NDLS Options History — August 2020

In August 2020, NDLS traded between $54.48 and $71.04. ATM implied volatility averaged 67.5%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded above realized volatility by 18.4% (HV 20d: 49.1%). 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 16 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2020-08-20: Highest Volume — 621 contracts
  • 2020-08-07: Largest IV drop — 32.5% change
  • 2020-08-04: Highest IV Rank — 38.1%
  • 2020-08-04: Largest Expected Move — 31.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.55$54.48$71.04$54.48$60.96
Max Pain$42.86$40.00$60.00$40.00$60.00
ATM IV67.5%43.8%109.8%102.4%55.6%
Expected Move18.9%12.5%31.5%29.4%15.9%
HV 20d49.1%38.2%57.1%56.7%50.1%
HV 60d64.4%62.4%68.6%68.6%64.0%
IV Rank16.3%4.1%38.1%34.3%10.2%
IV Percentile34.9%4.8%81.3%79.0%22.2%
Term Structure4.5%-27.2%29.9%-15.2%2.7%
VWIV65.0%33.2%110.4%102.4%55.6%
Skew 25d12.2%4.0%33.5%13.4%33.5%
Skew 10d35.0%10.6%75.8%30.9%55.3%
Call IV 25d61.2%43.7%70.2%67.6%46.4%
Put IV 25d73.4%61.3%81.6%81.0%79.9%
Bid-Ask Spread %43.3215.9072.3421.0020.22
Gamma HHI0.860.670.970.810.97
Net GEX147.7K82.9K307.8K97.9K307.8K
Net DEX-8.2M-11.8M-4.1M-4.1M-7.5M
Net VEX-13.1K-16.4K-10.4K-13.6K-16.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.0012.110.0012.11
Total Volume134.0486621646
Total OI2,325.3332,1022,9282,1252,436

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$54.48$40.00102.4%29.4%56.7%34.3%102.4%13.4%-15.2%97.9K-4.1M-13.6K0.0021.00N/AN/A601,817308
2020-08-04$55.28$40.00109.8%31.5%56.0%38.1%109.8%10.6%-27.2%98.7K-4.4M-13.7K0.0015.90N/AN/A1701,819308
2020-08-05$55.76$40.00109.3%31.3%53.3%37.8%110.4%10.5%-24.5%106.2K-4.6M-13.7K0.3019.88N/AN/A35101,854308
2020-08-06$59.44$40.00107.7%23.9%54.6%37.0%102.3%12.4%-2.0%117.6K-5.7M-14.2K0.0357.74N/AN/A8021,855318
2020-08-07$59.04$40.0072.8%19.5%54.8%19.0%61.7%12.6%3.2%153.3K-5.5M-13.4K0.2845.39N/AN/A72201,929323
2020-08-10$62.80$40.0071.3%19.8%57.1%18.3%68.1%15.2%9.4%174.4K-6.7M-13.1K0.2856.69N/AN/A3391,912341
2020-08-11$64.40$40.0071.1%19.9%55.8%18.1%67.9%11.8%6.7%163.2K-7.3M-12.6K0.0172.34N/AN/A26531,888348
2020-08-12$65.76$40.0068.2%19.6%48.5%16.7%62.8%10.8%3.2%107.3K-8.0M-10.7K0.0068.91N/AN/A5401,884347
2020-08-13$67.12$40.0058.2%16.7%46.7%11.5%57.1%9.4%13.9%82.9K-8.1M-10.4K0.0146.97N/AN/A18011,844347
2020-08-14$67.76$40.0058.0%16.6%45.9%11.4%56.6%4.8%13.0%95.9K-8.3M-11.0K0.0027.52N/AN/A21501,944347
2020-08-17$68.96$40.0043.8%12.5%45.9%4.1%52.7%24.1%16.9%116.7K-9.2M-11.4K0.0154.17N/AN/A34952,088347
2020-08-18$71.04$40.0057.8%16.6%45.5%11.3%34.4%28.8%9.3%100.3K-11.1M-11.9K0.1571.02N/AN/A95142,322349
2020-08-19$69.84$40.0048.3%13.8%47.1%6.4%49.4%6.3%22.5%102.8K-10.5M-11.6K0.0258.94N/AN/A5812,276360
2020-08-20$69.12$40.0062.6%17.9%48.0%13.8%62.4%4.3%-1.4%109.2K-10.3M-12.5K0.0020.55N/AN/A62102,300361
2020-08-21$68.96$40.0057.6%16.5%48.2%11.2%59.1%9.1%7.2%150.4K-11.8M-13.3K0.0955.78N/AN/A159152,567361
2020-08-24$68.16$40.0044.4%12.7%48.3%4.4%33.2%4.0%29.9%171.2K-9.6M-14.3K0.0119.46N/AN/A9311,874228
2020-08-25$67.76$40.0056.1%16.1%48.5%10.4%55.5%6.9%2.7%186.6K-10.1M-14.3K0.0246.37N/AN/A801,964227
2020-08-26$66.08$40.0053.4%15.3%41.4%9.0%53.4%4.6%6.5%217.4K-9.4M-14.7K0.0549.79N/AN/A7741,963227
2020-08-27$66.40$60.0055.0%15.8%41.4%9.9%55.3%16.6%6.0%229.3K-9.9M-14.6K0.4950.14N/AN/A1052,033231
2020-08-28$66.40$60.0054.4%15.6%38.2%9.6%54.4%6.9%12.3%212.6K-10.1M-14.5K0.0031.00N/AN/A25202,042235
2020-08-31$60.96$60.0055.6%15.9%50.1%10.2%55.6%33.5%2.7%307.8K-7.5M-16.4K12.1120.22N/AN/A4422,201235