NDLS Options History — February 2020 In February 2020, NDLS traded between $56.96 and $69.60. ATM implied volatility averaged 66.4%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 20.9%. IV traded above realized volatility by 24.6% (HV 20d: 41.7%). Max pain ranged from $40.00 to $60.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.68.
Notable Days 2020-02-25 : Highest Volume — 631 contracts2020-02-12 : Largest IV spike — 63.0% change2020-02-25 : Highest IV Rank — 37.9%2020-02-25 : Largest Expected Move — 26.3%Monthly Statistics Metric Avg Min Max Open Close Price $64.96 $56.96 $69.60 $56.96 $63.52 Max Pain $56.84 $40.00 $60.00 $40.00 $60.00 ATM IV 66.4% 35.8% 91.6% 53.3% 83.3% Expected Move 20.9% 14.1% 26.3% 15.3% 23.9% HV 20d 41.7% 35.5% 47.3% 45.8% 47.3% HV 60d 44.4% 42.4% 47.3% 45.9% 43.5% IV Rank 23.1% 5.2% 37.9% 15.5% 33.0% IV Percentile 54.0% 2.4% 88.9% 35.7% 82.1% Term Structure -7.4% -24.5% 23.0% 23.0% -13.3% VWIV 72.8% 49.1% 91.3% 53.9% 82.8% Skew 25d 3.0% -7.8% 10.8% 9.8% -1.1% Skew 10d 19.4% -3.6% 87.2% 14.8% 9.0% Call IV 25d 64.4% 42.4% 72.8% 52.1% 68.2% Put IV 25d 67.4% 51.4% 78.3% 61.8% 67.1% Bid-Ask Spread % 54.58 15.96 76.74 62.46 43.03 Gamma HHI 0.63 0.48 0.89 0.52 0.88 Net GEX 56.6K 38.0K 102.0K 57.6K 76.5K Net DEX -2.9M -3.7M -2.3M -2.7M -2.5M Net VEX -10.9K -12.0K -9.5K -12.0K -11.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.68 0.00 9.09 0.00 9.09 Total Volume 91.158 2 631 11 29 Total OI 1,186.316 810 1,686 1,271 1,532
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-02-03 $56.96 $40.00 53.3% 15.3% 45.8% 15.5% 0.0% 9.8% 23.0% 57.6K -2.7M -12.0K 0.00 62.46 N/A N/A 11 0 1,102 169 2020-02-04 $60.40 $40.00 53.9% 15.5% 43.5% 15.8% 53.9% 10.8% 10.1% 67.2K -3.0M -12.0K 0.01 75.85 N/A N/A 302 2 1,093 169 2020-02-05 $63.04 $40.00 49.2% 14.1% 41.9% 13.1% 49.1% 9.0% 20.9% 62.1K -3.0M -11.1K 0.89 76.74 N/A N/A 16 14 974 169 2020-02-06 $63.60 $60.00 41.1% 21.1% 41.9% 8.4% 0.0% -3.9% -11.4% 59.8K -3.0M -11.0K 0.01 45.15 N/A N/A 55 1 961 194 2020-02-07 $63.04 $60.00 35.8% 20.7% 38.7% 5.2% 72.2% -0.9% -9.6% 57.1K -2.8M -11.3K 0.00 63.44 N/A N/A 2 0 963 194 2020-02-10 $61.52 $60.00 46.2% 20.8% 39.3% 11.3% 71.5% -7.8% -10.7% 55.4K -2.6M -10.6K 0.21 47.47 N/A N/A 7 1 963 194 2020-02-11 $62.48 $60.00 44.5% 21.2% 39.1% 10.3% 71.1% -5.1% -9.8% 56.4K -2.8M -11.0K 0.07 44.04 N/A N/A 3 0 963 194 2020-02-12 $65.52 $60.00 72.5% 20.8% 39.5% 26.7% 72.2% -2.3% -8.0% 51.1K -3.3M -11.2K 0.04 45.32 N/A N/A 60 3 962 194 2020-02-13 $65.68 $60.00 73.4% 21.0% 35.5% 27.2% 0.0% 2.7% -8.1% 49.4K -3.1M -10.7K 0.60 61.57 N/A N/A 3 2 937 195 2020-02-14 $69.60 $60.00 69.9% 20.0% 39.4% 25.2% 68.6% 6.2% -6.4% 52.6K -3.7M -11.1K 0.21 57.87 N/A N/A 90 19 938 196 2020-02-18 $68.08 $60.00 82.4% 23.6% 41.2% 32.5% 84.7% 10.1% -22.7% 45.1K -3.2M -10.3K 0.03 66.17 N/A N/A 17 1 911 215 2020-02-19 $68.88 $60.00 77.2% 22.1% 41.2% 29.4% 68.6% 8.9% -11.1% 40.7K -3.3M -10.5K 0.01 57.82 N/A N/A 19 0 911 216 2020-02-20 $69.44 $60.00 77.4% 22.2% 41.2% 29.6% 78.9% 9.4% -9.3% 40.8K -3.4M -10.5K 0.21 63.58 N/A N/A 30 6 908 216 2020-02-21 $69.44 $60.00 79.8% 22.9% 41.1% 31.0% 78.5% 6.1% -17.5% 40.4K -3.3M -10.1K 0.05 43.53 N/A N/A 35 2 884 219 2020-02-24 $67.12 $60.00 79.0% 22.7% 43.6% 30.5% 79.1% 9.3% -10.0% 38.0K -2.3M -9.7K 0.15 50.24 N/A N/A 28 4 683 127 2020-02-25 $65.68 $60.00 91.6% 26.3% 44.6% 37.9% 81.9% -1.1% -24.5% 39.3K -2.3M -9.5K 0.01 59.38 N/A N/A 626 5 716 130 2020-02-26 $64.24 $60.00 90.3% 25.9% 44.0% 37.1% 91.3% -2.1% -21.3% 83.8K -2.8M -11.9K 0.25 15.96 N/A N/A 196 49 1,330 132 2020-02-27 $66.08 $60.00 59.8% 17.1% 44.3% 19.3% 60.4% -1.3% -1.9% 102.0K -2.8M -11.4K 1.05 57.46 N/A N/A 46 48 1,507 179 2020-02-28 $63.52 $60.00 83.3% 23.9% 47.3% 33.0% 82.8% -1.1% -13.3% 76.5K -2.5M -11.7K 9.09 43.03 N/A N/A 3 26 1,349 183
« Jan 2020 | All History | Mar 2020 » Home NDLS History February 2020