NDLS Options History — December 2019

In December 2019, NDLS traded between $43.28 and $49.52. ATM implied volatility averaged 50.9%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 7.9% (HV 20d: 43.0%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.84.

Notable Days

  • 2019-12-19: Highest Volume — 150 contracts
  • 2019-12-19: Largest IV spike — 27.7% change
  • 2019-12-19: Highest IV Rank — 21.1%
  • 2019-12-10: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.61$43.28$49.52$49.52$44.56
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV50.9%38.6%62.9%62.8%56.0%
Expected Move14.6%10.4%18.5%18.0%16.0%
HV 20d43.0%29.0%56.0%53.5%30.9%
HV 60d51.6%49.8%53.2%53.2%50.2%
IV Rank14.1%6.9%21.1%21.0%17.0%
IV Percentile26.9%5.2%51.6%49.6%40.9%
Term Structure0.1%-37.4%23.4%-37.4%-4.6%
VWIV51.9%33.7%67.9%47.8%47.0%
Skew 25d1.5%-29.0%27.9%-11.5%5.1%
Skew 10d35.6%-4.4%87.0%-3.3%87.0%
Call IV 25d45.6%29.0%68.9%50.1%43.4%
Put IV 25d47.0%32.9%68.7%38.6%48.6%
Bid-Ask Spread %68.6543.1096.3455.1082.26
Gamma HHI0.410.360.480.370.43
Net GEX22.7K14.5K29.1K20.3K29.0K
Net DEX-1.3M-1.5M-904.9K-1.2M-1.5M
Net VEX-5.5K-6.9K-4.2K-4.6K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.009.006.550.50
Total Volume23.9520150192
Total OI905.8577111,1047111,067

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$49.52$40.0062.8%18.0%53.5%21.0%47.8%-11.5%-37.4%20.3K-1.2M-4.6K6.5555.10N/AN/A316601110
2019-12-03$48.88$40.0049.8%14.3%53.9%13.4%0.0%25.0%-23.9%17.6K-1.1M-4.6K0.0053.44N/AN/A00603126
2019-12-04$48.48$40.0046.3%13.3%54.0%11.4%0.0%4.7%3.1%17.3K-1.1M-4.5K0.0051.78N/AN/A10603126
2019-12-05$48.80$40.0058.5%11.9%53.3%18.5%56.0%-14.6%12.8%18.3K-1.1M-4.6K0.0072.23N/AN/A20603126
2019-12-06$46.40$40.0047.0%10.4%56.0%11.8%33.7%2.8%19.9%15.0K-943.9K-4.3K0.0585.97N/AN/A30605126
2019-12-09$46.48$40.0043.5%18.2%55.7%9.7%0.0%22.9%-1.8%15.5K-962.5K-4.2K0.0066.03N/AN/A00605126
2019-12-10$45.52$40.0053.6%18.5%52.9%15.6%0.0%20.5%2.1%14.5K-904.9K-4.3K0.1669.14N/AN/A6310605126
2019-12-11$45.84$40.0056.4%16.2%50.1%17.3%67.9%-29.0%-6.9%17.8K-1.1M-4.8K0.0092.92N/AN/A640667134
2019-12-12$45.20$40.0047.3%13.6%49.5%12.0%0.0%-4.4%8.2%20.4K-1.3M-5.1K0.0096.34N/AN/A1250730134
2019-12-13$44.80$40.0046.4%13.3%42.5%11.4%0.0%-1.3%6.4%24.1K-1.4M-6.0K0.0066.18N/AN/A20825134
2019-12-16$44.32$40.0047.5%13.6%42.6%12.1%43.7%-15.1%-2.3%24.3K-1.3M-5.7K0.0067.30N/AN/A20827134
2019-12-17$44.40$40.0060.6%17.4%37.0%19.7%0.0%18.5%2.7%23.8K-1.3M-5.8K0.0067.16N/AN/A01826134
2019-12-18$45.76$40.0049.2%14.1%36.7%13.1%0.0%1.3%2.2%25.8K-1.5M-5.7K1.7146.36N/AN/A12826134
2019-12-19$44.72$40.0062.9%18.0%37.4%21.1%64.4%20.8%-1.5%25.3K-1.4M-5.7K0.1782.41N/AN/A12822827135
2019-12-20$44.64$40.0051.2%14.7%37.4%14.2%0.0%-7.4%-2.1%29.1K-1.5M-6.9K0.0882.91N/AN/A222954150
2019-12-23$43.44$40.0042.9%12.3%38.2%9.4%56.2%-14.5%2.4%28.4K-1.4M-6.8K1.3382.13N/AN/A68910138
2019-12-24$43.84$40.0051.0%14.6%31.7%14.1%0.0%-5.9%1.6%28.3K-1.4M-6.8K1.5043.10N/AN/A11913144
2019-12-26$44.56$40.0049.0%14.0%32.0%13.0%39.0%-11.6%-1.4%28.0K-1.4M-5.8K6.8866.03N/AN/A17913145
2019-12-27$44.40$40.0038.6%11.1%29.2%6.9%0.0%-3.6%23.4%28.4K-1.5M-6.7K9.0045.27N/AN/A02913152
2019-12-30$43.28$40.0048.5%13.9%29.0%12.7%62.8%27.9%-0.4%26.0K-1.2M-5.5K7.0067.58N/AN/A15913153
2019-12-31$44.56$40.0056.0%16.0%30.9%17.0%47.0%5.1%-4.6%29.0K-1.5M-6.6K0.5082.26N/AN/A11913154