NDLS Options History — November 2019

In November 2019, NDLS traded between $42.96 and $50.88. ATM implied volatility averaged 67.9%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 13.1% (HV 20d: 54.8%). 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 12 of 20 days. Put/call ratio averaged 2.30.

Notable Days

  • 2019-11-07: Highest Volume — 68 contracts
  • 2019-11-13: Largest IV drop — 65.4% change
  • 2019-11-07: Highest IV Rank — 56.2%
  • 2019-11-01: Largest Expected Move — 29.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.53$42.96$50.88$43.28$50.88
Max Pain$45.00$40.00$60.00$40.00$40.00
ATM IV67.9%36.5%123.1%102.5%37.6%
Expected Move16.1%10.5%29.4%29.4%10.8%
HV 20d54.8%46.8%61.8%61.7%52.0%
HV 60d50.7%47.4%53.0%49.2%53.0%
IV Rank24.0%5.7%56.2%44.2%6.3%
IV Percentile45.6%3.2%98.8%96.0%4.4%
Term Structure6.5%-34.4%26.9%-34.4%26.9%
VWIV65.3%35.0%107.6%107.6%67.7%
Skew 25d8.4%-15.9%30.9%30.9%5.9%
Skew 10d40.2%-1.6%68.2%27.5%14.8%
Call IV 25d54.2%36.1%68.4%37.9%54.7%
Put IV 25d62.6%35.0%77.6%68.9%60.7%
Bid-Ask Spread %51.6319.4968.0657.0052.53
Gamma HHI0.360.340.380.340.38
Net GEX17.2K13.3K22.3K13.7K22.3K
Net DEX-1.1M-1.5M-830.1K-882.0K-1.3M
Net VEX-4.7K-5.1K-4.3K-4.8K-4.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.300.0022.450.000.00
Total Volume1806833
Total OI882.956991,134965714

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$43.28$40.00102.5%29.4%61.7%44.2%107.6%30.9%-34.4%13.7K-882.0K-4.8K0.0057.00N/AN/A30813152
2019-11-04$43.84$60.00110.5%17.6%61.8%48.9%89.5%8.3%-10.8%14.0K-904.5K-4.6K0.0266.84N/AN/A180812152
2019-11-05$43.76$60.00107.5%21.0%61.7%47.1%84.6%12.4%-4.8%14.1K-906.7K-4.6K0.3452.95N/AN/A41824152
2019-11-06$42.96$60.00117.7%22.0%47.0%53.1%89.1%11.7%-6.2%13.3K-830.1K-4.5K0.0153.32N/AN/A80824154
2019-11-07$44.40$60.00123.1%21.2%47.8%56.2%83.4%8.8%-1.0%15.2K-1.1M-4.3K0.4159.50N/AN/A4820831154
2019-11-08$45.12$60.0056.3%18.8%46.8%17.2%66.5%14.1%-0.7%15.5K-1.1M-4.5K0.2663.88N/AN/A3910870165
2019-11-11$47.52$40.0082.1%16.2%48.4%32.3%63.0%11.7%16.4%19.4K-1.4M-4.7K22.4568.06N/AN/A131884173
2019-11-12$49.68$40.00105.5%16.7%49.4%46.0%0.0%16.9%-16.1%19.7K-1.5M-5.1K1.1120.04N/AN/A23884196
2019-11-13$50.64$40.0036.5%10.5%48.6%5.7%35.0%3.0%25.4%20.4K-1.5M-5.0K0.4351.93N/AN/A31882196
2019-11-14$47.04$40.0055.4%15.9%56.6%16.7%57.5%5.0%11.2%17.6K-1.2M-4.5K0.1939.31N/AN/A5610882196
2019-11-15$46.96$40.0038.0%10.9%55.5%6.5%35.7%4.7%17.9%17.8K-1.3M-4.8K1.2153.70N/AN/A1113928206
2019-11-18$44.24$40.0053.0%15.2%59.6%15.3%54.3%13.5%7.2%15.8K-888.1K-4.7K0.0250.02N/AN/A281604101
2019-11-19$45.68$40.0049.8%14.3%60.3%13.4%40.7%20.8%17.1%17.5K-992.7K-4.8K0.5359.70N/AN/A53601101
2019-11-20$46.16$40.0068.1%19.5%59.9%24.1%0.0%23.5%-6.5%17.7K-989.0K-4.8K0.0055.00N/AN/A00598101
2019-11-21$46.16$40.0039.6%11.3%58.2%7.4%0.0%3.8%20.6%16.0K-994.5K-4.8K0.0053.47N/AN/A00598101
2019-11-22$45.44$40.0040.1%11.5%58.4%7.7%0.0%-1.1%13.0%15.3K-947.4K-4.6K0.0019.49N/AN/A00598101
2019-11-25$48.08$40.0043.0%12.3%55.0%9.5%0.0%5.9%21.5%17.9K-1.1M-4.7K0.4251.50N/AN/A21598101
2019-11-26$48.64$40.0044.0%12.6%55.0%10.0%39.7%-15.9%6.6%18.8K-1.2M-4.7K11.6753.24N/AN/A226599102
2019-11-27$50.16$40.0048.1%13.8%53.0%12.4%67.7%-15.5%26.3%21.5K-1.3M-5.0K0.0251.15N/AN/A70601110
2019-11-29$50.88$40.0037.6%10.8%52.0%6.3%0.0%5.9%26.9%22.3K-1.3M-4.8K0.0052.53N/AN/A30604110