NDLS Options History — April 2020

In April 2020, NDLS traded between $26.72 and $51.12. ATM implied volatility averaged 131.6%, placing in the 49.9% IV rank vs the trailing year. The 30-day expected move averaged 37.6%. IV traded below realized volatility by 36.0% (HV 20d: 167.7%). Max pain ranged from $40.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 3.14.

Notable Days

  • 2020-04-29: Highest Volume — 141 contracts
  • 2020-04-30: Largest IV spike — 30.8% change
  • 2020-04-02: Highest IV Rank — 100.0%
  • 2020-04-02: Largest Expected Move — 64.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.70$26.72$51.12$29.12$50.08
Max Pain$40.95$40.00$60.00$60.00$40.00
ATM IV131.6%86.3%230.3%191.1%112.9%
Expected Move37.6%24.7%64.2%54.8%32.4%
HV 20d167.7%120.6%192.4%165.2%120.6%
HV 60d119.3%105.6%126.6%105.6%126.0%
IV Rank49.9%26.0%100.0%93.7%39.6%
IV Percentile89.5%73.8%100.0%99.2%85.3%
Term Structure-15.2%-212.4%82.9%22.5%-33.5%
VWIV127.9%88.2%180.9%180.9%116.7%
Bid-Ask Spread %40.8319.0098.4398.4328.80
Gamma HHI0.360.300.480.330.48
Net GEX15.5K5.2K31.1K8.3K15.3K
Net DEX-858.7K-1.7M43.2K-346.3K-1.1M
Net VEX-5.7K-7.7K-2.8K-4.8K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.140.0015.863.6215.86
Total Volume23.57101415415
Total OI1,153.3331,0561,2151,1041,056

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$29.12$60.00191.1%54.8%165.2%93.7%0.0%0.0%22.5%8.3K-346.3K-4.8K3.6298.43N/AN/A1242903201
2020-04-02$27.28$40.00230.3%64.2%165.2%100.0%180.9%0.0%-212.4%7.6K-253.2K-4.4K11.4564.70N/AN/A332913233
2020-04-03$26.72$40.00164.9%47.6%165.2%66.4%0.0%0.0%-42.3%5.2K43.2K-2.8K1.1528.62N/AN/A45916224
2020-04-06$31.36$40.00126.1%40.4%176.7%46.4%141.5%0.0%-18.5%9.4K-346.4K-5.0K1.6564.17N/AN/A34918224
2020-04-07$32.72$40.00154.1%38.9%178.1%60.8%146.0%0.0%-6.0%10.5K-434.9K-5.4K0.2942.84N/AN/A72918224
2020-04-08$35.92$40.00124.0%35.5%178.6%45.3%122.3%0.0%4.4%11.1K-636.4K-5.9K0.3643.61N/AN/A135918224
2020-04-09$44.80$40.00136.3%39.1%192.4%51.7%142.2%0.0%-7.4%18.2K-1.4M-7.7K0.5141.74N/AN/A5327924228
2020-04-13$40.96$40.00136.9%39.3%189.6%52.0%136.1%0.0%-12.4%15.7K-945.2K-6.6K3.0835.95N/AN/A824942255
2020-04-14$41.52$40.00126.6%36.3%187.1%46.7%126.9%0.0%-7.5%18.1K-1.0M-6.6K0.4937.12N/AN/A147944271
2020-04-15$40.08$40.00129.8%37.2%185.5%48.3%128.5%0.0%82.9%13.2K-833.9K-6.2K0.6227.62N/AN/A32935270
2020-04-16$40.40$40.00129.2%37.0%175.6%48.0%125.5%0.0%-15.4%12.8K-812.1K-6.1K0.5030.82N/AN/A42938268
2020-04-17$42.24$40.00125.1%35.9%174.2%45.9%125.9%0.0%-10.4%19.2K-1.0M-6.3K0.7032.51N/AN/A86939267
2020-04-20$40.80$40.00123.5%35.4%174.9%45.1%124.3%0.0%-5.4%17.5K-951.0K-6.2K1.0240.34N/AN/A66927219
2020-04-21$41.04$40.00128.0%36.7%174.8%47.4%128.3%0.0%-14.5%17.7K-940.6K-6.0K6.4038.37N/AN/A14926219
2020-04-22$43.76$40.00129.6%37.2%158.3%48.2%133.6%0.0%-14.6%21.1K-1.1M-6.3K5.9045.78N/AN/A17927220
2020-04-23$42.48$40.00115.9%33.2%153.4%41.2%0.0%0.0%-7.9%19.4K-998.1K-5.9K0.0037.73N/AN/A00928213
2020-04-24$41.44$40.0099.2%28.4%153.5%32.6%99.2%0.0%-5.8%18.1K-882.8K-5.7K0.9223.27N/AN/A21928213
2020-04-27$43.52$40.00106.6%30.6%151.9%36.4%88.2%0.0%-8.9%20.1K-1.0M-5.8K3.0019.00N/AN/A12927217
2020-04-28$46.40$40.0087.8%25.2%148.9%26.7%0.0%0.0%22.4%15.7K-1.3M-5.3K8.3327.85N/AN/A216927219
2020-04-29$51.12$40.0086.3%24.7%151.6%26.0%108.5%0.0%-27.6%31.1K-1.7M-6.7K0.0648.07N/AN/A1338925232
2020-04-30$50.08$40.00112.9%32.4%120.6%39.6%116.7%0.0%-33.5%15.3K-1.1M-4.6K15.8628.80N/AN/A114822234