NDLS Options History — November 2020

In November 2020, NDLS traded between $50.24 and $64.96. ATM implied volatility averaged 54.4%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded below realized volatility by 10.7% (HV 20d: 65.1%). Max pain ranged from $40.00 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 4.20.

Notable Days

  • 2020-11-17: Highest Volume — 193 contracts
  • 2020-11-09: Largest IV spike — 55.3% change
  • 2020-11-09: Highest IV Rank — 18.1%
  • 2020-11-10: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.12$50.24$64.96$50.24$64.32
Max Pain$57.00$40.00$60.00$40.00$60.00
ATM IV54.4%42.8%66.4%55.9%59.3%
Expected Move15.9%12.7%17.5%16.0%17.0%
HV 20d65.1%56.0%72.9%57.9%56.7%
HV 60d57.6%54.4%59.4%55.2%57.9%
IV Rank12.0%6.2%18.1%12.8%14.5%
IV Percentile25.7%4.4%47.6%27.8%39.3%
Term Structure3.9%-3.1%25.0%22.1%-0.8%
VWIV55.2%44.6%59.3%53.2%59.3%
Skew 25d10.9%-15.4%55.9%13.8%26.1%
Skew 10d21.8%-28.3%97.2%2.8%81.8%
Call IV 25d51.9%36.2%76.8%41.6%42.3%
Put IV 25d62.8%47.1%101.2%55.3%68.5%
Bid-Ask Spread %67.557.90101.457.9058.02
Gamma HHI0.710.330.940.750.34
Net GEX137.8K19.6K523.3K55.2K31.4K
Net DEX-1.8M-4.2M-551.7K-929.4K-1.0M
Net VEX-5.9K-7.6K-4.6K-5.3K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.200.0055.250.680.51
Total Volume22.8501934515
Total OI1,271.755951,6431,417678

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$50.24$40.0055.9%16.0%57.9%12.8%53.2%13.8%22.1%55.2K-929.4K-5.3K0.687.90N/AN/A27181,186231
2020-11-03$52.96$40.0049.2%14.1%61.8%9.5%44.6%20.0%23.0%78.4K-1.2M-6.0K0.648.74N/AN/A111,186231
2020-11-04$53.12$40.0048.8%14.0%60.2%9.2%0.0%-9.3%3.4%86.0K-1.2M-5.8K0.0048.50N/AN/A001,194225
2020-11-05$54.40$60.0046.8%16.8%60.8%8.2%58.8%-14.3%-0.9%99.0K-1.5M-6.1K55.2582.94N/AN/A1281,194225
2020-11-06$53.20$60.0042.8%16.9%56.0%6.2%0.0%-14.3%-2.7%79.1K-1.0M-5.2K0.1084.01N/AN/A511,195244
2020-11-09$58.24$60.0066.4%16.9%65.7%18.1%59.1%47.7%-1.5%142.1K-2.6M-7.6K1.0880.40N/AN/A331,197244
2020-11-10$55.44$60.0062.3%17.5%67.5%16.0%59.0%-4.5%-3.1%117.6K-1.6M-6.3K0.8369.24N/AN/A111,199247
2020-11-11$55.28$60.0058.9%16.9%67.5%14.3%0.0%-4.2%-3.1%109.7K-1.5M-5.9K0.0067.51N/AN/A101,199248
2020-11-12$55.44$60.0057.6%16.5%66.4%13.6%55.6%-4.3%-1.2%121.5K-1.4M-5.6K1.0070.45N/AN/A221,200248
2020-11-13$56.24$60.0057.0%16.4%66.8%13.4%57.0%-15.4%-1.5%144.1K-1.5M-5.6K10.0067.03N/AN/A011,201249
2020-11-16$59.76$60.0056.5%16.2%70.9%13.1%55.2%-11.6%10.6%232.5K-3.0M-6.6K0.4786.65N/AN/A841,202250
2020-11-17$59.68$60.0055.9%16.0%69.5%12.8%0.0%-5.2%0.8%248.5K-2.9M-6.4K0.0086.35N/AN/A01931,206253
2020-11-18$59.84$60.0056.9%16.3%68.9%13.3%56.1%30.0%-1.5%221.9K-2.5M-6.4K0.1786.84N/AN/A1531,206434
2020-11-19$60.96$60.0044.2%12.7%69.5%7.0%57.0%27.4%25.0%358.5K-3.7M-5.8K1.83101.45N/AN/A231,208434
2020-11-20$60.80$60.0052.3%15.0%69.5%11.0%52.1%55.9%3.9%523.3K-4.2M-5.0K0.0881.70N/AN/A2321,207436
2020-11-23$60.48$60.0055.6%15.9%68.4%12.6%55.6%38.3%-0.6%19.6K-551.7K-4.6K0.3769.34N/AN/A2710465130
2020-11-24$64.96$60.0053.0%15.2%72.9%11.3%52.8%20.2%4.2%26.7K-905.1K-5.6K0.0756.19N/AN/A513490138
2020-11-25$62.80$60.0055.5%15.9%64.2%12.6%54.7%16.4%-0.0%29.9K-915.3K-5.8K2.5057.11N/AN/A11538139
2020-11-27$64.16$60.0053.0%15.2%60.1%11.3%52.6%5.2%3.1%30.9K-1.0M-6.1K0.0080.72N/AN/A00538140
2020-11-30$64.32$60.0059.3%17.0%56.7%14.5%59.3%26.1%-0.8%31.4K-1.0M-6.0K0.5158.02N/AN/A105538140