NDLS Options History — March 2019

In March 2019, NDLS traded between $50.88 and $62.40. ATM implied volatility averaged 70.8%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded above realized volatility by 19.5% (HV 20d: 51.4%). 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 11 of 21 days. Put/call ratio averaged 1.70.

Notable Days

  • 2019-03-13: Highest Volume — 408 contracts
  • 2019-03-12: Largest IV drop — 58.4% change
  • 2019-03-11: Highest IV Rank — 100.0%
  • 2019-03-08: Largest Expected Move — 37.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.21$50.88$62.40$62.40$54.56
Max Pain$74.29$60.00$80.00$60.00$80.00
ATM IV70.8%26.8%198.0%89.9%40.8%
Expected Move21.4%15.1%37.6%25.8%15.3%
HV 20d51.4%36.9%67.6%37.9%59.7%
HV 60d43.3%35.9%47.2%42.9%45.9%
IV Rank30.1%0.0%100.0%48.3%8.2%
IV Percentile47.4%0.0%100.0%96.0%7.9%
Term Structure7.1%-25.4%34.3%-25.4%12.9%
VWIV72.7%45.3%127.6%82.2%53.4%
Skew 25d14.3%-17.6%76.2%30.8%14.1%
Skew 10d22.3%-18.5%95.8%50.4%13.3%
Call IV 25d53.4%28.1%82.7%68.5%40.8%
Put IV 25d67.7%31.0%105.9%99.3%54.9%
Bid-Ask Spread %69.3138.6886.4238.6885.03
Gamma HHI0.550.480.640.530.64
Net GEX-56.0K-70.7K-30.5K-55.9K-66.6K
Net DEX6.4M4.8M7.9M4.8M7.0M
Net VEX-13.3K-21.4K-7.7K-21.4K-8.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.007.751.773.97
Total Volume60.28604082820
Total OI2,709.0482,5443,0652,6962,544

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$62.40$60.0089.9%25.8%37.9%48.3%82.2%30.8%-25.4%-55.9K4.8M-21.4K1.7738.68N/AN/A10189981,698
2019-03-04$61.76$60.00108.1%31.0%37.5%62.4%0.0%-8.1%-0.8%-56.9K4.9M-20.7K0.0040.51N/AN/A001,0021,698
2019-03-05$61.28$60.00111.6%32.0%36.9%65.0%111.6%14.7%-2.0%-57.6K5.0M-19.6K0.0058.82N/AN/A201,0021,698
2019-03-06$59.68$60.00112.0%32.1%38.6%65.4%112.0%9.6%-1.6%-48.7K5.4M-17.8K0.0138.97N/AN/A1801,0041,698
2019-03-07$59.36$60.00121.8%34.9%38.4%72.9%102.9%12.4%-1.1%-48.4K5.6M-17.2K0.0642.12N/AN/A1311,0071,698
2019-03-08$57.60$60.00131.0%37.6%40.0%80.0%127.6%8.1%-2.4%-43.4K5.7M-16.9K0.0542.52N/AN/A2011,0161,698
2019-03-11$56.96$80.00198.0%21.5%40.1%100.0%78.4%6.5%-9.4%-41.4K5.2M-17.1K0.0268.21N/AN/A13421,0231,698
2019-03-12$58.16$80.0082.3%20.3%40.7%32.3%72.2%7.5%-11.3%-39.6K5.1M-17.8K1.0669.79N/AN/A891,0771,701
2019-03-13$59.92$80.0078.9%20.6%41.1%30.3%72.8%8.0%-5.8%-44.0K5.1M-17.6K0.0267.83N/AN/A40081,0821,709
2019-03-14$58.48$80.0070.9%19.2%41.3%25.6%65.1%-11.5%-3.6%-30.5K5.2M-16.0K0.2776.60N/AN/A182491,2131,810
2019-03-15$50.88$80.0041.2%16.2%63.6%8.2%56.6%-17.6%6.2%-56.2K7.9M-7.7K0.9474.90N/AN/A1291211,2211,844
2019-03-18$53.60$80.0044.6%15.5%67.1%10.2%45.3%34.3%9.0%-65.5K7.4M-10.1K0.4383.36N/AN/A22108911,781
2019-03-19$52.96$80.0029.6%15.1%66.9%1.4%46.1%6.3%28.7%-62.6K7.7M-8.8K1.6784.41N/AN/A7118761,784
2019-03-20$54.16$80.0035.0%15.7%67.6%4.6%54.6%56.6%15.3%-69.4K7.5M-10.2K1.0280.41N/AN/A11118771,791
2019-03-21$53.92$80.0026.8%16.3%67.2%0.0%59.6%24.7%34.3%-70.7K7.3M-10.3K1.4586.42N/AN/A8118751,791
2019-03-22$53.04$80.0037.2%15.8%59.3%6.1%55.6%-8.7%10.3%-64.8K7.5M-9.3K3.1378.68N/AN/A4128741,791
2019-03-25$52.88$80.0041.4%15.7%59.2%8.5%0.0%6.8%6.3%-63.6K7.6M-8.3K2.5084.68N/AN/A118741,791
2019-03-26$53.04$80.0029.4%15.9%59.0%1.5%0.0%6.8%27.9%-64.6K7.6M-8.3K2.7584.86N/AN/A118741,793
2019-03-27$52.80$80.0029.2%16.0%58.1%1.4%55.6%23.3%27.1%-62.7K7.0M-8.0K7.7584.65N/AN/A148741,670
2019-03-28$52.96$80.0027.4%16.2%58.2%0.3%56.8%76.2%33.6%-62.7K7.0M-8.1K5.1784.02N/AN/A148741,670
2019-03-29$54.56$80.0040.8%15.3%59.7%8.2%53.4%14.1%12.9%-66.6K7.0M-8.4K3.9785.03N/AN/A4168741,670