NDLS Options History — February 2019

In February 2019, NDLS traded between $54.96 and $64.48. ATM implied volatility averaged 69.6%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded above realized volatility by 37.9% (HV 20d: 31.7%). Max pain ranged from $40.00 to $60.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.93.

Notable Days

  • 2019-02-01: Highest Volume — 197 contracts
  • 2019-02-06: Largest IV spike — 140.2% change
  • 2019-02-28: Highest IV Rank — 55.0%
  • 2019-02-28: Largest Expected Move — 28.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.95$54.96$64.48$56.32$62.48
Max Pain$51.58$40.00$60.00$60.00$60.00
ATM IV69.6%27.2%98.5%42.5%98.5%
Expected Move21.4%18.7%28.2%18.7%28.2%
HV 20d31.7%23.5%38.4%36.0%38.1%
HV 60d46.2%43.3%48.9%46.9%43.3%
IV Rank32.3%0.0%55.0%7.7%55.0%
IV Percentile72.5%0.0%97.2%5.6%97.2%
Term Structure-14.0%-34.3%-5.9%-5.9%-34.3%
VWIV69.2%54.9%91.1%65.1%80.6%
Skew 25d6.8%-9.9%107.6%-2.4%-4.9%
Skew 10d11.0%-24.2%131.0%-0.0%-1.3%
Call IV 25d54.3%25.4%65.9%54.1%62.5%
Put IV 25d61.1%39.0%138.1%51.8%57.6%
Bid-Ask Spread %40.2914.0060.1359.3537.14
Gamma HHI0.480.400.630.400.49
Net GEX-44.1K-67.6K24.8K-67.6K-60.3K
Net DEX5.5M4.1M6.3M6.3M4.9M
Net VEX-20.7K-24.0K-18.7K-20.0K-21.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.006.420.012.78
Total Volume29.474019719731
Total OI2,765.5792,6092,9032,6092,686

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-02-01$56.32$60.0042.5%18.7%36.0%7.7%65.1%-2.4%-5.9%-67.6K6.3M-20.0K0.0159.35N/AN/A19438611,748
2019-02-04$55.36$60.0032.1%19.1%35.1%0.0%66.8%107.6%-6.0%-48.0K6.1M-19.5K0.0059.57N/AN/A001,0451,748
2019-02-05$55.52$60.0027.2%19.4%31.3%0.0%66.7%0.7%-8.8%-49.7K6.3M-18.8K0.0259.57N/AN/A2511,0451,748
2019-02-06$54.96$40.0065.4%18.7%31.2%29.4%65.4%-0.7%-5.9%-47.2K6.3M-18.7K0.0040.04N/AN/A6301,0651,747
2019-02-07$55.68$40.0067.1%19.2%31.5%30.7%67.1%2.3%-7.6%-41.0K6.0M-19.7K0.0040.30N/AN/A101,1281,747
2019-02-08$56.24$40.0068.0%19.5%31.7%31.4%68.0%13.6%-8.1%-39.3K6.1M-19.0K0.0039.34N/AN/A401,1281,747
2019-02-11$56.80$40.0070.2%20.1%31.4%33.2%70.2%0.5%-9.7%-41.9K6.0M-20.4K0.0260.13N/AN/A3011,1301,747
2019-02-12$58.24$40.0070.7%20.3%30.3%33.5%70.5%6.2%-11.0%-37.1K5.8M-20.5K0.0259.30N/AN/A3111,1541,747
2019-02-13$59.52$40.0070.3%20.1%26.6%33.2%56.3%-9.9%-11.0%-26.0K5.5M-22.2K0.3242.46N/AN/A211,1551,747
2019-02-14$60.48$40.0069.3%19.9%27.0%32.5%55.2%14.8%-9.1%-20.3K5.2M-21.9K1.5539.12N/AN/A341,1561,747
2019-02-15$59.84$40.0069.5%19.9%26.2%32.6%62.6%-9.3%-11.5%24.8K5.5M-21.6K6.4214.95N/AN/A7421,1561,746
2019-02-19$58.56$60.0073.7%21.1%26.6%35.9%73.7%11.8%-11.1%-50.7K5.5M-19.5K0.9639.53N/AN/A339911,665
2019-02-20$58.64$60.0075.5%21.6%26.4%37.2%63.5%9.5%-20.0%-48.9K5.3M-19.9K0.8844.44N/AN/A449921,667
2019-02-21$59.52$60.0075.1%21.5%23.5%36.9%54.9%9.3%-15.0%-50.8K5.3M-19.7K1.1741.48N/AN/A449921,671
2019-02-22$64.48$60.0078.3%22.5%36.4%39.4%78.0%-0.8%-12.5%-56.9K4.1M-24.0K0.1442.77N/AN/A5889931,671
2019-02-25$63.12$60.0088.7%25.4%36.9%47.4%0.0%-7.4%-26.6%-61.1K4.7M-22.9K0.0014.99N/AN/A009831,675
2019-02-26$61.52$60.0088.9%25.5%37.9%47.6%89.7%-8.4%-25.2%-55.3K4.9M-21.7K0.2016.95N/AN/A209831,675
2019-02-27$62.80$60.0091.1%26.1%38.4%49.3%91.1%-3.1%-27.3%-59.9K4.7M-21.8K2.2314.00N/AN/A8189851,675
2019-02-28$62.48$60.0098.5%28.2%38.1%55.0%80.6%-4.9%-34.3%-60.3K4.9M-21.3K2.7837.14N/AN/A8239921,694