NDLS Options History — September 2020

In September 2020, NDLS traded between $54.88 and $63.44. ATM implied volatility averaged 58.1%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 5.3% (HV 20d: 52.8%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.54.

Notable Days

  • 2020-09-01: Highest Volume — 127 contracts
  • 2020-09-09: Largest IV spike — 35.9% change
  • 2020-09-14: Highest IV Rank — 14.5%
  • 2020-09-08: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.16$54.88$63.44$60.08$54.88
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV58.1%46.5%63.9%57.9%57.0%
Expected Move17.1%14.5%19.1%16.6%16.3%
HV 20d52.8%44.1%63.3%50.4%56.9%
HV 60d55.6%50.4%63.9%63.9%54.2%
IV Rank11.5%5.5%14.5%11.4%10.9%
IV Percentile27.7%8.3%38.1%27.8%27.8%
Term Structure12.8%4.8%25.8%12.5%11.2%
VWIV60.4%49.3%85.1%57.9%58.7%
Skew 25d11.8%-5.8%50.0%-2.2%3.8%
Skew 10d19.4%-7.5%71.3%-0.9%0.7%
Call IV 25d58.6%48.3%69.0%64.5%58.8%
Put IV 25d70.3%51.0%107.6%62.3%62.5%
Bid-Ask Spread %67.7816.77102.8716.7751.66
Gamma HHI0.950.861.000.970.90
Net GEX361.8K47.5K1.9M300.2K60.5K
Net DEX-5.3M-9.2M-2.0M-7.2M-2.0M
Net VEX-11.1K-16.5K-7.2K-16.5K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.540.0026.000.010.00
Total Volume11.61901271272
Total OI1,927.5249992,4892,4831,039

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$60.08$60.0057.9%16.6%50.4%11.4%57.9%-2.2%12.5%300.2K-7.2M-16.5K0.0116.77N/AN/A12612,213270
2020-09-02$63.44$60.0057.6%16.5%53.5%11.2%57.2%-0.2%16.6%293.9K-9.2M-16.0K0.4122.03N/AN/A522,214270
2020-09-03$62.24$60.0058.4%19.0%49.7%11.6%49.3%10.6%16.7%299.2K-8.6M-16.1K0.2775.46N/AN/A102,211272
2020-09-04$62.24$60.0057.6%18.1%49.6%11.2%0.0%-5.1%8.3%322.0K-8.4M-15.5K1.0054.09N/AN/A002,213272
2020-09-08$60.96$60.0046.5%19.1%44.9%5.5%85.1%23.3%7.7%379.1K-7.7M-14.6K0.0064.88N/AN/A102,213271
2020-09-09$59.92$60.0063.1%18.1%44.1%14.0%0.0%-0.8%9.0%376.4K-7.0M-14.2K1.5052.04N/AN/A002,212271
2020-09-10$61.44$60.0062.8%18.0%44.4%13.9%68.2%5.7%8.1%453.4K-8.0M-13.7K0.7565.03N/AN/A322,212272
2020-09-11$57.52$60.0063.2%18.1%48.7%14.1%63.2%2.5%5.3%386.1K-5.3M-12.8K0.0064.97N/AN/A012,215273
2020-09-14$59.04$60.0063.9%18.3%49.8%14.5%0.0%15.9%7.1%517.9K-6.1M-11.9K0.0077.71N/AN/A3802,215274
2020-09-15$60.64$60.0058.2%16.7%50.5%11.5%55.8%15.2%21.0%655.5K-7.6M-11.7K2.3379.29N/AN/A132,209274
2020-09-16$60.08$60.0056.8%16.3%48.7%10.8%0.0%-5.8%17.2%701.7K-7.0M-10.9K0.0066.92N/AN/A002,210275
2020-09-17$58.00$60.0053.2%15.3%49.5%9.0%0.0%6.1%25.8%594.5K-3.8M-9.4K26.0097.44N/AN/A032,210275
2020-09-18$59.68$60.0050.5%14.5%51.3%7.6%61.2%14.6%4.8%1.9M-5.7M-8.5K0.50102.87N/AN/A312,211275
2020-09-21$56.08$60.0057.6%16.5%54.8%11.2%57.5%37.2%20.1%47.5K-2.5M-7.9K10.0075.66N/AN/A01826173
2020-09-22$59.52$60.0063.8%18.3%60.1%14.4%63.8%43.3%11.3%55.2K-2.6M-7.9K0.1584.87N/AN/A91826173
2020-09-23$59.68$60.0055.0%15.8%60.2%9.9%56.5%29.2%20.6%51.1K-2.9M-8.1K0.0082.14N/AN/A290828175
2020-09-24$57.92$60.0061.0%17.5%60.5%13.0%61.0%6.3%7.7%60.4K-2.6M-8.1K2.7571.76N/AN/A11857175
2020-09-25$55.60$60.0055.1%15.8%61.5%9.9%53.0%-4.0%15.2%56.4K-2.2M-7.8K0.0074.56N/AN/A01857176
2020-09-28$57.52$60.0057.1%16.4%63.3%10.9%57.3%50.0%14.5%61.3K-2.4M-7.7K0.0073.25N/AN/A80857175
2020-09-29$55.92$60.0063.7%18.2%56.8%14.3%0.0%1.9%7.5%60.4K-2.2M-7.6K0.0070.03N/AN/A00864175
2020-09-30$54.88$60.0057.0%16.3%56.9%10.9%58.7%3.8%11.2%60.5K-2.0M-7.2K0.0051.66N/AN/A20864175