$98.00	$96.40
Max Pain	$100.00	$100.00	$100.00	$100.00	$100.00
ATM IV	49.4%	43.9%	51.9%	47.9%	45.0%
Expected Move	14.3%	12.6%	15.7%	13.7%	12.9%
HV 20d	29.7%	27.3%	31.7%	31.2%	31.4%
HV 60d	43.2%	39.9%	47.7%	47.7%	40.3%
IV Rank	14.3%	9.9%	16.3%	13.1%	10.8%
IV Percentile	18.8%	7.5%	24.2%	16.3%	9.1%
Term Structure	10.6%	1.9%	16.2%	3.6%	15.0%
VWIV	50.4%	44.4%	54.6%	50.6%	44.4%
Skew 25d	-5.8%	-16.9%	5.4%	-15.6%	-15.3%
Skew 10d	-8.2%	-27.3%	12.3%	-25.4%	-27.0%
Call IV 25d	53.9%	46.0%	59.2%	54.4%	52.3%
Put IV 25d	48.1%	37.1%	59.5%	38.8%	37.1%
Bid-Ask Spread %	26.25	10.29	41.10	12.39	13.78
Gamma HHI	0.37	0.32	0.43	0.32	0.39
Net GEX	52.3K	43.6K	65.0K	43.9K	57.5K
Net DEX	-2.4M	-2.8M	-2.1M	-2.2M	-2.1M
Net VEX	-9.2K	-10.0K	-8.1K	-9.4K	-8.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.42	0.82	2.00	1.25	1.16
Total Volume	76.789	43	115	93	45
Total OI	766.684	717	810	744	725

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2018-09-04	$98.00	$100.00	47.9%	13.7%	31.2%	13.1%	50.6%	-15.6%	3.6%	43.9K	-2.2M	-9.4K	1.25	12.39	N/A	N/A	41	52	513	231
2018-09-05	$97.44	$100.00	51.0%	14.6%	31.7%	15.6%	49.4%	-2.3%	1.9%	45.2K	-2.2M	-10.0K	1.37	10.29	N/A	N/A	40	55	535	244
2018-09-06	$96.00	$100.00	51.5%	15.3%	31.0%	16.0%	53.5%	5.4%	4.5%	43.6K	-2.1M	-10.0K	1.44	32.36	N/A	N/A	38	55	535	245
2018-09-07	$96.40	$100.00	51.8%	14.6%	30.5%	16.2%	51.1%	-5.1%	10.1%	43.6K	-2.1M	-10.0K	1.38	33.49	N/A	N/A	40	55	535	245
2018-09-10	$98.80	$100.00	50.4%	15.7%	30.8%	15.1%	54.6%	-4.4%	7.8%	47.6K	-2.4M	-9.8K	2.00	33.85	N/A	N/A	28	56	535	245
2018-09-11	$97.60	$100.00	51.9%	15.0%	28.5%	16.3%	52.6%	-0.1%	9.8%	46.5K	-2.2M	-9.9K	1.79	23.88	N/A	N/A	30	53	537	245
2018-09-12	$100.00	$100.00	49.7%	14.3%	28.7%	14.6%	52.7%	3.8%	11.7%	50.6K	-2.5M	-9.9K	1.37	20.80	N/A	N/A	34	47	539	244
2018-09-13	$100.80	$100.00	51.7%	14.8%	28.3%	16.1%	52.6%	-4.1%	11.1%	49.9K	-2.6M	-9.8K	1.33	31.32	N/A	N/A	33	44	541	248
2018-09-14	$102.64	$100.00	50.7%	14.5%	27.8%	15.3%	53.5%	0.3%	12.2%	53.9K	-2.8M	-9.4K	1.59	27.94	N/A	N/A	31	49	543	243
2018-09-17	$100.40	$100.00	50.7%	14.5%	28.1%	15.3%	50.5%	-10.2%	16.2%	52.8K	-2.5M	-9.4K	1.67	37.65	N/A	N/A	30	50	542	244
2018-09-18	$101.60	$100.00	49.1%	14.1%	27.8%	14.1%	48.6%	-8.1%	11.9%	57.4K	-2.8M	-9.1K	1.79	27.18	N/A	N/A	29	51	544	244
2018-09-19	$100.80	$100.00	46.9%	13.5%	27.8%	12.3%	47.0%	-12.9%	14.4%	59.5K	-2.6M	-9.1K	1.69	26.35	N/A	N/A	32	54	543	244
2018-09-20	$100.00	$100.00	47.2%	13.5%	28.0%	12.6%	46.6%	-13.6%	13.1%	65.0K	-2.5M	-8.6K	0.82	24.10	N/A	N/A	63	52	537	249
2018-09-21	$99.04	$100.00	50.8%	14.6%	27.3%	15.4%	51.3%	3.2%	9.1%	54.9K	-2.2M	-8.7K	1.77	24.93	N/A	N/A	30	54	555	255
2018-09-24	$95.20	$100.00	51.1%	14.6%	31.1%	15.6%	52.7%	-3.3%	8.3%	53.3K	-2.1M	-8.1K	0.95	30.48	N/A	N/A	27	25	513	204
2018-09-25	$96.80	$100.00	49.5%	14.2%	31.2%	14.4%	52.2%	2.7%	11.0%	53.3K	-2.2M	-8.5K	1.42	34.54	N/A	N/A	18	25	515	206
2018-09-26	$97.60	$100.00	48.4%	13.9%	31.3%	13.5%	48.4%	-16.9%	12.9%	54.3K	-2.3M	-8.6K	1.14	41.10	N/A	N/A	22	25	513	206
2018-09-27	$97.60	$100.00	43.9%	12.6%	31.2%	9.9%	44.4%	-13.9%	16.0%	60.3K	-2.3M	-8.2K	1.10	12.28	N/A	N/A	22	24	519	206
2018-09-28	$96.40	$100.00	45.0%	12.9%	31.4%	10.8%	44.4%	-15.3%	15.0%	57.5K	-2.1M	-8.2K	1.16	13.78	N/A	N/A	21	24	519	206