NDLS Options History — March 2021

In March 2021, NDLS traded between $81.36 and $97.60. ATM implied volatility averaged 60.0%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded below realized volatility by 3.4% (HV 20d: 63.5%). Max pain ranged from $60.00 to $80.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 3.70.

Notable Days

  • 2021-03-03: Highest Volume — 339 contracts
  • 2021-03-04: Largest IV spike — 34.7% change
  • 2021-03-04: Highest IV Rank — 21.0%
  • 2021-03-04: Largest Expected Move — 21.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.90$81.36$97.60$81.36$82.64
Max Pain$77.39$60.00$80.00$60.00$80.00
ATM IV60.0%53.7%72.3%62.7%55.2%
Expected Move17.2%15.4%21.6%18.0%15.8%
HV 20d63.5%44.3%73.1%44.3%60.0%
HV 60d52.9%44.3%56.1%44.3%55.6%
IV Rank14.9%11.7%21.0%16.2%12.5%
IV Percentile28.4%9.9%53.6%31.7%16.3%
Term Structure3.6%-4.4%18.4%1.8%2.9%
VWIV58.7%44.9%68.3%62.7%55.5%
Skew 25d7.8%-26.5%60.1%60.1%-9.3%
Skew 10d16.4%-14.2%102.9%102.9%-9.8%
Call IV 25d55.1%34.3%68.0%51.3%68.0%
Put IV 25d62.9%40.5%111.4%111.4%58.8%
Bid-Ask Spread %59.1531.4678.2369.8357.25
Gamma HHI0.540.470.640.540.47
Net GEX285.9K227.3K321.5K237.8K321.5K
Net DEX-12.3M-17.0M-8.9M-9.9M-9.4M
Net VEX-50.0K-55.6K-41.8K-47.8K-41.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.700.0064.000.030.00
Total Volume85.261033912144
Total OI3,009.7832,7473,2202,8583,220

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$81.36$60.0062.7%18.0%44.3%16.2%62.7%60.1%1.8%237.8K-9.9M-47.8K0.0369.83N/AN/A1202,82137
2021-03-02$89.92$60.0054.2%15.5%50.3%11.9%44.9%17.4%18.4%263.3K-14.0M-54.7K0.2878.23N/AN/A61172,83437
2021-03-03$86.96$60.0053.7%15.4%52.0%11.7%66.3%-26.5%-4.4%257.4K-12.6M-52.8K0.0176.77N/AN/A33632,84353
2021-03-04$83.28$80.0072.3%21.6%55.3%21.0%68.3%12.9%-3.3%227.3K-10.1M-48.7K0.0177.49N/AN/A14612,69255
2021-03-05$87.12$80.0066.7%19.0%56.6%18.2%64.3%7.3%0.6%266.6K-12.0M-52.3K2.9466.02N/AN/A4122,80955
2021-03-08$88.88$80.0070.2%19.2%56.0%20.0%64.6%1.5%-1.6%270.6K-13.0M-53.1K0.0151.42N/AN/A902,80963
2021-03-09$87.20$80.0066.9%18.4%57.0%18.3%47.5%2.0%0.7%268.4K-12.2M-51.3K0.0931.46N/AN/A1722,81363
2021-03-10$87.20$80.0065.4%18.7%56.1%17.5%49.2%2.1%-0.2%270.9K-11.9M-50.4K0.5631.78N/AN/A742,80165
2021-03-11$97.60$80.0061.9%17.7%66.9%15.8%62.7%2.3%3.0%283.3K-17.0M-54.9K0.0770.35N/AN/A185132,80768
2021-03-12$96.24$80.0057.3%16.4%67.5%13.5%63.9%-0.0%5.5%309.1K-16.8M-55.6K0.0674.06N/AN/A168112,95378
2021-03-15$96.48$80.0059.5%17.0%67.5%14.6%60.8%1.3%5.1%297.3K-15.8M-54.5K0.4056.77N/AN/A112,84787
2021-03-16$92.80$80.0058.2%16.7%69.6%13.9%57.8%0.3%5.4%282.6K-14.3M-53.3K0.0054.73N/AN/A15802,84888
2021-03-17$93.92$80.0061.9%17.7%67.4%15.8%62.0%-20.9%2.7%298.0K-15.1M-55.1K0.1465.36N/AN/A912,99988
2021-03-18$91.20$80.0060.3%17.3%68.8%15.0%60.5%-1.8%4.9%282.2K-13.8M-53.2K0.1837.04N/AN/A137243,00086
2021-03-19$91.92$80.0057.0%16.3%68.8%13.3%57.4%-3.3%4.7%296.7K-13.9M-52.7K0.1752.26N/AN/A144242,99286
2021-03-22$86.56$80.0059.0%16.9%73.0%14.4%58.0%2.7%6.3%287.6K-11.0M-48.6K0.2748.16N/AN/A114312,92370
2021-03-23$84.56$80.0058.0%16.6%72.8%13.8%57.5%20.0%2.8%299.5K-10.3M-46.7K0.0038.33N/AN/A6803,01194
2021-03-24$82.96$80.0055.1%15.8%73.1%12.4%60.4%18.5%3.6%309.2K-9.9M-44.6K64.0069.61N/AN/A1403,07294
2021-03-25$85.04$80.0055.1%15.8%72.7%12.4%53.2%20.5%5.9%312.1K-10.7M-46.0K0.7154.30N/AN/A21153,072133
2021-03-26$84.96$80.0058.3%16.7%72.8%14.0%58.3%43.6%4.0%317.4K-10.6M-46.3K0.1067.33N/AN/A1313,072147
2021-03-29$81.44$80.0056.8%16.3%71.2%13.2%56.8%15.1%7.3%306.2K-9.1M-43.0K15.0065.93N/AN/A063,072148
2021-03-30$81.44$80.0055.5%15.9%60.6%12.6%55.5%14.7%6.1%309.9K-8.9M-42.3K0.0066.04N/AN/A003,072148
2021-03-31$82.64$80.0055.2%15.8%60.0%12.5%0.0%-9.3%2.9%321.5K-9.4M-41.8K0.0057.25N/AN/A14403,072148