NDLS Options History — February 2021

In February 2021, NDLS traded between $64.64 and $78.64. ATM implied volatility averaged 72.4%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 22.0%. IV traded above realized volatility by 26.5% (HV 20d: 45.9%). 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 4 of 19 days. Put/call ratio averaged 0.07.

Notable Days

2021-02-10: Highest Volume — 1,076 contracts
2021-02-09: Largest IV spike — 38.0% change
2021-02-01: Highest IV Rank — 28.1%
2021-02-04: Largest Expected Move — 25.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$74.37	$64.64	$78.64	$64.64	$76.32
Max Pain	$60.00	$60.00	$60.00	$60.00	$60.00
ATM IV	72.4%	50.8%	86.6%	86.6%	69.5%
Expected Move	22.0%	16.2%	25.5%	24.8%	19.9%
HV 20d	45.9%	39.6%	54.8%	53.6%	39.6%
HV 60d	46.1%	43.3%	49.9%	49.2%	43.6%
IV Rank	21.0%	10.2%	28.1%	28.1%	19.6%
IV Percentile	51.3%	9.1%	72.6%	72.6%	48.4%
Term Structure	-1.9%	-15.0%	36.3%	11.0%	-2.9%
VWIV	74.5%	49.2%	87.0%	75.8%	69.7%
Skew 25d	3.3%	-17.3%	27.5%	-14.1%	11.6%
Skew 10d	17.9%	-40.5%	49.4%	-40.5%	19.6%
Call IV 25d	73.3%	52.2%	100.3%	100.3%	63.4%
Put IV 25d	76.6%	55.3%	93.0%	86.2%	75.1%
Bid-Ask Spread %	77.04	55.61	86.91	86.91	78.33
Gamma HHI	0.52	0.35	0.69	0.35	0.65
Net GEX	234.8K	127.3K	452.6K	127.3K	176.4K
Net DEX	-8.0M	-12.0M	-4.8M	-5.0M	-7.5M
Net VEX	-35.0K	-49.7K	-19.5K	-21.1K	-42.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.07	0.00	0.40	0.00	0.01
Total Volume	117	5	1,076	64	262
Total OI	2,679.632	2,132	3,465	2,132	2,609

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
2021-02-01	$64.64	$60.00	86.6%	24.8%	53.6%	28.1%	75.8%	-14.1%	11.0%	127.3K	-5.0M	-21.1K	0.00	86.91	N/A	N/A	64	0	1,986	146
2021-02-02	$67.68	$60.00	67.8%	19.4%	54.8%	18.8%	68.3%	-6.2%	18.2%	146.4K	-5.0M	-19.5K	0.40	76.09	N/A	N/A	12	5	2,011	146
2021-02-03	$67.28	$60.00	56.6%	16.2%	51.3%	13.1%	56.2%	5.1%	36.3%	142.6K	-4.8M	-19.5K	0.20	85.47	N/A	N/A	7	1	2,011	144
2021-02-04	$68.64	$60.00	50.8%	25.5%	47.0%	10.2%	87.0%	8.3%	-12.7%	153.9K	-5.4M	-20.3K	0.00	84.60	N/A	N/A	18	0	2,009	144
2021-02-05	$71.04	$60.00	53.7%	23.2%	48.1%	11.7%	86.1%	-2.0%	-2.1%	172.9K	-6.0M	-21.0K	0.08	80.45	N/A	N/A	17	1	2,018	144
2021-02-08	$72.40	$60.00	58.4%	23.4%	48.1%	14.1%	81.8%	2.8%	-5.0%	185.8K	-6.3M	-21.3K	0.00	74.73	N/A	N/A	131	0	2,031	146
2021-02-09	$75.12	$60.00	80.6%	21.1%	47.1%	25.2%	81.7%	6.9%	-1.7%	213.9K	-7.6M	-24.4K	0.02	70.74	N/A	N/A	49	1	2,120	146
2021-02-10	$77.76	$60.00	71.6%	20.5%	45.7%	20.6%	74.0%	-16.2%	-0.8%	258.0K	-8.6M	-25.7K	0.00	81.21	N/A	N/A	1,075	1	2,146	147
2021-02-11	$78.24	$60.00	76.7%	22.0%	45.6%	23.2%	80.3%	-17.3%	-5.5%	368.1K	-11.3M	-44.2K	0.00	85.41	N/A	N/A	307	0	3,016	147
2021-02-12	$78.64	$60.00	73.2%	21.0%	43.7%	21.5%	69.6%	20.7%	5.3%	400.9K	-12.0M	-49.7K	0.05	84.28	N/A	N/A	44	2	3,305	147
2021-02-16	$78.24	$60.00	79.5%	22.8%	42.3%	24.6%	78.3%	-0.2%	-8.6%	440.3K	-11.8M	-48.1K	0.00	84.41	N/A	N/A	26	0	3,314	148
2021-02-17	$75.36	$60.00	80.7%	23.1%	44.9%	25.2%	0.0%	-0.5%	-11.0%	346.6K	-9.8M	-44.1K	0.03	86.80	N/A	N/A	8	0	3,316	148
2021-02-18	$76.96	$60.00	81.0%	23.2%	45.2%	25.3%	80.0%	2.3%	-11.3%	452.6K	-10.3M	-44.4K	0.14	59.53	N/A	N/A	22	3	3,316	149
2021-02-19	$77.68	$60.00	70.9%	20.3%	45.0%	20.3%	70.5%	11.5%	-4.3%	173.0K	-9.6M	-45.7K	0.00	59.95	N/A	N/A	96	0	3,305	151
2021-02-22	$78.16	$60.00	77.3%	22.2%	42.7%	23.5%	77.3%	24.8%	-7.5%	183.3K	-8.1M	-44.2K	0.03	55.61	N/A	N/A	13	0	2,547	32
2021-02-23	$76.08	$60.00	75.9%	21.8%	43.8%	22.8%	71.2%	-2.2%	-8.8%	173.6K	-7.6M	-43.1K	0.08	71.94	N/A	N/A	34	3	2,552	32
2021-02-24	$77.36	$60.00	81.9%	23.5%	43.7%	25.8%	49.2%	27.5%	-15.0%	178.7K	-8.0M	-43.3K	0.07	79.01	N/A	N/A	5	0	2,556	34
2021-02-25	$75.52	$60.00	82.9%	23.8%	39.9%	26.3%	84.2%	0.1%	-10.3%	166.9K	-7.4M	-42.2K	0.25	78.33	N/A	N/A	13	3	2,560	34
2021-02-26	$76.32	$60.00	69.5%	19.9%	39.6%	19.6%	69.7%	11.6%	-2.9%	176.4K	-7.5M	-42.3K	0.01	78.33	N/A	N/A	261	1	2,572	37