NDLS Options History — December 2020

In December 2020, NDLS traded between $61.68 and $68.00. ATM implied volatility averaged 66.3%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded above realized volatility by 20.5% (HV 20d: 45.8%). Max pain ranged from $40.00 to $80.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.15.

Notable Days

  • 2020-12-10: Highest Volume — 688 contracts
  • 2020-12-08: Largest IV spike — 30.2% change
  • 2020-12-11: Highest IV Rank — 24.4%
  • 2020-12-11: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.45$61.68$68.00$61.68$63.44
Max Pain$58.18$40.00$80.00$60.00$60.00
ATM IV66.3%57.0%79.1%63.7%64.1%
Expected Move18.9%17.5%22.7%18.3%18.4%
HV 20d45.8%37.9%57.7%57.7%38.2%
HV 60d55.5%52.5%58.6%58.6%52.7%
IV Rank18.0%13.4%24.4%16.7%16.9%
IV Percentile45.9%31.3%64.7%44.8%40.9%
Term Structure1.0%-4.8%9.8%-0.7%2.4%
VWIV66.5%59.4%79.9%62.5%64.0%
Skew 25d19.5%-14.2%61.4%37.9%31.1%
Skew 10d42.5%-16.7%117.6%73.6%83.5%
Call IV 25d58.1%41.8%87.0%58.9%53.4%
Put IV 25d77.6%63.1%106.3%96.8%84.4%
Bid-Ask Spread %63.1025.0690.0959.6327.14
Gamma HHI0.410.340.470.340.46
Net GEX92.5K29.1K128.0K29.1K120.9K
Net DEX-3.5M-6.2M-882.7K-882.7K-3.8M
Net VEX-12.9K-17.1K-6.0K-6.0K-13.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.001.000.000.05
Total Volume92.864068828950
Total OI1,460.8646921,8756921,680

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$61.68$60.0063.7%18.3%57.7%16.7%62.5%37.9%-0.7%29.1K-882.7K-6.0K0.0059.63N/AN/A2890547145
2020-12-02$62.08$60.0063.0%18.1%55.5%16.4%63.2%36.6%-1.0%48.5K-1.2M-8.2K0.0057.43N/AN/A10828145
2020-12-03$63.28$80.0059.9%17.8%55.6%14.8%62.2%27.3%-0.2%51.5K-1.5M-8.7K0.1381.32N/AN/A132828145
2020-12-04$64.24$60.0062.7%17.9%55.4%16.2%65.1%21.2%-0.2%53.3K-1.7M-9.3K0.5780.04N/AN/A2012841147
2020-12-07$63.20$40.0057.0%17.5%55.0%13.4%0.0%61.4%0.1%55.5K-1.5M-9.0K0.0070.96N/AN/A00858158
2020-12-08$64.24$40.0074.3%18.2%45.9%22.0%0.0%57.4%-0.1%54.3K-1.6M-8.9K1.0083.10N/AN/A00859158
2020-12-09$67.28$40.0065.3%18.7%43.4%17.5%67.0%5.6%-3.7%55.1K-2.1M-9.6K0.2078.28N/AN/A9118859158
2020-12-10$65.52$60.0068.3%19.6%45.1%19.0%70.8%2.1%1.0%59.5K-2.2M-10.6K0.0087.63N/AN/A6871914175
2020-12-11$66.48$60.0079.1%22.7%45.1%24.4%79.9%7.1%-4.8%91.3K-4.9M-16.3K0.0160.14N/AN/A27221,468177
2020-12-14$65.52$60.0074.7%21.4%45.8%22.2%75.4%2.8%-1.2%112.4K-5.3M-16.8K0.1041.22N/AN/A6471,617178
2020-12-15$65.60$60.0065.1%18.7%41.3%17.4%66.5%-4.0%5.8%120.6K-5.5M-16.9K0.0349.36N/AN/A4011,636184
2020-12-16$66.40$60.0070.9%20.3%41.3%20.3%73.0%-9.2%-0.7%112.3K-5.5M-16.2K0.0180.00N/AN/A11511,634185
2020-12-17$68.00$60.0068.7%19.7%41.8%19.2%64.5%-14.2%-2.1%128.0K-6.2M-16.8K0.0184.87N/AN/A10211,688187
2020-12-18$67.04$60.0068.4%19.6%42.2%19.1%66.1%6.0%2.0%122.0K-5.8M-17.1K0.0080.74N/AN/A6101,664188
2020-12-21$62.72$60.0065.4%18.7%49.2%17.5%65.5%10.6%2.5%119.2K-4.0M-15.1K0.4177.44N/AN/A59241,548150
2020-12-22$63.52$60.0062.2%17.8%49.3%15.9%59.4%14.6%1.2%117.7K-3.9M-14.5K0.3249.13N/AN/A1651,523174
2020-12-23$62.96$60.0066.2%19.0%42.1%17.9%66.1%16.7%9.8%107.3K-3.9M-14.8K0.0590.09N/AN/A1611,526178
2020-12-24$63.44$60.0064.9%18.6%40.4%17.3%64.8%15.2%8.8%111.3K-3.9M-14.5K0.0050.71N/AN/A701,525179
2020-12-28$64.08$60.0062.4%17.9%39.8%16.0%62.3%32.3%7.6%121.3K-4.1M-14.1K0.0225.06N/AN/A3811,531179
2020-12-29$62.96$60.0062.7%18.0%40.3%16.2%62.2%41.6%0.8%122.8K-3.7M-13.6K0.0125.59N/AN/A1701,513180
2020-12-30$64.24$60.0069.6%19.9%37.9%19.6%69.3%29.2%-4.4%120.9K-3.9M-13.2K0.1848.30N/AN/A811,502180
2020-12-31$63.44$60.0064.1%18.4%38.2%16.9%64.0%31.1%2.4%120.9K-3.8M-13.4K0.0527.14N/AN/A4821,498182