NDLS Options History — July 2019

In July 2019, NDLS traded between $58.64 and $67.44. ATM implied volatility averaged 64.9%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 19.3%. IV traded above realized volatility by 15.9% (HV 20d: 49.0%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 2.52.

Notable Days

  • 2019-07-23: Highest Volume — 157 contracts
  • 2019-07-10: Largest IV spike — 47.3% change
  • 2019-07-31: Highest IV Rank — 41.6%
  • 2019-07-31: Largest Expected Move — 28.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.77$58.64$67.44$64.48$59.68
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV64.9%41.4%98.1%48.9%98.1%
Expected Move19.3%13.4%28.1%14.0%28.1%
HV 20d49.0%34.1%55.2%53.8%34.1%
HV 60d45.7%44.3%46.3%44.3%45.9%
IV Rank22.3%8.5%41.6%12.9%41.6%
IV Percentile60.9%6.0%96.4%22.6%96.4%
Term Structure-9.6%-34.0%11.1%7.5%-34.0%
VWIV65.0%46.8%99.2%48.9%98.0%
Skew 25d5.0%-17.7%28.6%9.0%-8.0%
Skew 10d12.5%-30.3%75.7%72.2%-7.4%
Call IV 25d58.2%33.4%99.3%39.8%64.4%
Put IV 25d63.2%34.2%83.1%48.8%56.4%
Bid-Ask Spread %21.959.1858.1358.1312.04
Gamma HHI0.540.450.890.510.51
Net GEX28.5K7.4K45.1K45.1K34.2K
Net DEX-940.1K-1.7M-260.5K-1.3M-954.9K
Net VEX-3.7K-4.7K-2.7K-4.7K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.520.0117.500.820.12
Total Volume38.54541572099
Total OI588.545437704634704

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$64.48$60.0048.9%14.0%53.8%12.9%48.9%9.0%7.5%45.1K-1.3M-4.7K0.8258.13N/AN/A119484150
2019-07-02$61.84$60.0046.9%13.4%55.2%11.7%46.8%9.9%11.1%43.3K-1.0M-4.5K0.9341.34N/AN/A1110478150
2019-07-03$63.04$60.0050.5%14.5%53.8%13.8%50.4%21.5%9.8%42.7K-1.1M-4.5K0.9046.45N/AN/A1110478151
2019-07-05$64.72$60.0048.4%17.1%54.4%12.6%58.6%23.7%-3.7%42.8K-1.3M-4.4K0.5514.37N/AN/A1810476151
2019-07-08$67.44$60.0041.4%18.5%54.4%8.5%58.0%-6.8%-8.2%37.0K-1.7M-4.4K0.0215.39N/AN/A1042480151
2019-07-09$67.04$60.0042.0%18.0%52.1%8.8%62.7%1.5%-4.4%25.8K-1.3M-4.0K0.1517.29N/AN/A112413152
2019-07-10$65.12$60.0061.8%17.7%53.7%20.4%58.5%4.4%-6.6%24.3K-1.1M-3.8K0.3424.29N/AN/A41412152
2019-07-11$64.96$60.0062.3%17.8%53.6%20.7%61.3%-1.2%-5.5%27.5K-1.1M-3.8K0.5919.99N/AN/A32414152
2019-07-12$65.44$60.0062.3%17.9%52.4%20.7%55.9%28.6%-7.0%25.8K-1.1M-3.8K0.6416.58N/AN/A32413152
2019-07-15$64.24$60.0062.8%18.0%51.9%21.0%62.5%-0.2%-7.0%16.5K-1.1M-3.5K4.0524.16N/AN/A519413152
2019-07-16$62.80$60.0062.6%17.9%52.7%20.9%63.1%-1.5%-7.9%31.8K-909.1K-3.4K4.0810.94N/AN/A519416168
2019-07-17$61.92$60.0061.2%17.5%53.1%20.1%60.6%12.9%-3.6%43.8K-758.1K-3.3K0.0135.90N/AN/A681414154
2019-07-18$62.24$60.0059.5%17.1%52.1%19.1%59.7%-4.5%-3.5%29.9K-741.7K-3.0K1.129.18N/AN/A45379154
2019-07-19$62.16$60.0062.4%17.9%52.0%20.8%62.6%-4.5%-7.1%9.0K-765.8K-3.0K0.8611.47N/AN/A55379154
2019-07-22$61.84$60.0061.6%17.7%48.6%20.3%66.1%-10.2%-9.4%8.1K-290.1K-2.7K10.6314.91N/AN/A225299138
2019-07-23$61.60$60.0068.2%19.5%47.8%24.2%68.1%13.6%-12.1%7.4K-260.5K-2.9K0.2110.41N/AN/A13027298164
2019-07-24$59.44$60.0071.9%20.6%48.1%26.3%71.5%11.8%-17.1%20.3K-494.4K-3.4K0.5413.05N/AN/A2715412164
2019-07-25$58.64$60.0077.2%22.1%43.8%29.4%64.7%9.4%-19.5%20.6K-474.5K-3.3K8.7513.25N/AN/A213423164
2019-07-26$59.28$60.0087.6%25.1%40.2%35.5%87.4%9.4%-24.2%20.3K-543.0K-3.6K0.1014.54N/AN/A12713423164
2019-07-29$61.28$60.0093.0%26.7%35.2%38.6%0.0%-17.7%-26.9%35.9K-1.1M-4.1K0.0030.72N/AN/A04536164
2019-07-30$61.84$60.0097.8%28.0%35.0%41.4%99.2%8.3%-31.3%35.9K-1.2M-4.2K17.5028.59N/AN/A04536167
2019-07-31$59.68$60.0098.1%28.1%34.1%41.6%98.0%-8.0%-34.0%34.2K-954.9K-3.8K0.1212.04N/AN/A8811536168