NDLS Options History — May 2021

In May 2021, NDLS traded between $85.28 and $103.12. ATM implied volatility averaged 49.3%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded below realized volatility by 1.7% (HV 20d: 51.0%). Max pain ranged from $60.00 to $100.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2021-05-12: Highest Volume — 185 contracts
  • 2021-05-12: Largest IV spike — 66.8% change
  • 2021-05-12: Highest IV Rank — 27.6%
  • 2021-05-12: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.74$85.28$103.12$98.56$103.12
Max Pain$94.00$60.00$100.00$60.00$100.00
ATM IV49.3%32.1%53.6%49.6%49.7%
Expected Move14.3%12.8%15.4%14.2%14.2%
HV 20d51.0%41.0%56.2%45.5%41.0%
HV 60d53.2%48.2%55.1%52.8%48.2%
IV Rank23.0%5.2%27.6%22.8%23.5%
IV Percentile11.9%2.0%18.3%10.3%13.5%
Term Structure0.2%-5.5%6.7%-3.6%-0.4%
VWIV49.2%32.9%56.2%50.7%49.8%
Skew 25d1.7%-13.3%16.3%-13.3%-6.8%
Skew 10d9.1%-21.4%58.1%-21.4%-13.4%
Call IV 25d46.1%35.4%57.0%57.0%51.3%
Put IV 25d47.8%36.9%61.4%43.7%44.4%
Bid-Ask Spread %57.3613.6676.0313.6671.41
Gamma HHI0.910.760.980.870.94
Net GEX453.5K274.1K899.6K520.0K400.9K
Net DEX-11.9M-15.4M-7.2M-15.4M-13.5M
Net VEX-38.7K-44.6K-32.0K-44.6K-38.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.003.180.050.74
Total Volume44.6501851657
Total OI3,012.32,1783,3833,1342,329

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$98.56$60.0049.6%14.2%45.5%22.8%50.7%-13.3%-3.6%520.0K-15.4M-44.6K0.0513.66N/AN/A15783,008126
2021-05-04$96.16$60.0052.6%15.1%46.8%25.7%44.5%16.3%-4.2%488.9K-13.9M-44.0K0.0748.49N/AN/A14293,062132
2021-05-05$95.76$60.0051.8%14.9%46.5%25.7%51.8%-8.6%-5.5%463.8K-13.1M-43.2K0.6048.69N/AN/A853,002135
2021-05-06$94.56$100.0048.3%13.4%46.9%22.0%45.1%9.4%1.3%461.7K-12.1M-41.1K0.3058.57N/AN/A1243,001139
2021-05-07$96.72$100.0046.4%12.8%47.2%20.1%45.9%10.1%4.6%498.9K-13.7M-42.7K1.6569.58N/AN/A353,001141
2021-05-10$92.08$100.0051.8%13.7%50.0%25.7%46.1%2.0%2.6%430.6K-10.5M-37.6K2.2514.10N/AN/A233,001144
2021-05-11$89.92$100.0032.1%14.2%50.6%5.2%50.4%0.7%3.2%274.1K-8.7M-34.1K0.1876.03N/AN/A126233,000144
2021-05-12$85.28$100.0053.6%15.4%54.4%27.6%55.3%-4.8%0.7%284.8K-7.2M-32.0K0.1057.66N/AN/A168173,107154
2021-05-13$87.12$100.0050.5%14.5%54.6%24.3%56.2%-5.6%6.7%334.2K-8.2M-33.4K0.2056.87N/AN/A413,218165
2021-05-14$90.96$100.0050.6%14.5%55.8%24.4%49.9%3.1%-0.7%443.5K-10.4M-37.8K0.3367.87N/AN/A003,215165
2021-05-17$93.44$100.0050.5%14.5%56.2%24.3%54.8%6.8%0.6%459.7K-11.1M-37.7K0.0068.64N/AN/A403,216165
2021-05-18$94.88$100.0050.8%14.6%54.7%24.6%50.1%12.5%0.1%569.9K-12.5M-39.1K0.0359.18N/AN/A403,214165
2021-05-19$96.08$100.0052.3%15.0%54.6%26.1%52.3%15.0%-0.5%656.2K-13.0M-38.8K0.8368.75N/AN/A223,215165
2021-05-20$97.60$100.0049.4%14.1%53.6%23.1%49.9%0.7%-0.0%899.6K-13.6M-39.0K0.6766.39N/AN/A213,185165
2021-05-21$97.92$100.0047.0%13.5%53.1%20.6%32.9%-1.9%2.2%337.8K-12.5M-38.1K0.5470.19N/AN/A323,184161
2021-05-24$100.40$100.0049.6%14.2%52.2%23.4%49.7%-11.6%0.1%366.7K-11.4M-37.8K0.2133.75N/AN/A71152,09187
2021-05-25$99.12$100.0045.0%12.9%52.8%18.6%45.1%-11.0%0.9%395.2K-11.0M-38.0K3.1861.75N/AN/A5152,14399
2021-05-26$102.40$100.0052.4%15.0%53.5%26.3%52.4%11.0%-1.8%378.7K-12.8M-38.8K0.0366.85N/AN/A5412,169110
2021-05-27$102.64$100.0051.1%14.7%50.4%25.0%51.2%9.0%-2.9%405.9K-13.2M-38.5K2.8268.69N/AN/A262,211112
2021-05-28$103.12$100.0049.7%14.2%41.0%23.5%49.8%-6.8%-0.4%400.9K-13.5M-38.4K0.7471.41N/AN/A432,212117