NDLS Options History — March 2020

In March 2020, NDLS traded between $30.08 and $62.08. ATM implied volatility averaged 146.7%, placing in the 71.4% IV rank vs the trailing year. The 30-day expected move averaged 40.7%. IV traded above realized volatility by 54.5% (HV 20d: 92.2%). Max pain ranged from $60.00 to $80.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 4.49.

Notable Days

  • 2020-03-04: Highest Volume — 135 contracts
  • 2020-03-09: Largest IV spike — 90.8% change
  • 2020-03-18: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 57.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.80$30.08$62.08$62.08$36.80
Max Pain$64.55$60.00$80.00$60.00$60.00
ATM IV146.7%74.4%201.7%78.4%154.7%
Expected Move40.7%21.3%57.8%22.5%44.3%
HV 20d92.2%43.4%148.3%47.8%148.1%
HV 60d68.9%43.6%96.0%43.7%95.9%
IV Rank71.4%27.8%100.0%30.1%71.7%
IV Percentile94.9%71.4%100.0%76.6%94.4%
Term Structure-13.8%-45.1%9.6%-12.6%-3.9%
VWIV143.6%72.1%238.1%78.7%192.9%
Skew 25d42.9%-5.7%98.0%-5.7%74.5%
Skew 10d63.9%0.7%119.1%0.7%119.0%
Call IV 25d105.2%55.3%192.1%69.2%117.7%
Put IV 25d148.1%63.5%233.4%63.5%192.2%
Bid-Ask Spread %83.4613.50105.8515.8787.96
Gamma HHI0.500.360.830.820.36
Net GEX23.1K6.4K67.3K63.9K12.6K
Net DEX-1.1M-2.1M-395.0K-2.0M-746.4K
Net VEX-8.1K-11.1K-5.8K-9.8K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.490.0531.0010.541.64
Total Volume34.6365135418
Total OI1,529.9551,0771,8731,5251,101

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$62.08$60.0078.4%22.5%47.8%30.1%78.7%-5.7%-12.6%63.9K-2.0M-9.8K10.5415.87N/AN/A4371,348177
2020-03-03$61.92$60.0088.6%25.4%47.8%36.1%88.7%13.7%-16.9%67.3K-2.1M-10.3K3.1045.57N/AN/A381,348215
2020-03-04$61.44$60.0074.4%21.3%43.4%27.8%72.1%11.4%-7.2%53.9K-1.8M-9.3K0.0513.50N/AN/A12871,348218
2020-03-05$57.60$80.0092.9%22.3%46.3%38.6%85.9%31.3%3.2%50.9K-1.9M-11.1K2.4687.86N/AN/A14331,473220
2020-03-06$54.40$80.0092.2%25.1%49.5%38.2%101.4%34.6%-3.8%33.9K-1.4M-10.0K8.2088.56N/AN/A5421,474247
2020-03-09$48.88$60.00175.9%33.5%60.8%87.1%116.3%17.4%-18.8%25.4K-2.0M-9.5K1.58101.63N/AN/A8131,476252
2020-03-10$48.24$80.00156.1%38.5%60.6%75.5%115.1%15.4%-14.6%25.9K-1.0M-8.8K0.1597.40N/AN/A64101,476253
2020-03-11$42.96$80.00119.3%34.2%69.9%62.0%115.3%52.6%-0.8%14.9K-694.9K-7.9K31.0082.18N/AN/A1271,537252
2020-03-12$38.72$80.00119.9%34.4%71.5%62.4%79.9%0.0%9.6%12.5K-578.8K-7.4K5.2992.52N/AN/A9451,537253
2020-03-13$44.08$60.00164.4%47.1%90.1%92.3%177.2%0.0%-17.2%22.6K-1.1M-9.0K3.63103.30N/AN/A11401,537265
2020-03-16$40.40$60.00171.7%49.2%88.2%97.2%130.0%0.0%-45.1%8.1K-1.3M-8.2K5.93105.85N/AN/A6331,538272
2020-03-17$37.52$60.00159.7%45.8%89.7%89.1%152.7%0.0%-19.8%10.1K-566.6K-7.1K1.1999.36N/AN/A9111,540264
2020-03-18$32.08$60.00201.7%57.8%98.8%100.0%206.4%49.8%-24.8%8.4K-395.0K-6.0K7.7676.36N/AN/A8601,540261
2020-03-19$30.40$60.00191.2%54.8%97.4%94.0%211.8%41.3%-16.5%7.4K-478.2K-6.0K8.4479.79N/AN/A2171,541266
2020-03-20$30.08$60.00165.9%47.6%96.9%79.6%170.2%0.0%-40.8%6.4K-708.1K-6.2K0.67105.24N/AN/A861,605268
2020-03-23$31.12$60.00172.3%49.4%100.6%83.1%174.7%52.2%-18.3%8.6K-543.3K-5.8K0.0593.69N/AN/A171898201
2020-03-24$38.80$60.00181.2%51.9%136.3%88.2%182.1%98.0%-20.4%13.0K-1.0M-7.6K0.3488.81N/AN/A93896201
2020-03-25$43.52$60.00186.3%53.4%145.2%91.2%238.1%0.0%2.4%16.3K-1.4M-8.5K3.9792.78N/AN/A415888202
2020-03-26$44.24$60.00157.5%45.2%144.8%74.7%155.4%74.6%-22.5%17.2K-1.3M-8.2K0.5997.91N/AN/A138889188
2020-03-27$40.96$60.00163.5%46.9%146.1%78.1%155.8%82.0%-3.3%15.2K-1.1M-7.6K0.6894.37N/AN/A64900192
2020-03-30$37.28$60.00159.6%45.8%148.3%74.7%159.6%0.0%-11.9%12.8K-916.9K-7.0K1.5085.73N/AN/A23905197
2020-03-31$36.80$60.00154.7%44.3%148.1%71.7%192.9%74.5%-3.9%12.6K-746.4K-6.5K1.6487.96N/AN/A35905196