NDLS Options History — April 2019

In April 2019, NDLS traded between $47.36 and $58.56. ATM implied volatility averaged 64.0%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded above realized volatility by 7.9% (HV 20d: 56.1%). Max pain ranged from $80.00 to $80.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 3.77.

Notable Days

  • 2019-04-03: Highest Volume — 237 contracts
  • 2019-04-03: Largest IV spike — 53.7% change
  • 2019-04-29: Highest IV Rank — 29.7%
  • 2019-04-04: Largest Expected Move — 26.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.30$47.36$58.56$54.16$56.40
Max Pain$80.00$80.00$80.00$80.00$80.00
ATM IV64.0%39.6%77.6%43.5%59.2%
Expected Move20.1%16.8%26.5%16.9%17.0%
HV 20d56.1%46.0%70.4%59.7%48.8%
HV 60d48.7%45.6%49.7%45.6%49.3%
IV Rank21.7%7.5%29.7%9.7%18.9%
IV Percentile65.2%7.9%86.9%11.5%60.3%
Term Structure-7.4%-18.9%24.8%8.3%15.2%
VWIV69.1%43.3%87.9%59.2%43.3%
Skew 25d5.5%-10.9%25.9%-2.0%25.9%
Skew 10d14.3%-7.2%44.6%5.3%18.7%
Call IV 25d62.4%40.0%71.7%56.3%50.1%
Put IV 25d67.8%43.4%86.7%54.3%76.1%
Bid-Ask Spread %80.9676.2992.4681.8281.87
Gamma HHI0.690.530.860.610.86
Net GEX-54.4K-74.5K-34.8K-69.1K-68.6K
Net DEX4.5M3.0M7.1M7.0M3.5M
Net VEX-6.3K-8.6K-5.2K-8.6K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.770.0034.200.500.11
Total Volume27.238023718
Total OI2,350.5712,2092,5582,5552,225

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-04-01$54.16$80.0043.5%16.9%59.7%9.7%0.0%-2.0%8.3%-69.1K7.0M-8.6K0.5081.82N/AN/A108721,683
2019-04-02$50.08$80.0039.6%16.8%64.9%7.5%59.2%3.4%24.8%-48.8K7.1M-6.0K3.1286.83N/AN/A4138721,683
2019-04-03$47.36$80.0060.9%21.0%66.7%19.9%73.8%5.8%-9.3%-40.2K6.7M-5.7K0.4983.26N/AN/A159788721,686
2019-04-04$49.84$80.0066.1%26.5%70.3%23.0%87.9%19.9%-0.2%-34.8K5.5M-6.1K34.2092.46N/AN/A2641,0291,520
2019-04-05$50.64$80.0043.5%18.4%70.4%9.7%72.8%13.7%-7.7%-43.0K5.3M-7.2K25.2382.82N/AN/A3691,0291,519
2019-04-08$50.56$80.0044.4%19.4%70.4%10.3%67.9%12.0%-8.5%-42.2K5.4M-6.9K0.0082.38N/AN/A001,0291,519
2019-04-09$49.52$80.0068.0%21.8%69.8%24.1%72.4%5.6%-9.0%-39.5K5.4M-6.3K2.0076.73N/AN/A111,0291,519
2019-04-10$51.04$80.0067.5%19.3%69.8%23.8%66.9%14.5%-9.5%-46.4K5.5M-6.4K2.0082.75N/AN/A111,0291,519
2019-04-11$51.04$80.0068.4%19.6%69.6%24.3%68.2%14.7%-11.4%-41.9K3.9M-6.0K0.7783.05N/AN/A211,0291,207
2019-04-12$52.72$80.0067.3%19.3%50.3%23.6%74.8%20.8%-10.0%-50.5K3.8M-6.4K1.6381.09N/AN/A241,0301,207
2019-04-15$52.80$80.0070.3%20.2%46.7%25.4%70.4%-10.9%-12.8%-50.6K3.8M-6.1K0.0076.95N/AN/A001,0311,210
2019-04-16$53.28$80.0069.2%19.8%46.6%24.7%69.2%-8.8%-12.5%-53.4K3.8M-6.1K0.0076.41N/AN/A101,0311,210
2019-04-17$54.24$80.0069.3%19.9%46.3%24.8%58.8%-9.9%-13.3%-57.5K3.8M-6.0K0.8683.89N/AN/A221,0291,210
2019-04-18$54.72$80.0066.8%19.2%46.4%23.4%66.8%-4.7%-9.9%-62.0K3.8M-6.0K0.2576.29N/AN/A68171,0291,208
2019-04-22$54.48$80.0070.8%20.3%46.0%25.7%69.7%-6.5%-10.0%-54.4K3.7M-5.7K1.6077.59N/AN/A461,0241,185
2019-04-23$55.12$80.0070.8%20.3%46.1%25.7%66.2%-2.9%-11.9%-58.9K3.6M-5.8K3.9277.02N/AN/A261,0261,189
2019-04-24$57.04$80.0072.6%20.8%47.5%26.7%71.1%2.1%-15.7%-66.7K3.3M-6.3K1.1676.91N/AN/A661,0261,189
2019-04-25$57.84$80.0073.4%21.0%47.5%27.2%71.9%6.1%-16.8%-70.2K3.1M-6.4K0.6977.87N/AN/A961,0301,189
2019-04-26$57.92$80.0075.1%21.5%47.6%28.2%73.4%6.2%-17.0%-70.2K3.1M-6.5K0.6378.17N/AN/A1061,0311,189
2019-04-29$58.56$80.0077.6%22.2%46.7%29.7%77.6%9.6%-18.9%-74.5K3.0M-5.9K0.0083.99N/AN/A701,0311,188
2019-04-30$56.40$80.0059.2%17.0%48.8%18.9%43.3%25.9%15.2%-68.6K3.5M-5.2K0.1181.87N/AN/A711,0371,188