NDLS Options History — August 2021

In August 2021, NDLS traded between $93.44 and $101.12. ATM implied volatility averaged 45.6%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 5.2% (HV 20d: 40.4%). 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 12 of 22 days. Put/call ratio averaged 2.80.

Notable Days

  • 2021-08-04: Highest Volume — 113 contracts
  • 2021-08-23: Largest IV spike — 35.3% change
  • 2021-08-31: Highest IV Rank — 42.0%
  • 2021-08-03: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.11$93.44$101.12$96.64$100.88
Max Pain$91.82$80.00$100.00$80.00$80.00
ATM IV45.6%36.5%54.9%53.9%53.9%
Expected Move13.4%11.4%15.7%15.5%15.5%
HV 20d40.4%33.3%45.9%43.6%39.8%
HV 60d44.2%43.4%46.1%46.1%44.1%
IV Rank27.4%11.6%42.0%32.4%42.0%
IV Percentile15.3%2.8%42.5%36.1%42.5%
Term Structure-1.8%-24.7%7.2%-2.7%-8.8%
VWIV49.4%39.6%58.6%53.6%54.0%
Skew 25d8.6%-19.3%21.7%-5.0%11.8%
Skew 10d14.2%-31.7%35.3%-5.4%18.2%
Call IV 25d43.2%33.7%63.7%50.4%42.2%
Put IV 25d51.7%39.7%61.5%45.4%53.9%
Bid-Ask Spread %88.1859.67100.0184.7287.24
Gamma HHI0.730.350.970.880.44
Net GEX497.2K14.3K1.1M563.2K24.3K
Net DEX-4.5M-10.8M-259.4K-7.6M-867.2K
Net VEX-9.4K-17.5K-3.1K-17.4K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.800.0040.008.000.00
Total Volume13.7270113390
Total OI1,845.7732412,6262,490258

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$96.64$80.0053.9%15.5%43.6%32.4%53.6%-5.0%-2.7%563.2K-7.6M-17.4K8.0084.72N/AN/A4352,303187
2021-08-03$97.36$80.0054.9%15.7%43.3%33.6%55.2%-19.3%-15.5%581.3K-8.0M-17.1K1.4985.02N/AN/A11172,302187
2021-08-04$100.96$100.0046.2%13.2%44.6%23.0%46.3%-8.1%-3.1%728.4K-10.5M-17.5K0.0284.73N/AN/A11122,304218
2021-08-05$101.04$100.0044.0%13.9%43.7%20.5%0.0%8.7%-7.5%804.1K-10.1M-16.7K1.0089.87N/AN/A112,307234
2021-08-06$98.96$100.0036.5%13.2%42.5%11.6%0.0%5.1%6.5%930.1K-8.2M-17.3K0.0089.04N/AN/A402,380245
2021-08-09$96.96$100.0039.3%13.9%43.1%19.1%0.0%15.1%0.5%863.7K-6.1M-14.3K0.0887.03N/AN/A1612,378243
2021-08-10$100.96$100.0040.2%12.7%45.1%20.5%0.0%7.1%7.2%1.0M-10.8M-15.3K0.0087.89N/AN/A802,378245
2021-08-11$100.72$100.0046.4%13.3%44.6%30.2%46.2%0.6%4.3%1.0M-10.5M-14.9K8.7192.98N/AN/A182,374243
2021-08-12$98.80$100.0044.0%12.6%44.8%26.5%54.2%16.2%1.2%1.1M-8.0M-13.6K0.5689.27N/AN/A212,380243
2021-08-13$96.08$100.0044.4%12.7%45.9%27.1%53.8%11.8%5.4%938.7K-4.1M-10.6K0.0259.67N/AN/A1402,381243
2021-08-16$95.04$100.0044.8%12.8%43.1%27.7%42.6%13.9%3.9%896.4K-4.5M-8.8K1.2886.20N/AN/A342,382244
2021-08-17$93.44$100.0041.6%11.9%37.1%22.7%46.5%0.3%3.0%489.4K-1.5M-5.3K0.3090.97N/AN/A722,370244
2021-08-18$94.40$100.0040.5%11.6%36.0%20.9%0.0%8.6%1.2%809.3K-3.7M-6.8K0.00100.01N/AN/A102,369240
2021-08-19$94.16$100.0045.8%13.1%35.8%29.2%55.5%10.5%3.5%14.3K-259.4K-3.1K0.0079.56N/AN/A1602,367240
2021-08-20$98.40$100.0039.6%11.4%39.3%19.6%39.6%4.9%1.3%19.0K-399.9K-3.5K0.1197.85N/AN/A1112,368240
2021-08-23$99.28$80.0053.6%15.4%38.4%41.5%58.6%20.9%-24.7%18.0K-748.4K-3.4K0.0090.95N/AN/A8018556
2021-08-24$98.40$80.0050.3%14.4%33.3%36.4%49.8%15.1%-5.8%19.1K-716.6K-3.1K0.0095.12N/AN/A3018856
2021-08-25$99.60$80.0042.9%12.3%33.4%24.7%42.9%21.7%2.0%23.3K-811.4K-3.5K0.0089.82N/AN/A1019560
2021-08-26$96.56$80.0053.6%15.4%34.4%41.5%53.7%19.3%-8.7%19.5K-696.7K-3.4K0.1093.99N/AN/A1019660
2021-08-27$101.12$80.0040.1%11.5%37.9%20.3%40.1%9.5%-0.5%26.1K-848.0K-3.6K0.0093.06N/AN/A2019760
2021-08-30$98.56$80.0047.4%13.6%39.1%31.7%47.4%19.6%-1.9%23.2K-747.6K-3.3K40.0084.88N/AN/A0519760
2021-08-31$100.88$80.0053.9%15.5%39.8%42.0%54.0%11.8%-8.8%24.3K-867.2K-3.5K0.0087.24N/AN/A0019860