NDLS Options History — October 2020

In October 2020, NDLS traded between $51.92 and $68.64. ATM implied volatility averaged 60.6%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded above realized volatility by 6.6% (HV 20d: 54.0%). Max pain ranged from $40.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 2.30.

Notable Days

  • 2020-10-22: Highest Volume — 346 contracts
  • 2020-10-09: Largest IV spike — 46.3% change
  • 2020-10-28: Highest IV Rank — 25.8%
  • 2020-10-28: Largest Expected Move — 23.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.36$51.92$68.64$55.12$51.92
Max Pain$41.82$40.00$60.00$60.00$40.00
ATM IV60.6%30.3%81.9%47.9%54.1%
Expected Move19.2%13.7%23.5%13.7%15.5%
HV 20d54.0%42.6%61.3%52.7%57.4%
HV 60d53.0%50.2%55.7%53.5%54.8%
IV Rank14.7%0.0%25.8%6.2%11.9%
IV Percentile34.7%0.0%63.9%10.7%22.2%
Term Structure-4.1%-20.1%14.3%11.2%-2.4%
VWIV66.4%54.8%74.7%56.4%64.7%
Skew 25d14.1%-16.5%53.0%28.8%-16.5%
Skew 10d27.4%-25.4%77.6%31.6%-11.7%
Call IV 25d61.8%38.2%75.2%57.4%64.6%
Put IV 25d75.8%48.1%114.4%86.2%48.1%
Bid-Ask Spread %54.9616.5386.1686.1625.22
Gamma HHI0.860.650.970.910.76
Net GEX105.9K63.5K225.8K63.5K66.6K
Net DEX-4.2M-6.6M-1.2M-2.1M-1.2M
Net VEX-7.5K-10.8K-5.5K-7.1K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.300.0034.290.120.00
Total Volume46.364034631
Total OI1,283.7271,0301,4881,0411,420

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$55.12$60.0047.9%13.7%52.7%6.2%56.4%28.8%11.2%63.5K-2.1M-7.1K0.1286.16N/AN/A30866175
2020-10-02$59.04$60.0054.8%15.7%58.9%9.8%54.8%53.0%14.3%69.1K-2.7M-7.6K0.8080.26N/AN/A54867175
2020-10-05$59.52$40.0052.9%19.3%59.0%8.8%72.6%-10.9%-0.8%74.7K-2.8M-7.4K0.0064.69N/AN/A00871179
2020-10-06$59.60$40.0055.4%20.2%58.6%10.1%70.5%11.5%-5.1%73.8K-2.8M-7.4K0.0270.69N/AN/A2424872179
2020-10-07$61.60$40.0031.3%19.3%59.5%0.0%67.7%42.0%-4.7%173.0K-4.1M-8.0K0.0077.81N/AN/A17801,091181
2020-10-08$62.40$40.0030.3%19.2%59.0%0.0%67.0%15.8%-4.2%225.8K-5.4M-8.2K0.0662.49N/AN/A2111,265181
2020-10-09$66.08$40.0044.4%19.9%56.7%7.0%62.3%32.7%-7.1%111.2K-6.6M-7.1K0.2772.92N/AN/A311,284181
2020-10-12$63.76$40.0057.0%19.6%58.1%13.3%68.6%-0.4%-7.0%179.4K-5.9M-7.5K0.3944.67N/AN/A621,285182
2020-10-13$63.60$40.0067.9%18.9%57.5%18.8%66.6%-1.6%-4.0%187.3K-5.8M-7.3K0.0543.05N/AN/A301,286184
2020-10-14$62.96$40.0067.8%19.4%57.5%18.8%0.0%40.4%-5.4%198.4K-5.4M-7.2K0.0059.95N/AN/A001,284184
2020-10-15$64.80$40.0066.2%19.0%56.5%18.0%66.2%1.2%-1.5%75.5K-6.5M-6.4K0.6541.32N/AN/A1381,284184
2020-10-16$64.56$40.0065.2%18.7%55.9%17.4%65.2%8.3%0.8%79.3K-6.5M-6.4K0.5964.75N/AN/A951,297191
2020-10-19$65.12$40.0066.2%19.0%50.1%17.9%58.0%2.1%-20.1%80.7K-3.8M-6.1K0.6864.15N/AN/A64854176
2020-10-20$67.28$40.0070.3%20.1%47.3%20.0%69.8%2.7%-3.7%73.4K-4.2M-6.0K0.6241.25N/AN/A106859176
2020-10-21$68.64$40.0068.6%19.7%47.5%19.1%69.9%1.8%-5.5%73.9K-4.5M-5.5K34.2945.75N/AN/A130867183
2020-10-22$68.08$40.0072.3%20.7%45.8%21.0%65.3%4.7%-10.1%76.0K-4.3M-5.9K0.0048.73N/AN/A3460868207
2020-10-23$67.52$40.0066.8%19.1%42.6%18.2%65.8%2.8%-2.6%93.9K-4.8M-10.8K0.0444.43N/AN/A3421,170208
2020-10-26$64.96$40.0073.9%21.2%44.8%21.8%73.9%35.8%-6.8%93.5K-4.2M-10.3K1.5059.56N/AN/A121,169208
2020-10-27$63.52$40.0073.1%21.0%44.3%21.4%68.6%14.9%-8.2%97.7K-3.8M-9.9K4.0045.83N/AN/A011,169208
2020-10-28$57.52$40.0081.9%23.5%57.6%25.8%74.7%2.0%-14.2%83.3K-2.6M-8.7K4.7416.53N/AN/A3161,169209
2020-10-29$54.32$40.0065.4%18.8%61.3%17.6%65.4%37.9%-4.1%80.7K-1.6M-7.0K1.9048.85N/AN/A17321,171223
2020-10-30$51.92$40.0054.1%15.5%57.4%11.9%64.7%-16.5%-2.4%66.6K-1.2M-6.1K0.0025.22N/AN/A101,188232