NDLS Options History — December 2018

In December 2018, NDLS traded between $51.60 and $65.20. ATM implied volatility averaged 61.4%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 4.3% (HV 20d: 57.1%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 4.90.

Notable Days

  • 2018-12-05: Highest Volume — 337 contracts
  • 2018-12-04: Largest IV spike — 57.8% change
  • 2018-12-24: Highest IV Rank — 42.4%
  • 2018-12-24: Largest Expected Move — 24.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.90$51.60$65.20$65.20$55.60
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV61.4%41.3%84.7%41.3%63.4%
Expected Move17.2%11.8%24.3%11.8%18.2%
HV 20d57.1%51.1%60.6%51.1%53.1%
HV 60d78.7%76.8%79.8%76.8%79.4%
IV Rank23.9%7.8%42.4%7.8%25.4%
IV Percentile58.4%6.0%92.9%6.0%64.3%
Term Structure-1.3%-11.8%25.3%17.2%-3.7%
VWIV57.4%34.3%93.4%35.2%60.5%
Skew 25d12.0%-13.7%49.5%15.5%49.5%
Skew 10d21.6%-6.0%70.7%26.5%70.7%
Call IV 25d53.4%32.8%74.2%32.8%61.8%
Put IV 25d65.4%48.3%111.4%48.3%111.4%
Bid-Ask Spread %74.4450.4796.6474.8150.47
Gamma HHI0.400.390.430.390.41
Net GEX-84.7K-122.9K-57.2K-85.2K-69.1K
Net DEX7.0M5.4M8.1M5.4M6.9M
Net VEX-26.5K-35.0K-20.4K-35.0K-23.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.900.0025.480.310.00
Total Volume66.71337131
Total OI2,858.32,6513,0512,7042,658

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$65.20$60.0041.3%11.8%51.1%7.8%35.2%15.5%17.2%-85.2K5.4M-35.0K0.3174.81N/AN/A1038951,809
2018-12-04$60.56$60.0065.1%18.7%56.3%26.8%65.1%12.8%-11.8%-78.0K6.1M-29.8K10.4684.13N/AN/A293078981,809
2018-12-05$60.88$60.0062.5%17.9%55.6%24.8%62.5%12.9%-8.7%-88.5K6.5M-28.5K10.4784.78N/AN/A293088981,809
2018-12-06$61.92$60.0060.1%15.2%56.0%22.8%34.3%12.1%-1.3%-110.8K6.3M-33.4K0.9453.67N/AN/A229152,007
2018-12-07$61.76$60.0058.5%15.2%55.4%21.6%47.3%14.5%2.2%-117.1K6.5M-31.9K2.7991.57N/AN/A25709172,007
2018-12-10$59.36$60.0065.0%16.6%54.4%26.7%52.2%8.4%-4.7%-112.7K7.0M-29.8K17.6468.17N/AN/A1249152,006
2018-12-11$58.80$60.0065.1%16.0%52.7%26.8%52.9%5.8%-3.3%-119.2K7.4M-27.6K2.8577.80N/AN/A3109162,025
2018-12-12$61.92$60.0054.9%15.7%57.1%18.7%40.5%33.0%-1.7%-122.9K6.6M-31.8K3.9550.53N/AN/A3119182,023
2018-12-13$59.12$60.0054.8%15.7%56.9%18.6%50.2%31.3%-2.5%-120.1K7.3M-26.9K25.4876.98N/AN/A3739182,023
2018-12-14$55.28$60.0058.6%16.8%60.2%21.6%57.4%-2.3%-2.4%-105.4K7.7M-25.8K2.6479.47N/AN/A389182,086
2018-12-17$54.40$60.0057.1%16.4%60.2%20.5%56.4%-4.5%1.6%-72.5K7.9M-24.7K0.0681.45N/AN/A5039182,082
2018-12-18$54.32$60.0064.7%18.5%59.9%26.5%64.7%3.1%-4.5%-67.7K8.1M-22.9K0.0678.94N/AN/A5139682,082
2018-12-19$52.96$60.0064.5%18.5%59.5%26.3%64.5%16.1%-4.0%-61.3K7.5M-23.7K0.1176.16N/AN/A5069682,083
2018-12-20$52.88$60.0073.4%21.1%59.5%33.4%73.4%15.9%-2.0%-59.3K7.8M-22.3K0.1472.69N/AN/A69109682,071
2018-12-21$51.60$60.0059.2%17.0%59.3%22.1%65.1%-6.4%-6.7%-64.3K7.5M-22.3K0.0673.38N/AN/A7049872,058
2018-12-24$52.64$60.0084.7%24.3%60.1%42.4%93.4%-5.0%-11.3%-57.2K6.2M-25.0K0.1096.64N/AN/A5367761,877
2018-12-26$52.88$60.0067.2%19.3%60.6%28.5%0.0%-13.7%-5.1%-57.8K6.6M-23.1K6.5058.71N/AN/A187761,875
2018-12-27$51.92$60.0055.9%16.0%59.2%19.4%0.0%18.6%25.3%-59.5K6.8M-20.4K8.5079.48N/AN/A1117771,875
2018-12-28$54.08$60.0052.4%15.0%55.4%16.7%60.5%22.7%1.0%-66.1K7.0M-21.5K5.0078.98N/AN/A2117771,878
2018-12-31$55.60$60.0063.4%18.2%53.1%25.4%0.0%49.5%-3.7%-69.1K6.9M-23.4K0.0050.47N/AN/A107781,880