NDLS Options History — January 2021

In January 2021, NDLS traded between $61.76 and $72.88. ATM implied volatility averaged 62.3%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 13.9% (HV 20d: 48.4%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.04.

Notable Days

2021-01-14: Highest Volume — 245 contracts
2021-01-13: Largest IV drop — 39.6% change
2021-01-26: Highest IV Rank — 30.3%
2021-01-26: Largest Expected Move — 26.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.17	$61.76	$72.88	$61.76	$67.60
Max Pain	$60.00	$60.00	$60.00	$60.00	$60.00
ATM IV	62.3%	42.3%	91.0%	68.4%	76.5%
Expected Move	17.7%	12.8%	26.1%	18.2%	21.9%
HV 20d	48.4%	38.8%	52.4%	38.8%	51.2%
HV 60d	53.5%	49.1%	55.3%	52.5%	49.1%
IV Rank	16.0%	6.0%	30.3%	19.0%	23.1%
IV Percentile	34.0%	1.6%	76.6%	48.4%	61.5%
Term Structure	9.9%	-15.7%	33.6%	6.7%	29.1%
VWIV	58.7%	30.3%	92.2%	63.8%	73.0%
Skew 25d	-6.4%	-20.2%	6.8%	-6.4%	-9.2%
Skew 10d	13.2%	-33.7%	42.9%	-2.7%	-33.7%
Call IV 25d	66.2%	50.4%	99.5%	69.7%	99.5%
Put IV 25d	59.8%	37.6%	90.3%	63.3%	90.3%
Bid-Ask Spread %	63.43	21.06	89.09	64.22	86.95
Gamma HHI	0.37	0.34	0.51	0.51	0.36
Net GEX	118.5K	92.9K	135.5K	120.8K	134.7K
Net DEX	-5.0M	-6.1M	-3.3M	-3.3M	-5.3M
Net VEX	-16.1K	-21.4K	-11.2K	-11.8K	-20.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.04	0.00	0.22	0.02	0.00
Total Volume	82.368	4	245	52	93
Total OI	1,734	1,571	2,047	1,639	2,047

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2021-01-04	$61.76	$60.00	68.4%	18.2%	38.8%	19.0%	63.8%	-6.4%	6.7%	120.8K	-3.3M	-11.8K	0.02	64.22	N/A	N/A	51	1	1,455	184
2021-01-05	$65.36	$60.00	56.0%	17.9%	43.6%	12.9%	63.6%	6.8%	12.6%	92.9K	-4.4M	-11.2K	0.08	64.33	N/A	N/A	16	1	1,434	183
2021-01-06	$69.44	$60.00	63.1%	18.6%	47.9%	16.4%	64.1%	2.9%	-15.7%	128.3K	-4.9M	-11.6K	0.03	89.09	N/A	N/A	92	3	1,426	183
2021-01-07	$70.88	$60.00	42.3%	15.0%	48.1%	6.0%	53.6%	3.3%	7.9%	109.1K	-5.4M	-12.0K	0.00	60.81	N/A	N/A	90	0	1,411	180
2021-01-08	$69.68	$60.00	56.1%	14.3%	46.1%	12.9%	47.2%	-1.9%	17.9%	114.3K	-5.0M	-12.2K	0.13	47.51	N/A	N/A	19	3	1,417	180
2021-01-11	$67.04	$60.00	55.2%	16.4%	47.2%	12.4%	55.5%	-1.5%	5.1%	104.5K	-4.3M	-11.2K	0.00	77.81	N/A	N/A	49	0	1,392	192
2021-01-12	$70.32	$60.00	73.9%	16.6%	49.9%	21.8%	56.0%	-0.3%	8.2%	102.4K	-5.0M	-12.7K	0.00	50.54	N/A	N/A	223	1	1,379	192
2021-01-13	$70.00	$60.00	44.6%	12.8%	49.5%	7.2%	54.3%	-20.2%	16.4%	108.8K	-5.4M	-14.7K	0.07	60.65	N/A	N/A	61	4	1,517	193
2021-01-14	$72.88	$60.00	54.3%	15.6%	51.2%	12.0%	30.3%	-11.9%	8.3%	118.1K	-6.1M	-15.7K	0.00	21.06	N/A	N/A	245	0	1,527	189
2021-01-15	$70.96	$60.00	58.7%	16.8%	52.4%	14.2%	36.0%	-4.4%	5.8%	119.4K	-5.8M	-18.6K	0.07	58.67	N/A	N/A	57	4	1,654	189
2021-01-19	$71.12	$60.00	55.2%	15.8%	51.8%	12.4%	44.5%	-1.9%	6.1%	123.0K	-4.8M	-17.3K	0.22	58.25	N/A	N/A	11	3	1,499	145
2021-01-20	$70.56	$60.00	55.1%	15.8%	51.6%	12.4%	49.4%	-1.7%	10.5%	121.2K	-4.6M	-17.2K	0.05	62.80	N/A	N/A	75	4	1,495	145
2021-01-21	$71.68	$60.00	55.1%	15.8%	44.8%	12.4%	30.8%	-15.6%	10.6%	126.9K	-5.2M	-18.7K	0.00	59.18	N/A	N/A	19	0	1,558	145
2021-01-22	$69.28	$60.00	57.2%	16.4%	47.0%	13.4%	61.0%	-8.7%	10.1%	118.8K	-4.5M	-17.4K	0.01	63.85	N/A	N/A	66	1	1,546	145
2021-01-25	$70.88	$60.00	67.2%	19.3%	47.2%	18.4%	66.2%	-15.4%	3.3%	123.1K	-5.4M	-18.9K	0.00	86.11	N/A	N/A	180	0	1,608	145
2021-01-26	$70.16	$60.00	91.0%	26.1%	47.5%	30.3%	87.3%	-13.4%	0.7%	123.7K	-5.6M	-21.4K	0.00	56.26	N/A	N/A	159	1	1,759	146
2021-01-27	$66.64	$60.00	74.3%	21.3%	51.5%	22.0%	92.2%	-11.0%	33.6%	127.0K	-5.1M	-20.9K	0.00	60.52	N/A	N/A	29	0	1,894	146
2021-01-28	$68.08	$60.00	78.7%	22.6%	51.4%	24.2%	87.0%	-11.6%	11.5%	135.5K	-5.3M	-20.9K	0.00	76.59	N/A	N/A	4	0	1,900	146
2021-01-29	$67.60	$60.00	76.5%	21.9%	51.2%	23.1%	73.0%	-9.2%	29.1%	134.7K	-5.3M	-20.8K	0.00	86.95	N/A	N/A	93	0	1,901	146