NDLS Options History — June 2019

In June 2019, NDLS traded between $53.60 and $63.68. ATM implied volatility averaged 49.9%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 7.5% (HV 20d: 42.3%). Max pain ranged from $40.00 to $60.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.59.

Notable Days

  • 2019-06-21: Highest Volume — 143 contracts
  • 2019-06-25: Largest IV drop — 18.6% change
  • 2019-06-24: Highest IV Rank — 16.5%
  • 2019-06-06: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.78$53.60$63.68$59.12$63.68
Max Pain$57.00$40.00$60.00$60.00$60.00
ATM IV49.9%44.9%55.1%50.8%51.6%
Expected Move14.5%12.9%16.1%14.6%14.8%
HV 20d42.3%34.0%54.1%48.5%54.1%
HV 60d47.0%43.2%52.8%52.2%45.3%
IV Rank13.5%10.5%16.5%14.0%14.5%
IV Percentile26.5%9.9%50.0%32.5%35.7%
Term Structure6.1%1.4%11.1%10.8%6.4%
VWIV50.1%43.9%55.5%50.8%51.4%
Skew 25d12.1%-10.4%45.3%12.5%21.8%
Skew 10d21.4%-17.5%73.6%12.1%69.1%
Call IV 25d45.6%39.1%61.7%41.6%43.9%
Put IV 25d57.7%41.2%89.7%54.1%65.7%
Bid-Ask Spread %60.2642.9477.7052.3058.28
Gamma HHI0.470.410.580.430.50
Net GEX14.5K-5.0K39.6K10.9K39.6K
Net DEX-208.5K-1.2M122.5K-334.2K-1.2M
Net VEX-3.4K-5.0K-2.7K-3.7K-5.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.022.900.490.24
Total Volume323143559
Total OI561.2512635512635

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-06-03$59.12$60.0050.8%14.6%48.5%14.0%50.8%12.5%10.8%10.9K-334.2K-3.7K0.4952.30N/AN/A3718328184
2019-06-04$60.96$60.0053.4%15.3%48.2%15.5%53.4%12.9%2.1%13.0K-482.3K-4.1K2.6348.38N/AN/A718353202
2019-06-05$58.80$60.0053.7%15.4%49.3%15.7%53.7%3.7%3.2%11.1K-281.0K-3.9K0.0761.15N/AN/A60348202
2019-06-06$59.28$40.0053.5%16.1%49.3%15.6%43.9%9.0%2.0%11.0K-308.1K-3.8K0.0776.68N/AN/A60349202
2019-06-07$57.60$40.0047.6%15.9%49.1%12.1%55.5%6.4%4.5%10.2K-146.1K-3.6K0.2356.42N/AN/A133350202
2019-06-10$55.52$40.0047.5%15.0%34.0%12.1%52.3%0.2%6.0%9.7K51.3K-3.1K0.1859.20N/AN/A234343204
2019-06-11$55.20$60.0052.5%14.3%34.0%15.0%50.1%-1.4%7.7%8.7K105.1K-2.9K0.7456.00N/AN/A54330208
2019-06-12$56.40$60.0053.2%15.3%35.0%15.4%53.2%1.9%4.2%8.0K71.5K-3.0K0.3756.88N/AN/A83331208
2019-06-13$58.48$60.0048.0%13.8%36.6%12.4%48.1%8.9%7.5%10.5K-165.5K-3.2K0.4158.80N/AN/A73332208
2019-06-14$56.96$60.0047.6%13.6%36.3%12.1%47.7%6.2%5.2%9.8K51.8K-2.9K0.5857.13N/AN/A85332211
2019-06-17$56.56$60.0050.6%14.5%36.2%13.9%50.8%36.9%6.2%9.8K122.5K-2.8K0.1063.98N/AN/A30333212
2019-06-18$56.80$60.0049.1%14.1%36.3%13.0%49.4%4.5%8.0%9.7K76.0K-2.7K0.0863.12N/AN/A30330212
2019-06-19$58.64$60.0046.2%13.2%38.8%11.3%46.2%40.2%4.5%3.4K-28.3K-2.7K2.9062.03N/AN/A1338331212
2019-06-20$59.36$60.0045.8%13.1%39.2%11.1%45.8%40.8%7.7%-5.0K-169.5K-2.8K1.1574.24N/AN/A4653337202
2019-06-21$56.56$60.0049.4%14.2%41.2%13.2%49.5%4.5%8.2%20.4K75.4K-3.1K0.8162.04N/AN/A7964384204
2019-06-24$55.36$60.0055.1%15.8%41.6%16.5%54.9%-4.5%1.4%20.2K-228.8K-3.4K0.5358.08N/AN/A63417147
2019-06-25$53.60$60.0044.9%12.9%41.4%10.5%48.8%-10.4%8.7%17.1K-44.0K-3.0K0.0277.70N/AN/A671421150
2019-06-26$56.96$60.0047.0%13.5%47.3%11.8%47.3%2.5%11.1%33.8K-519.1K-4.3K0.0342.94N/AN/A672485150
2019-06-27$59.84$60.0049.4%14.2%49.7%13.2%49.4%45.3%7.2%38.2K-792.1K-4.6K0.2959.81N/AN/A62485150
2019-06-28$63.68$60.0051.6%14.8%54.1%14.5%51.4%21.8%6.4%39.6K-1.2M-5.0K0.2458.28N/AN/A72485150