NDLS Options History — July 2021

In July 2021, NDLS traded between $90.00 and $102.24. ATM implied volatility averaged 53.5%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 5.4% (HV 20d: 48.1%). Max pain ranged from $80.00 to $100.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.41.

Notable Days

  • 2021-07-23: Highest Volume — 233 contracts
  • 2021-07-13: Largest IV spike — 40.6% change
  • 2021-07-13: Highest IV Rank — 53.6%
  • 2021-07-19: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.91$90.00$102.24$102.24$95.60
Max Pain$81.90$80.00$100.00$100.00$80.00
ATM IV53.5%42.4%77.0%46.9%51.2%
Expected Move14.8%12.2%17.0%13.4%14.7%
HV 20d48.1%43.4%53.5%51.2%43.4%
HV 60d47.7%46.1%49.4%47.1%46.2%
IV Rank29.7%15.9%53.6%20.5%29.2%
IV Percentile32.0%4.0%90.1%9.5%25.4%
Term Structure-1.0%-10.9%13.4%2.3%0.1%
VWIV54.9%47.3%75.5%47.3%75.5%
Skew 25d7.2%-9.3%21.0%21.0%18.1%
Skew 10d16.6%-14.8%43.3%36.7%27.6%
Call IV 25d51.5%33.6%63.0%33.6%48.2%
Put IV 25d58.6%41.0%68.9%54.6%66.3%
Bid-Ask Spread %77.2747.55100.2081.0088.27
Gamma HHI0.910.840.950.940.89
Net GEX513.2K328.2K659.0K513.7K535.2K
Net DEX-9.1M-13.7M-5.1M-13.7M-7.1M
Net VEX-23.7K-31.3K-18.2K-31.3K-18.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.005.250.070.00
Total Volume34.952123341
Total OI2,434.192,1982,5582,4852,493

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$102.24$100.0046.9%13.4%51.2%20.5%47.3%21.0%2.3%513.7K-13.7M-31.3K0.0781.00N/AN/A402,316169
2021-07-02$101.28$100.0042.4%12.2%51.1%15.9%0.0%14.1%8.2%561.3K-13.1M-31.0K0.0093.85N/AN/A102,317169
2021-07-06$99.44$80.0048.4%14.8%50.5%22.2%0.0%7.3%1.6%578.0K-11.8M-29.1K0.0061.10N/AN/A012,317169
2021-07-07$97.36$80.0052.5%15.4%48.9%26.4%53.9%1.7%-7.1%536.6K-10.4M-28.1K0.0047.55N/AN/A2002,317169
2021-07-08$95.28$80.0065.6%15.2%48.5%40.0%50.8%2.6%-4.2%492.3K-8.9M-26.9K0.0880.44N/AN/A202,335169
2021-07-09$98.88$80.0052.1%14.9%49.5%26.0%53.0%6.3%-0.1%597.3K-11.1M-28.0K0.0062.18N/AN/A202,335169
2021-07-12$99.44$80.0054.8%15.0%49.5%28.8%52.6%5.9%-2.3%659.0K-11.6M-26.8K5.2559.96N/AN/A282,335169
2021-07-13$97.92$80.0077.0%15.0%48.6%53.6%0.0%5.2%-10.4%624.0K-10.5M-25.7K0.1177.10N/AN/A202,336173
2021-07-14$96.16$80.0053.4%15.3%49.0%28.2%60.8%-5.9%-2.2%606.0K-9.0M-24.3K0.0068.41N/AN/A21012,336173
2021-07-15$94.64$80.0052.0%14.9%47.9%26.7%52.5%4.0%-10.9%397.6K-7.0M-22.6K0.1378.06N/AN/A912,377173
2021-07-16$94.00$80.0050.0%14.3%45.1%24.6%49.1%12.7%9.5%403.1K-6.5M-22.1K0.3163.86N/AN/A722,384174
2021-07-19$90.00$80.0059.3%17.0%47.6%38.9%58.5%4.9%-3.4%328.2K-5.1M-18.5K0.3151.94N/AN/A212,038160
2021-07-20$95.92$80.0052.9%15.2%53.2%31.2%52.9%18.1%-2.5%433.6K-7.4M-21.5K0.0075.91N/AN/A302,040160
2021-07-21$98.40$80.0044.6%12.8%53.5%21.2%51.8%-9.3%-0.3%543.6K-9.4M-22.1K0.0281.91N/AN/A14032,044160
2021-07-22$97.28$80.0052.3%15.0%47.1%30.5%53.0%6.3%13.4%481.1K-8.5M-22.3K0.3387.19N/AN/A102,171164
2021-07-23$96.96$80.0049.7%14.2%46.3%27.3%52.7%14.0%1.1%503.4K-7.8M-21.0K0.27100.20N/AN/A183502,172164
2021-07-26$99.44$80.0052.6%15.1%45.5%30.9%60.5%9.7%-3.1%533.2K-9.5M-21.2K0.0093.83N/AN/A802,172164
2021-07-27$94.40$80.0058.6%16.8%44.8%38.1%0.0%-5.8%-8.4%448.7K-7.2M-20.1K0.0094.21N/AN/A092,304171
2021-07-28$94.00$80.0056.2%16.1%43.5%35.2%58.8%7.9%0.6%457.7K-6.9M-18.6K0.8790.32N/AN/A28252,304171
2021-07-29$96.40$80.0050.5%14.5%44.6%28.3%50.4%11.5%-3.8%543.4K-7.4M-19.1K0.0085.40N/AN/A802,304181
2021-07-30$95.60$80.0051.2%14.7%43.4%29.2%75.5%18.1%0.1%535.2K-7.1M-18.2K0.0088.27N/AN/A102,306187