NDLS Options History — October 2019

In October 2019, NDLS traded between $37.84 and $45.04. ATM implied volatility averaged 82.6%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 24.2%. IV traded above realized volatility by 30.5% (HV 20d: 52.1%). Max pain ranged from $40.00 to $60.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 1.48.

Notable Days

  • 2019-10-07: Highest Volume — 83 contracts
  • 2019-10-02: Largest IV spike — 38.6% change
  • 2019-10-31: Highest IV Rank — 42.6%
  • 2019-10-31: Largest Expected Move — 28.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.81$37.84$45.04$45.04$42.72
Max Pain$48.70$40.00$60.00$40.00$40.00
ATM IV82.6%55.7%99.7%55.7%99.7%
Expected Move24.2%16.0%28.6%16.0%28.6%
HV 20d52.1%41.3%61.5%41.4%61.5%
HV 60d49.7%44.6%54.3%44.6%50.3%
IV Rank32.6%16.9%42.6%16.9%42.6%
IV Percentile84.6%39.3%95.2%39.3%95.2%
Term Structure-14.5%-26.0%36.4%36.4%-26.0%
VWIV79.2%53.2%93.3%67.7%89.0%
Skew 25d26.9%-2.0%53.9%14.9%-2.0%
Skew 10d44.8%-12.4%91.5%32.1%11.8%
Call IV 25d66.1%52.8%83.4%52.9%65.6%
Put IV 25d93.0%63.4%122.8%67.8%63.6%
Bid-Ask Spread %65.2449.6373.4565.3556.40
Gamma HHI0.400.340.480.420.34
Net GEX7.3K4.8K12.6K8.6K12.3K
Net DEX-409.9K-751.5K-194.8K-508.1K-740.0K
Net VEX-3.8K-4.5K-3.3K-3.6K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.0021.430.030.02
Total Volume17.4780831337
Total OI819.696668935668935

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-10-01$45.04$40.0055.7%16.0%41.4%16.9%67.7%14.9%36.4%8.6K-508.1K-3.6K0.0365.35N/AN/A130545123
2019-10-02$43.28$40.0077.2%22.1%43.6%29.5%77.3%29.6%7.0%6.6K-399.0K-3.5K0.0049.63N/AN/A01557123
2019-10-03$42.08$60.0069.8%23.6%44.4%25.1%82.4%49.6%-14.4%6.0K-350.7K-3.4K0.0758.63N/AN/A20557124
2019-10-04$42.24$60.0074.1%24.3%43.9%27.6%0.0%28.6%-18.1%6.4K-377.1K-3.4K0.0071.92N/AN/A00559124
2019-10-07$42.48$60.0073.1%23.4%42.5%27.0%0.0%52.9%-16.5%6.2K-359.2K-3.3K0.0870.52N/AN/A776559124
2019-10-08$42.16$60.0071.3%23.8%41.3%26.0%60.1%34.2%-18.1%7.7K-395.7K-3.9K0.9073.45N/AN/A2523635130
2019-10-09$37.84$60.0085.9%24.6%50.9%34.5%85.9%53.9%-18.3%5.2K-197.2K-3.5K0.1272.75N/AN/A81661147
2019-10-10$38.56$60.0078.6%22.5%51.2%30.2%0.0%45.8%-14.3%4.8K-194.8K-3.4K0.0573.13N/AN/A131668147
2019-10-11$39.92$60.0083.3%23.9%53.2%33.0%83.3%20.2%-19.9%6.9K-359.4K-4.0K3.2571.87N/AN/A12687147
2019-10-14$39.12$60.0083.5%23.9%52.3%33.1%83.5%31.6%-17.0%6.0K-300.2K-3.8K3.6771.24N/AN/A01687147
2019-10-15$38.80$60.0082.8%23.7%51.4%32.7%82.7%31.3%-18.3%5.5K-265.3K-3.7K0.2567.73N/AN/A41688148
2019-10-16$40.24$60.0085.2%24.4%54.0%34.1%85.2%39.9%-19.2%7.1K-348.9K-3.9K0.5070.75N/AN/A74693149
2019-10-17$41.52$40.0081.8%23.4%55.8%32.1%53.2%35.4%-16.0%6.9K-443.7K-4.0K0.0870.61N/AN/A20697150
2019-10-18$40.48$40.0085.4%24.5%55.9%34.2%62.2%15.2%-21.0%7.5K-399.7K-4.0K0.0559.34N/AN/A20697150
2019-10-21$39.60$40.0084.2%24.1%55.4%33.5%84.2%20.5%-14.1%6.7K-353.6K-3.7K21.4357.76N/AN/A119692137
2019-10-22$39.68$40.0085.9%24.6%54.5%34.5%85.9%20.9%-15.3%5.6K-323.9K-3.7K0.0372.09N/AN/A40693152
2019-10-23$39.28$40.0085.6%24.5%53.7%34.3%85.6%5.5%-15.6%5.5K-302.7K-3.5K0.0072.21N/AN/A630697152
2019-10-24$38.08$40.0084.8%24.3%53.9%33.9%84.9%22.0%-14.0%5.6K-324.8K-3.8K0.0464.62N/AN/A30731151
2019-10-25$39.20$40.0089.4%25.6%54.6%36.6%89.4%19.3%-16.4%6.4K-387.0K-4.0K0.2358.52N/AN/A5313734151
2019-10-28$42.48$40.0092.6%26.5%60.8%38.4%73.9%23.5%-21.4%12.0K-727.2K-4.5K0.2156.08N/AN/A20784151
2019-10-29$42.72$40.0095.9%27.5%60.8%40.3%74.3%-1.3%-24.5%12.6K-751.5K-4.5K0.0058.17N/AN/A00784151
2019-10-30$41.12$40.0093.3%26.8%60.7%38.8%93.3%28.1%-19.2%11.0K-618.7K-4.3K0.0057.75N/AN/A130784151
2019-10-31$42.72$40.0099.7%28.6%61.5%42.6%89.0%-2.0%-26.0%12.3K-740.0K-4.4K0.0256.40N/AN/A361784151