NDLS Options History — January 2020

In January 2020, NDLS traded between $43.20 and $58.16. ATM implied volatility averaged 56.9%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 11.2% (HV 20d: 45.7%). 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 19 of 21 days. Put/call ratio averaged 1.72.

Notable Days

  • 2020-01-24: Highest Volume — 384 contracts
  • 2020-01-13: Largest IV spike — 58.2% change
  • 2020-01-13: Highest IV Rank — 43.4%
  • 2020-01-10: Largest Expected Move — 19.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.58$43.20$58.16$43.20$56.96
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV56.9%40.1%101.0%40.1%54.7%
Expected Move15.2%11.5%19.6%11.5%15.7%
HV 20d45.7%32.1%51.1%32.1%45.7%
HV 60d48.3%45.8%50.7%50.6%45.9%
IV Rank17.6%7.8%43.4%7.8%16.3%
IV Percentile39.4%7.1%92.9%7.1%38.1%
Term Structure12.3%-12.2%22.6%17.6%19.3%
VWIV52.1%37.0%73.4%37.0%55.7%
Skew 25d2.5%-21.3%46.6%-11.9%46.6%
Skew 10d8.8%-40.0%61.8%10.4%60.2%
Call IV 25d50.9%31.3%65.7%52.7%60.5%
Put IV 25d53.4%37.1%107.0%40.8%107.0%
Bid-Ask Spread %77.0744.8999.4744.8988.92
Gamma HHI0.530.430.730.440.51
Net GEX40.0K27.5K57.4K27.5K55.6K
Net DEX-2.4M-3.2M-1.3M-1.3M-2.6M
Net VEX-7.8K-12.4K-6.1K-6.2K-12.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.0010.0010.000.17
Total Volume43.286038437
Total OI1,129.5718941,2731,0681,273

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$43.20$40.0040.1%11.5%32.1%7.8%37.0%-11.9%17.6%27.5K-1.3M-6.2K10.0044.89N/AN/A03913155
2020-01-03$44.08$40.0061.5%17.6%33.4%20.2%73.4%-10.6%-12.2%28.6K-1.4M-6.3K2.0080.00N/AN/A00913156
2020-01-06$47.44$40.0055.7%14.1%43.4%16.9%39.2%3.6%13.4%31.6K-1.9M-6.4K0.0399.47N/AN/A281913156
2020-01-07$46.08$40.0054.4%18.5%40.8%16.1%64.5%20.9%5.9%32.1K-1.7M-6.6K0.0085.19N/AN/A05939157
2020-01-08$46.40$40.0048.8%18.9%40.9%12.9%38.3%21.3%5.1%32.8K-1.8M-6.6K0.0085.59N/AN/A00939158
2020-01-09$49.44$40.0067.3%12.4%45.8%23.7%57.5%-21.3%19.0%34.7K-2.2M-6.9K0.3485.24N/AN/A135939159
2020-01-10$48.48$40.0063.9%19.6%46.6%21.7%68.5%27.7%3.5%35.0K-2.1M-6.7K3.8987.32N/AN/A14949163
2020-01-13$49.60$40.00101.0%15.9%46.6%43.4%48.2%12.6%5.2%35.4K-2.2M-6.6K0.3299.29N/AN/A21950162
2020-01-14$51.84$40.0081.2%13.4%48.4%31.8%46.2%-9.8%19.0%35.4K-2.6M-6.1K10.0090.94N/AN/A215951162
2020-01-15$54.96$40.0051.7%14.8%51.1%14.5%51.9%-8.8%14.3%38.0K-2.9M-6.5K0.4074.50N/AN/A21952173
2020-01-16$55.20$40.0048.3%13.8%51.1%12.5%47.7%-10.6%17.4%38.1K-3.0M-6.4K0.2983.71N/AN/A41954173
2020-01-17$55.68$40.0045.7%13.1%50.5%11.0%45.8%-11.3%18.9%39.2K-3.0M-6.3K0.0085.11N/AN/A30954173
2020-01-21$56.16$40.0051.9%14.9%49.1%14.6%51.9%-20.2%11.8%39.4K-3.1M-6.3K0.0471.26N/AN/A90944145
2020-01-22$56.72$40.0050.3%14.4%48.8%13.7%50.3%-12.3%15.3%40.7K-3.2M-6.4K5.9657.36N/AN/A320953145
2020-01-23$56.56$40.0046.8%13.4%46.9%11.7%46.8%39.3%21.5%39.7K-3.1M-6.2K0.0161.84N/AN/A2511953164
2020-01-24$56.08$40.0055.8%16.0%47.6%16.9%55.8%-3.0%15.1%36.7K-1.9M-6.4K0.0061.21N/AN/A3840729165
2020-01-27$55.76$40.0056.5%16.2%48.0%17.4%56.8%-4.6%-11.5%49.1K-2.5M-11.3K0.0379.01N/AN/A10541,066165
2020-01-28$58.16$40.0051.8%14.8%48.8%14.6%52.0%-1.6%22.6%57.4K-2.8M-12.4K0.1961.04N/AN/A1021,104167
2020-01-29$57.52$40.0051.8%14.8%47.5%14.6%51.8%2.6%20.9%55.3K-2.7M-12.3K0.6374.77N/AN/A211,099169
2020-01-30$57.84$40.0055.6%15.9%47.3%16.8%55.6%4.0%17.4%56.8K-2.7M-12.3K0.1461.79N/AN/A1721,098169
2020-01-31$56.96$40.0054.7%15.7%45.7%16.3%55.7%46.6%19.3%55.6K-2.6M-12.1K0.1788.92N/AN/A611,103170