NDLS Options History — November 2018

In November 2018, NDLS traded between $63.52 and $77.12. ATM implied volatility averaged 56.8%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded below realized volatility by 31.2% (HV 20d: 88.0%). Max pain ranged from $80.00 to $80.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2018-11-02: Highest Volume — 429 contracts
  • 2018-11-12: Largest IV spike — 47.1% change
  • 2018-11-12: Highest IV Rank — 38.7%
  • 2018-11-01: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.84$63.52$77.12$74.40$63.52
Max Pain$80.00$80.00$80.00$80.00$80.00
ATM IV56.8%50.4%80.0%59.7%53.0%
Expected Move15.3%14.4%17.1%17.1%15.2%
HV 20d88.0%31.6%119.9%119.1%50.5%
HV 60d74.0%73.1%76.5%73.9%76.5%
IV Rank20.2%15.1%38.7%22.5%17.1%
IV Percentile43.0%23.8%89.7%53.6%35.7%
Term Structure-3.1%-8.5%13.2%-8.5%-0.5%
VWIV53.4%46.3%59.9%59.9%52.7%
Skew 25d6.5%-13.8%85.9%-12.7%-7.8%
Skew 10d14.4%-13.4%120.2%-10.3%-5.7%
Call IV 25d50.0%39.7%62.3%57.9%62.3%
Put IV 25d56.5%34.2%141.0%45.2%54.4%
Bid-Ask Spread %33.3810.8488.1112.9171.82
Gamma HHI0.360.320.420.330.41
Net GEX-29.1K-77.9K6.2K-25.7K-77.9K
Net DEX3.3M2.2M5.7M3.0M5.7M
Net VEX-39.9K-44.7K-30.6K-39.4K-30.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.113.602.981.62
Total Volume208.476103429365408
Total OI2,828.5712,3363,2112,9362,556

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$74.40$80.0059.7%17.1%119.1%22.5%59.9%-12.7%-8.5%-25.7K3.0M-39.4K2.9812.91N/AN/A922731,4191,517
2018-11-02$75.76$80.0056.3%16.1%119.5%19.8%56.4%85.9%-3.7%-19.9K3.0M-43.0K0.9518.31N/AN/A2202091,4191,642
2018-11-05$75.04$80.0059.9%15.2%119.5%22.6%59.0%16.3%-3.3%-6.7K2.7M-43.4K3.6019.27N/AN/A572061,5451,654
2018-11-06$76.32$80.0060.6%15.0%119.7%23.2%53.8%13.0%-1.8%-2.6K2.6M-43.4K3.2618.90N/AN/A551801,5451,653
2018-11-07$77.12$80.0058.7%14.8%119.8%21.7%55.5%17.6%-2.7%6.2K2.2M-44.7K1.0667.73N/AN/A54571,5461,653
2018-11-08$74.56$80.0054.7%14.4%118.5%18.5%50.8%17.5%0.2%-3.5K3.2M-41.6K0.9278.46N/AN/A58531,5461,654
2018-11-09$76.80$80.0054.4%14.8%119.1%18.3%51.7%3.6%-2.1%6.0K2.5M-43.4K0.9746.63N/AN/A55531,5441,652
2018-11-12$73.12$80.0080.0%15.9%119.9%38.7%55.1%2.0%-4.5%-20.8K3.3M-40.5K0.8916.08N/AN/A64571,5441,652
2018-11-13$73.20$80.0076.4%15.9%104.9%35.8%55.3%12.8%-4.0%-38.6K3.5M-39.8K0.7317.93N/AN/A60431,5481,650
2018-11-14$75.28$80.0053.4%15.3%105.7%17.5%53.1%12.9%-3.7%-10.6K3.3M-41.1K0.7321.35N/AN/A60441,5461,651
2018-11-15$74.40$80.0055.1%15.8%105.7%18.8%54.8%7.9%-5.4%-40.2K3.6M-40.2K0.6747.80N/AN/A67451,5461,651
2018-11-16$73.68$80.0050.5%14.5%104.0%15.2%46.3%-7.6%-1.6%-36.0K3.5M-40.2K0.3212.99N/AN/A199641,5581,653
2018-11-19$74.00$80.0050.4%14.5%103.0%15.1%49.7%-10.3%-1.7%-38.4K3.2M-39.2K0.1615.22N/AN/A162278571,479
2018-11-20$74.40$80.0051.9%14.9%102.6%16.3%52.2%-13.8%-5.1%-37.0K2.9M-40.1K0.1115.84N/AN/A159188561,480
2018-11-21$74.40$80.0052.5%15.0%37.1%16.7%53.1%8.9%-5.5%-38.3K3.1M-39.3K0.1219.71N/AN/A156188701,480
2018-11-23$74.16$80.0053.3%15.3%35.7%17.4%52.0%-4.9%-4.8%-44.4K2.9M-38.8K0.1188.11N/AN/A156188701,481
2018-11-26$74.80$80.0053.3%15.3%34.4%17.4%52.4%-8.1%-5.5%-36.0K3.1M-38.6K0.1112.76N/AN/A158188701,481
2018-11-27$73.20$80.0053.9%15.5%31.9%17.9%54.9%9.3%-6.1%-40.3K3.2M-38.0K0.1110.84N/AN/A158188731,480
2018-11-28$74.56$80.0054.4%15.6%31.6%18.3%49.9%-9.2%-7.5%-42.3K3.1M-38.9K0.5814.28N/AN/A158918731,480
2018-11-29$67.84$80.0050.5%14.5%45.8%15.1%53.3%3.3%13.2%-63.8K4.9M-32.6K1.1974.05N/AN/A1501808731,553
2018-11-30$63.52$80.0053.0%15.2%50.5%17.1%52.7%-7.8%-0.5%-77.9K5.7M-30.6K1.6271.82N/AN/A1562528811,675