NDLS Options History — May 2019

In May 2019, NDLS traded between $57.20 and $67.76. ATM implied volatility averaged 64.6%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 23.2% (HV 20d: 41.4%). Max pain ranged from $60.00 to $80.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.59.

Notable Days

  • 2019-05-31: Highest Volume — 168 contracts
  • 2019-05-13: Largest IV spike — 83.5% change
  • 2019-05-09: Highest IV Rank — 43.8%
  • 2019-05-03: Largest Expected Move — 24.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.12$57.20$67.76$57.28$57.84
Max Pain$62.73$60.00$80.00$80.00$60.00
ATM IV64.6%38.7%101.7%79.2%56.3%
Expected Move16.0%11.1%24.0%22.7%16.2%
HV 20d41.4%27.7%49.5%38.6%48.8%
HV 60d51.6%49.2%54.2%49.2%52.0%
IV Rank22.1%6.9%43.8%30.6%17.2%
IV Percentile53.5%6.7%96.4%89.3%52.0%
Term Structure0.3%-27.2%19.7%-19.3%4.7%
VWIV53.5%28.7%84.3%79.0%56.3%
Skew 25d16.3%-2.2%48.1%4.5%48.1%
Skew 10d29.8%-1.4%72.0%9.4%72.0%
Call IV 25d46.5%27.1%73.0%70.8%51.5%
Put IV 25d62.7%41.3%99.6%75.3%99.6%
Bid-Ask Spread %59.8022.5681.5569.9146.38
Gamma HHI0.640.420.920.830.42
Net GEX-38.0K-99.2K9.6K-71.8K9.6K
Net DEX1.5M-197.8K3.8M3.3M-194.9K
Net VEX-3.6K-5.6K-1.8K-5.4K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.590.0041.500.050.20
Total Volume53.364016816168
Total OI1,500.2272992,4052,230503

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-05-01$57.28$80.0079.2%22.7%38.6%30.6%79.0%4.5%-19.3%-71.8K3.3M-5.4K0.0569.91N/AN/A1511,0411,189
2019-05-02$57.20$80.0081.7%23.4%31.0%32.1%81.5%4.8%-20.1%-70.8K3.3M-5.3K1.0470.58N/AN/A35361,0461,189
2019-05-03$58.72$80.0083.6%24.0%27.7%33.2%84.3%3.5%-27.2%-81.1K3.3M-5.6K0.2777.46N/AN/A122331,0271,224
2019-05-06$60.80$60.0090.6%17.7%29.1%37.2%0.0%10.6%-2.6%-93.5K3.6M-5.4K0.0080.29N/AN/A009401,254
2019-05-07$59.52$60.0093.6%17.8%30.9%39.0%0.0%5.7%-0.5%-91.8K3.8M-5.0K3.8566.48N/AN/A269401,254
2019-05-08$59.92$60.00101.2%19.0%29.0%43.4%0.0%9.3%-5.8%-92.0K3.8M-4.9K0.1566.56N/AN/A309401,261
2019-05-09$61.60$60.00101.7%17.6%28.7%43.8%60.5%14.6%-1.6%-99.2K3.5M-4.8K2.5673.07N/AN/A20529421,261
2019-05-10$67.76$60.0048.7%12.4%41.6%12.8%28.7%21.3%17.7%-36.6K1.8M-1.8K0.7481.55N/AN/A42319451,290
2019-05-13$67.12$60.0089.4%14.4%41.8%36.6%48.3%13.8%8.3%-97.9K2.3M-3.1K41.5054.10N/AN/A31259451,290
2019-05-14$65.20$60.0056.5%12.1%44.2%17.3%40.7%10.2%12.3%-62.0K1.9M-2.3K0.7375.41N/AN/A41309651,406
2019-05-15$66.80$60.0048.8%14.0%44.5%12.8%47.2%-0.8%7.5%-26.6K1.5M-2.7K0.0167.82N/AN/A901,0141,391
2019-05-16$64.80$60.0038.7%11.1%46.8%6.9%33.1%-2.2%19.7%-5.0K1.1M-2.5K0.2352.47N/AN/A921,0181,329
2019-05-17$64.88$60.0048.8%14.0%46.8%12.9%49.1%1.0%6.4%-4.7K1.1M-2.5K0.0967.48N/AN/A1011,0191,329
2019-05-20$64.80$60.0049.5%14.2%46.7%13.2%0.0%24.6%2.3%-4.8K-43.5K-2.5K0.0038.42N/AN/A860115184
2019-05-21$64.88$60.0049.6%14.2%46.8%13.3%49.6%19.6%0.7%1.4K-197.8K-3.3K0.6064.10N/AN/A117191184
2019-05-22$64.80$60.0048.6%13.9%45.9%12.7%48.8%2.6%0.3%1.4K-187.1K-3.3K1.4946.56N/AN/A58198186
2019-05-23$62.80$60.0049.5%14.2%47.6%13.3%49.5%32.3%3.1%-521-71.9K-3.2K0.3022.56N/AN/A309199187
2019-05-24$62.56$60.0049.3%14.1%47.7%13.1%49.3%29.9%0.4%687-90.0K-3.4K1.0046.83N/AN/A99226192
2019-05-28$60.48$60.0050.1%14.4%49.5%13.6%50.1%12.5%-1.5%-2.2K50.2K-3.0K0.0949.66N/AN/A383223192
2019-05-29$59.20$60.0050.0%14.3%48.1%13.5%50.0%45.4%-0.7%-4.4K139.3K-2.8K1.8450.43N/AN/A24193195
2019-05-30$57.68$60.0056.5%16.2%48.8%17.4%56.5%46.7%2.5%-4.4K201.4K-2.7K0.2247.58N/AN/A12928193195
2019-05-31$57.84$60.0056.3%16.2%48.8%17.2%56.3%48.1%4.7%9.6K-194.9K-3.6K0.2046.38N/AN/A14028319184