NDLS Options History — January 2019

In January 2019, NDLS traded between $54.88 and $60.08. ATM implied volatility averaged 52.2%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 9.4% (HV 20d: 42.9%). Max pain ranged from $60.00 to $80.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 3.22.

Notable Days

  • 2019-01-11: Highest Volume — 206 contracts
  • 2019-01-04: Largest IV spike — 41.1% change
  • 2019-01-08: Highest IV Rank — 26.3%
  • 2019-01-31: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.86$54.88$60.08$56.40$57.28
Max Pain$78.10$60.00$80.00$60.00$60.00
ATM IV52.2%37.4%65.5%58.1%37.4%
Expected Move15.4%12.5%17.8%16.7%17.8%
HV 20d42.9%36.9%52.3%52.3%36.9%
HV 60d65.5%46.9%80.5%79.5%46.9%
IV Rank15.6%3.6%26.3%20.3%3.6%
IV Percentile31.8%3.2%71.0%50.8%3.2%
Term Structure8.9%-4.2%69.6%-1.2%-4.2%
VWIV51.3%38.1%60.7%58.1%38.1%
Skew 25d22.2%-4.3%57.9%14.0%45.5%
Skew 10d33.4%-2.4%82.1%20.5%46.3%
Call IV 25d47.0%34.8%57.2%57.2%34.8%
Put IV 25d69.2%43.7%106.3%71.2%80.3%
Bid-Ask Spread %70.9039.0990.5558.6759.68
Gamma HHI0.400.390.420.410.40
Net GEX-71.6K-81.9K-65.2K-71.7K-69.4K
Net DEX6.6M6.1M7.2M6.9M6.5M
Net VEX-23.0K-27.9K-19.4K-23.5K-19.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.220.0024.000.061.69
Total Volume77.476120625
Total OI2,649.9522,5602,7102,6582,608

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$56.40$60.0058.1%16.7%52.3%20.3%58.1%14.0%-1.2%-71.7K6.9M-23.5K0.0658.67N/AN/A207781,880
2019-01-03$54.88$80.0041.9%17.2%46.7%7.2%0.0%-1.7%-1.3%-71.6K7.0M-21.9K0.1379.15N/AN/A207781,880
2019-01-04$56.48$80.0059.1%17.2%48.1%21.1%44.9%-4.3%-3.9%-77.3K7.0M-22.3K0.4576.53N/AN/A317781,881
2019-01-07$58.88$80.0059.3%15.2%50.3%21.3%53.1%51.8%5.2%-80.6K7.1M-23.8K0.0078.45N/AN/A17607781,881
2019-01-08$59.28$80.0065.5%16.0%50.4%26.3%56.0%23.5%3.9%-81.9K6.2M-27.9K0.0188.98N/AN/A17518041,881
2019-01-09$58.48$80.0060.7%17.4%48.6%22.4%60.7%27.1%0.6%-79.1K6.6M-26.0K0.0183.62N/AN/A20028031,881
2019-01-10$57.92$80.0058.2%16.7%48.6%20.4%58.2%25.9%4.8%-69.8K6.5M-25.6K0.0181.88N/AN/A20028271,881
2019-01-11$56.96$80.0055.4%15.9%44.8%18.2%55.4%3.5%2.2%-66.9K6.8M-23.3K0.0168.38N/AN/A20338271,881
2019-01-14$55.20$80.0054.9%15.8%43.2%17.8%55.4%25.2%3.6%-65.8K7.2M-19.4K24.0084.66N/AN/A038301,880
2019-01-15$57.84$80.0050.6%14.5%39.7%14.3%50.7%5.7%7.3%-65.8K6.4M-24.0K2.6290.55N/AN/A248321,813
2019-01-16$57.68$80.0048.4%13.9%39.1%12.5%48.4%4.4%7.5%-66.5K6.4M-24.2K2.6988.89N/AN/A248331,813
2019-01-17$59.04$80.0049.0%14.1%39.7%13.0%49.0%6.5%8.6%-68.4K6.1M-24.3K16.6782.66N/AN/A068331,793
2019-01-18$60.08$80.0043.7%12.5%38.4%8.7%43.8%4.4%11.3%-65.5K6.1M-24.4K3.3789.90N/AN/A288331,794
2019-01-22$59.52$80.0060.5%17.3%38.7%22.2%60.5%44.1%69.6%-81.1K6.4M-22.3K0.0048.53N/AN/A12607971,763
2019-01-23$57.44$80.0048.1%13.8%40.1%12.2%48.1%3.2%12.7%-65.2K6.2M-22.2K0.1540.64N/AN/A140218451,763
2019-01-24$57.76$80.0051.7%14.8%39.7%15.2%51.7%48.1%9.3%-71.5K6.7M-20.6K0.1539.09N/AN/A141218581,781
2019-01-25$59.20$80.0048.8%14.0%40.3%12.8%49.0%24.6%10.9%-74.7K6.2M-22.9K0.1554.09N/AN/A140218611,781
2019-01-28$58.48$80.0050.1%14.4%39.9%13.9%50.0%26.4%11.6%-67.9K6.3M-22.3K0.0078.72N/AN/A018601,779
2019-01-29$58.48$80.0048.2%13.8%37.7%12.3%48.3%57.9%14.2%-72.5K6.7M-21.2K10.0057.49N/AN/A048601,779
2019-01-30$57.76$80.0047.3%13.6%37.1%11.6%47.4%29.8%13.2%-70.9K6.5M-20.5K2.3158.26N/AN/A248611,780
2019-01-31$57.28$60.0037.4%17.8%36.9%3.6%38.1%45.5%-4.2%-69.4K6.5M-19.7K1.6959.68N/AN/A238611,747