NDLS Options History — August 2019

In August 2019, NDLS traded between $42.40 and $61.52. ATM implied volatility averaged 73.3%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded above realized volatility by 22.8% (HV 20d: 50.5%). Max pain ranged from $60.00 to $80.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 2.39.

Notable Days

  • 2019-08-08: Highest Volume — 143 contracts
  • 2019-08-07: Largest IV drop — 50.9% change
  • 2019-08-06: Highest IV Rank — 56.6%
  • 2019-08-02: Largest Expected Move — 30.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.25$42.40$61.52$59.28$46.16
Max Pain$60.91$60.00$80.00$60.00$60.00
ATM IV73.3%46.7%123.7%103.7%60.0%
Expected Move19.7%13.4%30.1%29.7%17.2%
HV 20d50.5%27.1%59.5%33.2%59.4%
HV 60d48.4%41.8%50.4%45.7%50.4%
IV Rank27.2%11.6%56.6%44.9%19.4%
IV Percentile69.3%13.1%99.2%97.6%56.3%
Term Structure-1.9%-37.7%23.2%-37.7%23.2%
VWIV66.5%41.0%107.1%102.6%47.9%
Skew 25d5.1%-28.1%51.2%-12.1%21.2%
Skew 10d27.3%-11.2%88.7%-11.2%59.4%
Call IV 25d60.6%40.9%82.0%69.5%48.1%
Put IV 25d65.8%34.2%104.3%57.4%69.3%
Bid-Ask Spread %59.1215.1185.6416.5178.60
Gamma HHI0.430.330.680.500.46
Net GEX12.6K-1.1K44.3K39.8K9.4K
Net DEX-103.7K-1.3M436.1K-1.1M-282.9K
Net VEX-3.2K-4.6K-1.8K-4.6K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.390.0030.000.160.00
Total Volume35.7730143752
Total OI784.9555781,043787728

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$59.28$60.00103.7%29.7%33.2%44.9%102.6%-12.1%-37.7%39.8K-1.1M-4.6K0.1616.51N/AN/A6411623164
2019-08-02$59.84$60.00104.8%30.1%31.8%45.6%107.1%-10.5%-36.1%40.9K-1.1M-4.3K0.1115.11N/AN/A10623164
2019-08-05$59.04$60.00118.6%20.4%27.1%53.6%67.5%15.3%-6.9%39.7K-1.0M-4.2K1.3847.26N/AN/A34622164
2019-08-06$61.52$80.00123.7%20.8%31.9%56.6%72.7%16.7%-6.7%43.1K-1.3M-4.4K1.9539.20N/AN/A3059621165
2019-08-07$55.20$60.0060.8%15.0%48.3%19.8%52.3%-2.1%5.2%44.3K-199.2K-2.8K0.1057.29N/AN/A293641176
2019-08-08$52.16$60.0061.4%17.0%51.2%20.2%59.3%-11.9%1.2%5.6K216.6K-1.8K3.7365.31N/AN/A30113666175
2019-08-09$52.96$60.0047.1%16.4%51.6%11.8%57.1%-11.2%2.6%77430.1K-2.7K0.1758.59N/AN/A132696274
2019-08-12$53.28$60.0052.4%17.6%51.9%15.0%61.3%-7.6%-1.0%409408.9K-2.9K3.7341.60N/AN/A15708276
2019-08-13$54.24$60.0071.3%17.3%52.5%26.0%60.1%-7.6%-0.8%374405.8K-2.9K0.0075.78N/AN/A10709277
2019-08-14$51.20$60.0064.6%18.5%55.4%22.1%64.8%8.1%-2.6%-36436.1K-2.6K30.0066.39N/AN/A119711277
2019-08-15$48.72$60.0046.7%13.4%56.9%11.6%71.6%-28.1%16.3%-1.1K395.9K-2.5K0.0157.75N/AN/A631711271
2019-08-16$48.32$60.0069.4%19.9%56.8%24.9%41.0%28.4%2.4%2.6K339.0K-2.7K0.1553.54N/AN/A9114773270
2019-08-19$47.36$60.0057.4%16.4%56.8%17.8%71.0%-26.8%-5.2%5.8K140.2K-3.0K0.0573.76N/AN/A30392194
2019-08-20$46.16$60.0071.9%20.6%56.8%26.3%0.0%-5.4%-7.7%4.6K176.1K-2.8K0.0073.52N/AN/A00393194
2019-08-21$45.60$60.0067.5%19.4%56.3%23.8%44.0%19.3%4.0%4.2K209.7K-2.6K1.3358.29N/AN/A23393194
2019-08-22$45.60$60.0052.7%15.1%56.5%15.1%0.0%-14.7%-2.0%4.5K205.9K-2.6K0.0057.94N/AN/A067393195
2019-08-23$43.92$60.0074.0%21.2%56.4%27.5%65.9%23.2%-2.3%3.2K201.2K-2.5K0.0085.64N/AN/A1260393185
2019-08-26$43.20$60.0074.0%21.2%53.5%27.6%0.0%32.3%16.4%6.6K-177.6K-3.9K0.0084.08N/AN/A00518184
2019-08-27$42.40$60.0074.2%21.3%52.5%27.7%84.7%51.2%-0.1%5.1K-96.1K-3.5K0.0158.31N/AN/A250518184
2019-08-28$43.52$60.0080.2%23.0%54.4%31.2%0.0%32.1%-2.9%7.8K-182.1K-3.8K0.0074.81N/AN/A00543184
2019-08-29$45.84$60.0077.0%22.1%59.5%29.3%0.0%3.3%-0.1%9.7K-289.5K-4.1K0.1061.41N/AN/A10543184
2019-08-30$46.16$60.0060.0%17.2%59.4%19.4%47.9%21.2%23.2%9.4K-282.9K-4.1K0.0078.60N/AN/A20544184