NDLS Options History — May 2020

In May 2020, NDLS traded between $35.20 and $46.64. ATM implied volatility averaged 87.6%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 24.1%. IV traded below realized volatility by 22.3% (HV 20d: 110.0%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.42.

Notable Days

  • 2020-05-21: Highest Volume — 321 contracts
  • 2020-05-07: Largest IV drop — 44.5% change
  • 2020-05-04: Highest IV Rank — 46.4%
  • 2020-05-01: Largest Expected Move — 32.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.99$35.20$46.64$42.48$46.64
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV87.6%62.8%126.1%114.1%62.8%
Expected Move24.1%18.0%32.7%32.7%18.0%
HV 20d110.0%96.8%135.0%135.0%97.4%
HV 60d133.0%129.8%135.3%129.9%135.3%
IV Rank26.7%13.9%46.4%40.3%13.9%
IV Percentile67.5%42.5%89.7%85.3%42.5%
Term Structure2.7%-19.7%21.8%-19.7%21.8%
VWIV84.7%60.7%114.1%114.1%72.1%
Bid-Ask Spread %31.7513.9160.2920.6960.29
Gamma HHI0.360.310.430.430.32
Net GEX15.6K9.8K21.4K14.5K21.0K
Net DEX-795.1K-1.2M-123.3K-516.2K-1.1M
Net VEX-5.6K-7.1K-3.4K-4.4K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.0020.900.340.05
Total Volume60.751321272
Total OI1,222.39691,5911,062969

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$42.48$40.00114.1%32.7%135.0%40.3%114.1%0.0%-19.7%14.5K-516.2K-4.4K0.3420.69N/AN/A207822240
2020-05-04$42.24$40.00126.1%27.4%134.4%46.4%87.9%0.0%-2.7%14.8K-539.1K-4.3K1.0022.05N/AN/A44841240
2020-05-05$37.60$40.00121.6%26.5%132.8%44.1%96.9%0.0%2.5%9.8K-181.8K-3.4K0.2137.49N/AN/A20343841241
2020-05-06$36.88$40.00121.4%27.3%132.6%44.0%86.4%0.0%2.0%12.8K-433.0K-4.6K1.6643.62N/AN/A8131,015280
2020-05-07$36.24$40.0067.4%24.9%128.7%16.2%93.4%0.0%-3.5%11.1K-123.3K-3.9K0.2217.22N/AN/A2661,022309
2020-05-08$39.52$40.0074.2%22.9%104.8%19.7%90.2%0.0%6.8%15.5K-576.0K-5.0K1.3122.30N/AN/A20271,048307
2020-05-11$39.52$40.0089.5%25.5%100.0%27.6%93.5%0.0%1.2%16.5K-679.9K-5.0K0.0134.21N/AN/A23921,059306
2020-05-12$39.76$40.0089.7%23.5%99.9%27.7%82.4%0.0%7.5%21.4K-1.2M-7.1K0.1747.74N/AN/A1321,262307
2020-05-13$37.12$40.0094.0%26.9%102.1%29.9%80.6%0.0%4.2%16.8K-956.2K-6.4K0.2944.46N/AN/A931,266309
2020-05-14$36.80$40.0092.0%26.4%102.0%28.9%92.0%0.0%-3.3%15.0K-631.0K-6.3K1.0447.70N/AN/A10111,271308
2020-05-15$35.20$40.0088.4%25.3%101.2%27.0%88.9%0.0%4.5%14.9K-567.0K-6.2K20.9055.67N/AN/A4811,276315
2020-05-18$38.48$40.0082.9%23.8%106.4%24.2%82.9%0.0%2.0%17.2K-1.1M-6.5K0.1215.35N/AN/A121940159
2020-05-19$38.72$40.0080.5%23.1%106.4%23.0%80.5%0.0%3.7%18.4K-1.1M-6.7K0.9820.71N/AN/A76946160
2020-05-20$39.92$40.0081.1%23.3%104.3%23.3%0.0%0.0%1.2%18.6K-1.1M-6.6K0.0013.91N/AN/A20942161
2020-05-21$41.04$40.0069.5%19.9%104.4%17.3%69.4%0.0%10.2%16.3K-1.1M-7.0K0.0019.57N/AN/A3192943212
2020-05-22$40.32$40.0072.1%20.7%104.2%18.7%60.7%0.0%4.6%12.3K-834.5K-6.0K0.0820.33N/AN/A61826212
2020-05-26$41.68$40.0077.1%22.1%103.4%21.3%77.1%0.0%3.8%13.2K-862.0K-5.6K0.0018.13N/AN/A10826212
2020-05-27$44.32$40.0075.8%21.7%103.1%20.6%75.8%0.0%5.0%16.2K-1.0M-5.6K0.0048.58N/AN/A250825212
2020-05-28$45.28$40.0072.6%20.8%96.8%18.9%72.1%0.0%2.3%16.7K-1.2M-6.0K0.0225.05N/AN/A751804212
2020-05-29$46.64$40.0062.8%18.0%97.4%13.9%0.0%0.0%21.8%21.0K-1.1M-5.2K0.0560.29N/AN/A20757212