NDLS Options History — June 2021

In June 2021, NDLS traded between $95.20 and $106.16. ATM implied volatility averaged 50.3%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 5.7% (HV 20d: 44.6%). Max pain ranged from $80.00 to $100.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.95.

Notable Days

  • 2021-06-10: Highest Volume — 462 contracts
  • 2021-06-28: Largest IV spike — 12.5% change
  • 2021-06-07: Highest IV Rank — 32.4%
  • 2021-06-07: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.08$95.20$106.16$105.68$99.60
Max Pain$91.82$80.00$100.00$100.00$100.00
ATM IV50.3%43.7%58.3%51.9%47.9%
Expected Move14.2%12.5%15.3%14.9%13.7%
HV 20d44.6%38.4%54.0%41.5%51.7%
HV 60d45.1%42.6%48.9%47.6%47.0%
IV Rank24.1%17.3%32.4%25.7%21.6%
IV Percentile16.4%4.4%45.2%17.9%11.1%
Term Structure1.9%-3.0%6.3%-3.0%3.4%
VWIV49.4%43.7%53.3%51.9%49.6%
Skew 25d6.3%-13.8%47.8%14.7%5.5%
Skew 10d13.2%-21.9%95.0%15.3%10.6%
Call IV 25d46.0%34.1%58.8%37.1%38.6%
Put IV 25d52.2%37.4%96.7%51.8%44.2%
Bid-Ask Spread %60.7310.0492.1577.3592.15
Gamma HHI0.940.930.950.930.94
Net GEX469.5K394.3K552.1K405.7K505.8K
Net DEX-12.4M-17.3M-9.2M-14.9M-12.0M
Net VEX-35.0K-39.6K-31.4K-36.8K-31.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.0013.550.0013.55
Total Volume74.04514625257
Total OI2,461.1822,2902,6452,3302,429

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$105.68$100.0051.9%14.9%41.5%25.7%51.9%14.7%-3.0%405.7K-14.9M-36.8K0.0077.35N/AN/A5202,212118
2021-06-02$101.04$100.0049.5%14.2%43.9%23.3%48.8%4.3%-0.6%405.2K-12.0M-36.5K0.0272.60N/AN/A8122,172118
2021-06-03$97.92$100.0055.4%15.2%45.5%29.4%0.0%0.8%0.3%404.9K-10.9M-36.9K0.0245.50N/AN/A8022,249118
2021-06-04$99.36$100.0053.7%15.1%45.4%27.6%52.8%5.7%-0.0%438.5K-11.9M-37.6K0.0072.70N/AN/A29212,326119
2021-06-07$102.24$100.0058.3%15.3%45.8%32.4%53.3%4.7%0.1%492.6K-15.0M-39.6K0.0174.73N/AN/A2902,525120
2021-06-08$106.00$80.0056.9%14.9%42.9%31.0%51.8%4.0%1.9%467.2K-17.3M-38.7K0.0063.47N/AN/A13712,523120
2021-06-09$102.96$80.0051.2%14.7%43.5%25.0%51.1%2.8%3.5%467.5K-14.7M-37.5K0.0355.53N/AN/A8132,416120
2021-06-10$99.92$80.0051.9%14.9%39.9%25.8%51.8%18.9%0.9%552.1K-12.8M-37.2K0.0073.95N/AN/A46202,445122
2021-06-11$100.64$80.0050.8%14.6%39.6%24.6%50.8%20.3%-1.7%478.3K-12.7M-37.1K0.0073.98N/AN/A6902,352122
2021-06-14$97.60$80.0049.0%14.0%39.3%22.7%49.7%-13.8%2.9%485.0K-11.2M-35.8K0.2077.19N/AN/A1732,412122
2021-06-15$97.36$80.0049.8%14.3%38.4%23.6%50.0%1.2%2.1%495.3K-11.0M-35.5K0.9075.54N/AN/A21192,407125
2021-06-16$100.24$100.0050.6%14.5%39.3%24.5%50.6%-7.9%-0.4%544.3K-12.7M-35.9K0.2173.14N/AN/A412,398134
2021-06-17$95.68$100.0049.5%14.2%42.8%23.2%51.4%13.1%1.9%441.7K-9.5M-33.4K0.3311.00N/AN/A102,396134
2021-06-18$95.20$100.0049.4%14.2%42.4%23.2%50.0%13.6%3.6%394.3K-9.2M-33.0K0.3542.19N/AN/A722,396134
2021-06-21$95.28$100.0050.0%14.3%42.4%23.7%50.0%10.5%2.6%410.5K-9.4M-32.1K0.1115.60N/AN/A712,23985
2021-06-22$97.12$100.0047.9%13.7%42.0%21.6%47.5%-3.3%-1.1%467.1K-9.8M-32.2K0.2910.04N/AN/A75222,24086
2021-06-23$104.08$80.0047.3%13.6%48.7%21.0%44.0%-9.3%6.3%497.0K-14.6M-33.4K0.7772.91N/AN/A25202,310108
2021-06-24$106.16$80.0046.7%13.4%47.8%20.4%46.4%4.0%4.5%475.2K-16.1M-32.5K0.6158.65N/AN/A532,311109
2021-06-25$102.08$80.0043.7%12.5%50.0%17.3%43.7%47.8%6.1%512.3K-13.5M-33.4K2.0889.69N/AN/A232,309112
2021-06-28$96.48$100.0049.2%14.1%53.7%22.9%48.4%-1.5%2.4%465.2K-10.1M-31.4K0.1276.65N/AN/A812,310115
2021-06-29$99.20$100.0045.2%13.0%54.0%18.8%44.5%2.4%5.9%522.8K-11.5M-31.7K1.2131.44N/AN/A15182,313115
2021-06-30$99.60$100.0047.9%13.7%51.7%21.6%49.6%5.5%3.4%505.8K-12.0M-31.5K13.5592.15N/AN/A4532,313116