NDLS Options History — July 2020

In July 2020, NDLS traded between $44.24 and $57.60. ATM implied volatility averaged 90.9%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 24.4%. IV traded above realized volatility by 25.9% (HV 20d: 65.0%). 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 6 of 22 days. Put/call ratio averaged 1.01.

Notable Days

  • 2020-07-29: Highest Volume — 484 contracts
  • 2020-07-16: Largest IV spike — 51.9% change
  • 2020-07-10: Highest IV Rank — 45.0%
  • 2020-07-16: Largest Expected Move — 34.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.59$44.24$57.60$48.40$55.52
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV90.9%68.7%123.4%78.6%101.5%
Expected Move24.4%19.7%34.5%22.5%29.1%
HV 20d65.0%46.0%85.6%85.6%56.5%
HV 60d81.7%68.2%96.8%96.8%68.6%
IV Rank28.3%16.9%45.0%22.0%33.8%
IV Percentile65.4%36.1%87.3%58.7%78.6%
Term Structure-11.0%-69.8%24.1%1.4%-16.4%
VWIV81.6%67.4%101.8%78.6%101.8%
Skew 25d14.6%14.6%14.6%14.6%14.6%
Skew 10d36.1%36.1%36.1%36.1%36.1%
Call IV 25d67.9%67.9%67.9%67.9%67.9%
Put IV 25d82.5%82.5%82.5%82.5%82.5%
Bid-Ask Spread %45.0314.5586.1863.7537.01
Gamma HHI0.690.610.810.630.75
Net GEX56.0K23.6K99.6K50.8K92.5K
Net DEX-2.5M-4.9M-1.7M-2.2M-4.3M
Net VEX-10.7K-14.6K-7.9K-10.9K-13.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.005.000.500.52
Total Volume45.22704840100
Total OI1,679.4091,5832,0421,6022,041

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$48.40$40.0078.6%22.5%85.6%22.0%78.6%0.0%1.4%50.8K-2.2M-10.9K0.5063.75N/AN/A001,412190
2020-07-02$47.76$40.0092.2%26.4%85.3%29.0%88.8%0.0%-28.3%50.5K-2.0M-10.3K3.2055.06N/AN/A121,412190
2020-07-06$49.12$40.00103.1%23.3%82.6%34.6%78.5%0.0%4.3%54.1K-2.3M-11.1K3.2633.75N/AN/A9301,412191
2020-07-07$48.16$40.0091.0%24.9%82.6%28.4%94.5%0.0%-5.1%51.7K-2.2M-10.6K0.2136.47N/AN/A201,416191
2020-07-08$46.32$40.0087.8%22.6%77.7%26.8%0.0%0.0%-17.3%45.2K-1.9M-9.7K2.8945.33N/AN/A131,417191
2020-07-09$44.96$40.0092.6%25.8%78.2%29.2%82.4%0.0%-33.9%42.2K-1.7M-9.7K0.0031.77N/AN/A4101,416194
2020-07-10$44.88$40.00123.4%22.6%68.5%45.0%75.3%0.0%24.1%23.6K-1.9M-7.9K0.2586.18N/AN/A101,454194
2020-07-13$44.96$40.00118.9%29.9%66.4%42.7%68.5%0.0%-46.2%42.9K-1.8M-9.8K0.2885.99N/AN/A721,454194
2020-07-14$44.24$40.00117.7%24.8%66.3%42.1%86.2%0.0%-6.4%40.9K-1.7M-9.1K0.0028.19N/AN/A101,456195
2020-07-15$48.56$40.0079.1%22.7%72.0%22.3%78.3%0.0%-9.2%50.1K-2.2M-10.0K0.6065.93N/AN/A52311,456194
2020-07-16$47.60$40.00120.2%34.5%71.9%43.4%67.4%0.0%-69.8%49.4K-2.1M-10.1K0.6369.59N/AN/A211,454195
2020-07-17$47.28$40.0079.0%22.6%60.5%22.2%0.0%0.0%-9.3%47.1K-2.0M-9.9K0.1055.22N/AN/A511,455196
2020-07-20$47.92$40.0085.8%24.6%60.6%25.7%90.6%0.0%-7.2%53.3K-2.1M-9.8K5.0048.06N/AN/A141,409175
2020-07-21$49.76$40.0076.3%21.9%61.3%20.8%69.3%0.0%13.2%54.0K-2.3M-9.9K0.0630.15N/AN/A601,409174
2020-07-22$51.04$40.0070.2%20.1%54.6%17.7%74.9%0.0%-4.5%58.4K-2.6M-10.3K2.9340.32N/AN/A9271,411174
2020-07-23$51.76$40.0068.7%19.7%48.0%16.9%79.6%0.0%2.1%59.1K-2.7M-10.6K0.9438.43N/AN/A66631,414199
2020-07-24$53.04$40.0069.3%19.9%48.0%17.2%68.4%0.0%-0.5%66.4K-2.9M-11.2K0.0036.94N/AN/A101,477262
2020-07-27$52.56$40.0074.8%21.4%48.3%20.1%81.2%0.0%-2.8%64.1K-2.9M-11.3K0.4830.09N/AN/A731,478262
2020-07-28$52.40$40.0072.7%20.8%46.0%19.0%71.1%0.0%1.0%62.1K-2.9M-11.0K0.2238.75N/AN/A611,478265
2020-07-29$57.20$40.0098.7%28.3%54.7%32.3%98.7%0.0%-16.9%74.5K-4.0M-12.7K0.0419.18N/AN/A464201,483265
2020-07-30$57.60$40.0097.5%28.0%54.6%31.7%97.5%0.0%-14.8%99.6K-4.9M-14.6K0.0014.55N/AN/A2501,757285
2020-07-31$55.52$40.00101.5%29.1%56.5%33.8%101.8%14.6%-16.4%92.5K-4.3M-13.9K0.5237.01N/AN/A66341,756285