NDLS Options History — April 2021

In April 2021, NDLS traded between $77.04 and $97.04. ATM implied volatility averaged 50.0%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded above realized volatility by 11.3% (HV 20d: 38.7%). Max pain ranged from $60.00 to $80.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2021-04-07: Highest Volume — 315 contracts
  • 2021-04-14: Largest IV spike — 108.7% change
  • 2021-04-29: Highest IV Rank — 37.8%
  • 2021-04-29: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.14$77.04$97.04$84.24$97.04
Max Pain$60.95$60.00$80.00$80.00$60.00
ATM IV50.0%27.1%64.5%40.2%48.5%
Expected Move16.3%11.5%18.5%11.5%13.9%
HV 20d38.7%27.3%58.5%58.5%45.4%
HV 60d51.8%49.8%54.7%54.7%52.9%
IV Rank21.0%0.0%37.8%4.9%21.6%
IV Percentile20.9%0.0%52.4%0.8%8.7%
Term Structure-2.5%-7.2%6.8%6.8%-1.1%
VWIV58.2%48.4%68.5%52.2%48.4%
Skew 25d-4.8%-14.3%19.8%-11.0%13.5%
Skew 10d-4.7%-23.0%46.0%9.8%21.6%
Call IV 25d56.6%36.9%69.4%44.4%43.4%
Put IV 25d51.8%33.4%66.9%33.4%56.9%
Bid-Ask Spread %36.4212.4664.6238.0933.20
Gamma HHI0.640.480.860.480.86
Net GEX321.2K200.4K511.4K345.8K511.4K
Net DEX-8.2M-15.2M-4.8M-10.3M-15.2M
Net VEX-36.9K-45.6K-28.2K-44.3K-45.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.004.130.000.19
Total Volume63.66703154152
Total OI3,160.2382,9143,2933,2753,210

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-04-01$84.24$80.0040.2%11.5%58.5%4.9%52.2%-11.0%6.8%345.8K-10.3M-44.3K0.0038.09N/AN/A403,127148
2021-04-05$84.80$60.0052.4%17.2%56.1%11.1%63.0%-1.8%-1.8%361.5K-10.8M-43.4K0.0064.62N/AN/A21303,128148
2021-04-06$84.72$60.0044.3%16.7%55.6%10.4%57.4%-6.5%0.6%359.1K-10.3M-43.1K0.0253.21N/AN/A3413,145148
2021-04-07$83.68$60.0029.7%16.0%55.4%0.0%61.0%-10.0%0.9%373.2K-9.9M-40.4K0.0044.98N/AN/A31503,136148
2021-04-08$83.76$60.0036.1%16.2%55.4%5.2%58.1%-8.2%-0.9%317.4K-8.7M-40.8K0.0731.08N/AN/A2223,100148
2021-04-09$84.88$60.0027.1%16.2%35.9%0.0%57.1%-6.8%-3.0%307.6K-9.2M-40.4K0.0031.71N/AN/A203,102149
2021-04-12$82.72$60.0037.8%16.3%36.4%9.7%58.2%-10.7%-1.3%337.7K-8.1M-38.5K0.6213.25N/AN/A213,101149
2021-04-13$81.60$60.0028.6%15.9%36.3%1.4%55.9%-12.5%0.3%356.9K-7.6M-35.9K4.1313.99N/AN/A16653,099150
2021-04-14$80.72$60.0059.8%17.1%34.4%31.8%59.3%9.1%-4.0%358.4K-7.1M-35.6K0.0263.17N/AN/A1403,098150
2021-04-15$79.92$60.0049.9%14.3%33.7%22.2%49.8%-13.2%1.5%425.8K-6.3M-31.6K0.0117.04N/AN/A8913,110150
2021-04-16$78.72$60.0048.7%14.0%32.9%21.1%48.7%-11.1%-0.9%217.9K-5.1M-29.3K0.1216.78N/AN/A5463,105151
2021-04-19$79.12$60.0052.0%14.9%32.7%24.3%52.8%-14.3%-1.5%216.8K-5.4M-30.8K0.0046.68N/AN/A602,83975
2021-04-20$77.04$60.0061.1%17.5%27.3%33.1%61.0%0.0%-6.1%200.4K-4.8M-28.2K0.1130.39N/AN/A132152,84075
2021-04-21$78.56$60.0060.4%17.3%27.9%32.5%0.0%3.3%-5.8%234.0K-5.7M-29.8K0.0061.18N/AN/A002,93386
2021-04-22$81.68$60.0062.3%17.9%31.1%34.3%60.0%-11.6%-7.2%268.5K-7.1M-35.2K1.8833.57N/AN/A122,93386
2021-04-23$84.08$60.0061.5%17.6%31.6%34.7%59.2%19.8%-6.0%296.0K-8.4M-38.8K0.4762.25N/AN/A212,93387
2021-04-26$82.24$60.0061.7%17.7%32.5%34.9%65.0%-11.4%-6.7%273.9K-7.1M-33.7K0.0033.83N/AN/A502,93586
2021-04-27$83.12$60.0060.4%17.3%28.9%33.6%68.5%-12.6%-4.2%285.1K-7.4M-33.7K0.0130.53N/AN/A13912,93786
2021-04-28$84.08$60.0062.7%18.0%29.2%36.0%64.1%-10.1%-7.0%315.4K-8.0M-36.4K0.4432.78N/AN/A733,07487
2021-04-29$89.12$60.0064.5%18.5%35.2%37.8%63.5%4.9%-4.8%382.0K-10.3M-39.7K0.4412.46N/AN/A2193,08489
2021-04-30$97.04$60.0048.5%13.9%45.4%21.6%48.4%13.5%-1.1%511.4K-15.2M-45.6K0.1933.20N/AN/A128243,101109