NDLS Options History — September 2019

In September 2019, NDLS traded between $43.68 and $51.44. ATM implied volatility averaged 68.5%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded above realized volatility by 25.4% (HV 20d: 43.2%). Max pain ranged from $40.00 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.47.

Notable Days

  • 2019-09-17: Highest Volume — 99 contracts
  • 2019-09-18: Largest IV spike — 35.6% change
  • 2019-09-19: Highest IV Rank — 31.9%
  • 2019-09-19: Largest Expected Move — 23.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.54$43.68$51.44$46.48$45.36
Max Pain$43.00$40.00$60.00$60.00$40.00
ATM IV68.5%46.0%81.5%64.5%78.3%
Expected Move20.2%13.2%23.4%18.5%22.5%
HV 20d43.2%39.1%59.8%59.8%41.5%
HV 60d48.6%45.1%50.7%50.2%45.6%
IV Rank24.4%11.2%31.9%22.0%30.1%
IV Percentile67.5%11.5%88.1%64.3%83.7%
Term Structure10.3%-5.5%34.7%-1.9%9.4%
VWIV77.9%65.4%88.4%88.4%76.0%
Skew 25d8.8%-4.7%30.1%-2.7%11.4%
Skew 10d38.9%-15.2%85.8%3.1%85.8%
Call IV 25d66.7%38.1%84.1%52.1%84.0%
Put IV 25d75.5%45.5%95.4%49.4%95.4%
Bid-Ask Spread %60.3442.9197.7984.6357.20
Gamma HHI0.480.430.510.480.43
Net GEX9.6K6.7K12.8K10.4K8.8K
Net DEX-383.0K-575.5K-231.7K-344.0K-532.6K
Net VEX-3.7K-4.2K-3.2K-4.2K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.0015.000.050.05
Total Volume8.5099314
Total OI715.75623823729654

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$46.48$60.0064.5%18.5%59.8%22.0%0.0%-2.7%-1.9%10.4K-344.0K-4.2K0.0584.63N/AN/A30545184
2019-09-04$46.56$60.0065.0%18.6%56.7%22.3%0.0%-2.3%-5.5%10.1K-307.5K-3.9K0.0957.86N/AN/A10545184
2019-09-05$46.48$60.0077.8%22.6%44.5%29.8%88.4%5.5%5.0%7.1K-231.7K-3.6K5.5048.21N/AN/A13547184
2019-09-06$47.20$40.0054.8%22.4%41.4%16.3%0.0%2.6%5.4%8.1K-252.9K-3.6K0.0067.04N/AN/A30547187
2019-09-09$48.48$40.0066.2%22.3%42.3%23.0%0.0%1.0%7.4%10.3K-337.5K-3.7K0.0053.15N/AN/A10547187
2019-09-10$49.44$40.0076.1%23.3%43.0%28.8%0.0%10.4%5.1%12.8K-417.1K-3.9K0.0054.39N/AN/A00547187
2019-09-11$51.44$40.0069.0%19.8%45.1%24.6%69.0%15.3%7.7%11.0K-447.4K-3.9K0.0065.72N/AN/A10547187
2019-09-12$49.28$40.0077.6%22.2%43.0%29.6%0.0%4.4%12.5%12.3K-379.6K-3.7K0.8685.69N/AN/A11547187
2019-09-13$49.92$40.0078.1%22.4%39.4%30.0%0.0%4.9%6.7%9.4K-358.6K-3.6K0.0069.56N/AN/A00548187
2019-09-16$50.72$40.0065.3%18.7%39.5%22.5%87.4%3.4%11.4%10.2K-400.1K-3.6K0.0067.20N/AN/A10548187
2019-09-17$48.80$40.0046.0%13.2%41.4%11.2%0.0%1.0%27.2%8.7K-303.2K-3.3K0.0060.01N/AN/A990549187
2019-09-18$47.84$40.0062.4%17.9%41.0%20.8%0.0%-4.7%5.2%10.6K-355.9K-4.0K0.0097.79N/AN/A00636187
2019-09-19$47.68$40.0081.5%23.4%40.7%31.9%80.9%29.9%1.0%10.0K-321.3K-3.9K15.0048.88N/AN/A04636186
2019-09-20$46.64$40.0055.8%16.0%41.6%16.9%0.0%5.4%34.7%9.6K-311.4K-3.8K0.0052.18N/AN/A00636182
2019-09-23$47.44$40.0065.2%18.7%39.3%22.4%0.0%30.1%28.0%10.3K-575.5K-3.9K0.0054.69N/AN/A10503120
2019-09-24$45.68$40.0071.3%20.4%41.4%26.0%65.4%0.9%11.2%8.5K-468.2K-3.5K0.0642.91N/AN/A20504120
2019-09-25$46.48$40.0074.5%21.4%40.9%27.9%76.0%23.1%11.8%9.3K-515.7K-3.7K1.8243.53N/AN/A13507120
2019-09-26$45.20$40.0069.0%19.8%41.6%24.6%0.0%22.3%14.1%7.7K-436.6K-3.4K0.1344.80N/AN/A20508122
2019-09-27$43.68$40.0072.1%20.7%39.1%26.4%0.0%14.1%10.2%6.7K-363.2K-3.2K0.0051.42N/AN/A280507122
2019-09-30$45.36$40.0078.3%22.5%41.5%30.1%0.0%11.4%9.4%8.8K-532.6K-3.8K0.0557.20N/AN/A131532122