NDLS Options History — June 2020

In June 2020, NDLS traded between $41.52 and $53.92. ATM implied volatility averaged 72.6%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded below realized volatility by 2.4% (HV 20d: 75.0%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.48.

Notable Days

  • 2020-06-02: Highest Volume — 680 contracts
  • 2020-06-10: Largest IV spike — 40.8% change
  • 2020-06-25: Highest IV Rank — 28.0%
  • 2020-06-25: Largest Expected Move — 25.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.24$41.52$53.92$47.92$48.48
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV72.6%47.1%90.2%83.2%85.7%
Expected Move21.4%13.5%25.9%23.8%24.6%
HV 20d75.0%57.4%86.2%77.1%86.1%
HV 60d121.2%101.7%134.9%134.9%101.7%
IV Rank18.9%5.8%28.0%24.4%25.7%
IV Percentile51.6%11.5%74.6%67.5%69.4%
Term Structure10.4%-17.3%61.9%-2.9%0.3%
VWIV67.0%48.2%89.3%51.0%49.2%
Bid-Ask Spread %64.3846.0584.8356.2665.00
Gamma HHI0.570.320.730.320.62
Net GEX43.0K21.4K62.8K22.5K53.1K
Net DEX-2.1M-3.4M-1.2M-1.2M-2.3M
Net VEX-10.9K-14.3K-5.0K-5.2K-11.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.003.300.700.77
Total Volume57.091068057
Total OI1,558.7279721,6549721,600

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$47.92$40.0083.2%23.8%77.1%24.4%0.0%0.0%-2.9%22.5K-1.2M-5.2K0.7056.26N/AN/A32759213
2020-06-02$48.32$40.0063.3%18.1%76.9%14.1%51.0%0.0%0.2%21.4K-1.2M-5.0K0.0050.32N/AN/A6791760214
2020-06-03$49.52$40.0047.1%13.5%61.8%5.8%52.9%0.0%19.7%50.2K-2.6M-12.8K0.1147.39N/AN/A180191,373215
2020-06-04$50.64$40.0047.4%17.8%60.6%6.0%70.2%0.0%4.7%53.5K-2.6M-13.3K2.0169.21N/AN/A22441,377234
2020-06-05$53.92$40.0057.1%17.9%61.4%11.0%63.6%0.0%-0.2%62.8K-3.4M-14.3K0.0546.05N/AN/A5631,384234
2020-06-08$52.96$40.0065.2%18.8%57.4%15.1%65.6%0.0%-0.1%59.1K-3.2M-14.1K0.3053.47N/AN/A521,389236
2020-06-09$48.48$40.0058.8%23.2%68.0%11.8%66.9%0.0%9.5%47.2K-2.4M-12.6K0.0165.13N/AN/A1701,388235
2020-06-10$47.76$40.0082.7%23.7%68.6%24.1%48.2%0.0%0.5%45.9K-2.2M-11.7K0.0075.83N/AN/A701,402235
2020-06-11$43.04$40.0085.9%24.6%74.8%25.8%85.0%0.0%3.1%30.3K-1.4M-10.1K0.2674.43N/AN/A1541,402235
2020-06-12$45.12$40.0083.4%23.9%75.8%24.5%77.9%0.0%-17.3%40.7K-1.9M-11.2K0.7579.94N/AN/A111,408238
2020-06-15$44.32$40.0083.5%23.9%73.8%24.5%82.7%0.0%-1.5%35.2K-1.7M-10.8K0.0875.99N/AN/A811,409238
2020-06-16$42.48$40.0072.8%20.9%70.2%19.1%87.9%0.0%29.3%27.3K-1.6M-10.5K0.0784.83N/AN/A501,411238
2020-06-17$41.52$40.0079.9%22.9%70.9%22.7%58.0%0.0%9.2%24.5K-1.3M-9.3K0.0383.68N/AN/A1401,411238
2020-06-18$46.40$40.0080.5%23.1%80.1%23.0%79.2%0.0%-12.9%44.8K-2.0M-10.9K0.0977.24N/AN/A1611,413238
2020-06-19$46.64$40.0064.1%18.4%79.8%14.6%70.5%0.0%53.9%47.8K-2.1M-11.3K0.1066.96N/AN/A5651,416238
2020-06-22$45.60$40.0056.8%16.3%80.0%10.8%79.6%0.0%61.9%45.5K-2.0M-10.8K0.2251.90N/AN/A311,404163
2020-06-23$49.52$40.0075.8%21.7%84.0%20.6%74.3%0.0%26.4%55.3K-2.6M-12.2K3.3058.07N/AN/A11371,406163
2020-06-24$46.24$40.0072.5%20.8%85.8%18.9%53.7%0.0%20.2%44.4K-1.9M-10.3K1.3067.45N/AN/A9121,410176
2020-06-25$45.68$40.0090.2%25.9%85.6%28.0%89.3%0.0%-7.4%42.9K-1.8M-10.4K0.0058.38N/AN/A501,407187
2020-06-26$46.32$40.0086.3%24.7%85.1%26.0%48.6%0.0%-11.8%43.3K-1.8M-10.4K0.3360.98N/AN/A001,410187
2020-06-29$48.48$40.0074.9%21.5%86.2%20.1%52.9%0.0%45.2%48.4K-2.3M-11.5K0.0747.96N/AN/A401,410188
2020-06-30$48.48$40.0085.7%24.6%86.1%25.7%49.2%0.0%0.3%53.1K-2.3M-11.3K0.7765.00N/AN/A431,412188