NDLS Options History — September 2021

In September 2021, NDLS traded between $93.84 and $103.92. ATM implied volatility averaged 45.0%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 8.8% (HV 20d: 36.2%). Max pain ranged from $100.00 to $100.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.30.

Notable Days

  • 2021-09-10: Highest Volume — 146 contracts
  • 2021-09-24: Largest IV spike — 57.2% change
  • 2021-09-24: Highest IV Rank — 39.7%
  • 2021-09-24: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.38$93.84$103.92$102.24$94.40
Max Pain$100.00$100.00$100.00$100.00$100.00
ATM IV45.0%33.4%52.5%46.3%45.9%
Expected Move12.9%9.6%15.0%13.3%13.2%
HV 20d36.2%33.0%38.9%38.0%35.5%
HV 60d40.8%38.0%43.5%43.5%39.1%
IV Rank28.0%9.8%39.7%30.0%29.4%
IV Percentile15.3%2.4%41.7%13.5%18.7%
Term Structure4.5%-14.8%23.7%-1.2%6.7%
VWIV47.9%31.7%98.0%98.0%36.8%
Skew 25d6.1%-6.7%30.9%9.1%-6.7%
Skew 10d8.4%-7.6%34.0%13.0%-7.6%
Call IV 25d37.3%25.3%45.9%37.1%45.9%
Put IV 25d43.5%35.3%60.2%46.3%39.2%
Bid-Ask Spread %87.7753.15110.6990.7193.28
Gamma HHI0.510.440.680.450.68
Net GEX33.8K23.3K58.1K25.9K58.1K
Net DEX-912.3K-1.4M-584.1K-908.8K-1.2M
Net VEX-4.7K-6.8K-3.0K-3.4K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.300.0022.786.250.00
Total Volume20.619114641
Total OI367.952259561260561

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$102.24$100.0046.3%13.3%38.0%30.0%98.0%9.1%-1.2%25.9K-908.8K-3.4K6.2590.71N/AN/A1319862
2021-09-02$99.84$100.0044.5%13.0%38.9%27.2%45.4%5.7%0.2%27.0K-782.1K-3.2K0.0087.39N/AN/A1019862
2021-09-03$98.40$100.0041.8%12.3%38.6%23.1%0.0%3.1%2.2%26.3K-730.4K-3.1K0.0083.11N/AN/A1019962
2021-09-07$97.76$100.0051.7%13.3%37.9%38.5%0.0%30.9%23.7%24.9K-701.1K-3.0K0.0096.26N/AN/A0219962
2021-09-08$98.16$100.0045.0%12.9%34.9%28.0%52.9%15.5%3.2%28.7K-730.5K-3.1K3.6764.65N/AN/A0119762
2021-09-09$97.36$100.0046.3%13.3%35.0%30.0%46.2%13.4%3.3%25.9K-666.7K-3.0K9.0984.92N/AN/A11319764
2021-09-10$97.92$100.0048.4%13.9%34.4%33.4%0.0%0.1%1.5%29.4K-692.8K-3.0K0.1253.15N/AN/A1311519765
2021-09-13$97.12$100.0043.9%12.6%33.0%26.3%44.0%2.5%8.7%23.3K-584.1K-3.1K0.0492.49N/AN/A3019977
2021-09-14$93.84$100.0045.9%13.2%35.1%29.4%0.0%-5.8%7.1%38.7K-860.0K-4.8K22.7891.18N/AN/A12631492
2021-09-15$97.12$100.0045.2%13.0%36.6%28.4%45.2%3.3%-14.8%51.3K-928.4K-4.9K1.6792.07N/AN/A71231492
2021-09-16$99.92$100.0041.6%11.9%37.7%22.8%0.0%5.8%10.7%54.1K-1.2M-5.7K0.0081.75N/AN/A40315117
2021-09-17$98.72$100.0038.9%11.2%38.1%18.5%38.9%2.3%10.2%24.3K-917.4K-5.5K0.6682.27N/AN/A86315129
2021-09-20$97.12$100.0045.3%13.0%35.2%28.5%45.3%21.5%-6.3%24.8K-615.1K-5.0K0.00102.47N/AN/A130272107
2021-09-21$95.84$100.0045.0%12.9%35.3%28.0%45.0%-2.4%-6.4%24.2K-672.0K-5.4K0.0494.59N/AN/A30278112
2021-09-22$98.56$100.0044.9%12.9%36.7%27.8%44.5%-0.7%5.7%28.7K-831.2K-5.5K0.0096.07N/AN/A10291112
2021-09-23$101.28$100.0033.4%9.6%37.7%9.8%31.7%4.6%19.2%34.7K-1.1M-5.8K0.0198.66N/AN/A300294112
2021-09-24$103.92$100.0052.5%15.0%36.8%39.7%52.4%15.0%-2.6%31.2K-1.3M-5.8K0.14110.69N/AN/A466295112
2021-09-27$102.56$100.0045.0%12.9%33.6%28.1%0.0%7.8%10.7%39.1K-1.4M-6.1K0.0563.74N/AN/A131323112
2021-09-28$98.40$100.0048.7%14.0%35.6%33.8%44.9%7.6%4.3%44.3K-1.3M-6.4K0.0292.34N/AN/A751361112
2021-09-29$95.60$100.0045.2%12.9%35.9%28.3%36.8%-4.3%7.6%45.3K-1.1M-6.2K1.3991.49N/AN/A34374111
2021-09-30$94.40$100.0045.9%13.2%35.5%29.4%0.0%-6.7%6.7%58.1K-1.2M-6.8K0.0093.28N/AN/A10449112