NDLS Options History — October 2018

In October 2018, NDLS traded between $74.40 and $106.64. ATM implied volatility averaged 65.5%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded below realized volatility by 0.9% (HV 20d: 66.4%). Max pain ranged from $80.00 to $100.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.02.

Notable Days

  • 2018-10-24: Highest Volume — 1,619 contracts
  • 2018-10-10: Largest IV spike — 35.7% change
  • 2018-10-23: Highest IV Rank — 42.6%
  • 2018-10-23: Largest Expected Move — 24.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.86$74.40$106.64$98.80$75.76
Max Pain$82.61$80.00$100.00$100.00$80.00
ATM IV65.5%46.2%84.9%50.7%58.3%
Expected Move19.8%14.5%24.4%14.5%16.7%
HV 20d66.4%27.2%120.7%27.2%119.3%
HV 60d52.5%40.6%74.4%40.6%74.3%
IV Rank27.1%11.7%42.6%15.3%21.4%
IV Percentile59.4%12.3%92.1%24.2%48.8%
Term Structure-10.5%-25.2%14.8%14.8%-6.0%
VWIV68.7%41.0%93.0%49.6%58.2%
Skew 25d2.9%-16.4%22.4%1.6%-2.9%
Skew 10d5.7%-32.3%35.8%3.6%1.6%
Call IV 25d69.2%42.2%87.6%42.2%54.1%
Put IV 25d72.1%40.0%95.3%43.8%51.2%
Bid-Ask Spread %25.819.0046.5612.3811.23
Gamma HHI0.390.300.510.390.34
Net GEX44.1K-12.9K83.9K57.2K-11.6K
Net DEX-1.2M-4.1M2.6M-2.4M2.6M
Net VEX-14.9K-40.1K-6.2K-8.5K-40.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.153.060.272.16
Total Volume227.957391,619125297
Total OI1,272.3487272,9227272,922

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-10-01$98.80$100.0050.7%14.5%27.2%15.3%49.6%1.6%14.8%57.2K-2.4M-8.5K0.2712.38N/AN/A9926519208
2018-10-02$92.24$100.0053.3%15.3%36.5%17.4%41.0%-16.4%9.7%56.9K-1.9M-8.5K0.2910.78N/AN/A10329566211
2018-10-03$91.20$100.0052.1%14.9%36.6%16.4%51.2%4.5%11.0%56.0K-1.7M-7.9K0.3218.63N/AN/A10233568215
2018-10-04$88.48$80.0046.2%21.2%37.7%11.7%67.5%6.1%-14.4%49.9K-1.4M-7.9K0.2528.47N/AN/A10126570215
2018-10-05$88.24$80.0048.0%20.0%37.5%13.1%71.6%0.9%-7.3%54.8K-1.6M-8.3K0.5827.47N/AN/A9857614214
2018-10-08$88.32$80.0051.8%21.6%36.0%16.2%68.6%4.1%-15.5%54.1K-1.5M-8.5K0.5528.99N/AN/A10357615242
2018-10-09$86.40$80.0057.9%19.5%36.4%21.1%68.9%2.1%-6.1%51.3K-1.3M-8.1K2.1835.38N/AN/A2555620241
2018-10-10$86.00$80.0078.6%22.5%34.6%37.6%80.5%-0.6%-16.1%47.4K-1.3M-8.1K0.8042.15N/AN/A2217620241
2018-10-11$90.16$80.0080.3%23.0%39.4%38.9%84.7%4.2%-18.5%52.9K-1.7M-8.4K0.6646.56N/AN/A3523620241
2018-10-12$91.36$80.0071.5%20.5%39.1%31.9%73.8%2.2%-13.9%58.9K-1.8M-8.3K0.6242.62N/AN/A3823630239
2018-10-15$91.36$80.0080.8%23.2%38.7%39.3%73.6%0.7%-24.5%58.1K-1.8M-8.4K0.6042.61N/AN/A3722636243
2018-10-16$105.68$80.0082.2%23.6%65.9%40.4%85.0%4.5%-25.2%83.9K-3.9M-9.2K0.6637.34N/AN/A7952636243
2018-10-17$106.64$80.0075.5%21.6%65.8%35.1%73.4%3.3%-17.6%77.0K-4.1M-9.8K0.2632.78N/AN/A10326670276
2018-10-18$104.56$80.0077.8%22.3%66.2%36.9%77.7%8.3%-19.5%67.3K-3.6M-9.2K1.0926.04N/AN/A3942605271
2018-10-19$97.60$80.0079.4%22.8%70.8%38.2%79.7%3.6%-20.4%48.0K-2.2M-8.9K1.1928.45N/AN/A6577607284
2018-10-22$100.40$80.0081.4%23.3%69.9%39.8%82.4%9.7%-17.2%50.0K-2.5M-9.6K0.1524.89N/AN/A17927560288
2018-10-23$102.16$80.0084.9%24.4%69.9%42.6%93.0%7.7%-20.2%72.6K-3.5M-11.3K0.8014.38N/AN/A7661713297
2018-10-24$77.84$80.0057.3%16.4%119.9%20.5%57.2%5.6%-5.8%30.1K113.8K-6.2K1.449.00N/AN/A664955766325
2018-10-25$75.60$80.0060.2%17.3%119.9%22.9%61.0%4.6%-9.1%11.6K1.7M-33.3K2.8213.06N/AN/A942641,3581,097
2018-10-26$77.60$80.0058.5%16.8%120.7%21.5%59.0%22.4%-6.9%8.9K1.6M-36.5K3.0613.21N/AN/A1203681,3711,187
2018-10-29$74.40$80.0059.6%17.1%120.5%22.5%60.9%-5.1%-5.7%-12.9K2.5M-39.4K0.9631.68N/AN/A1171121,4071,438
2018-10-30$76.08$80.0060.7%17.4%119.3%23.3%62.4%-3.4%-7.3%-7.6K2.4M-39.0K1.7215.45N/AN/A1081871,4171,438
2018-10-31$75.76$80.0058.3%16.7%119.3%21.4%58.2%-2.9%-6.0%-11.6K2.6M-40.1K2.1611.23N/AN/A942031,4191,503