NDLS Options History — October 2021

In October 2021, NDLS traded between $96.08 and $105.84. ATM implied volatility averaged 53.9%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 13.1% (HV 20d: 40.8%). 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 4 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2021-10-20: Highest Volume — 235 contracts
  • 2021-10-05: Largest IV spike — 38.4% change
  • 2021-10-05: Highest IV Rank — 58.6%
  • 2021-10-27: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.22$96.08$105.84$96.08$97.12
Max Pain$100.00$100.00$100.00$100.00$100.00
ATM IV53.9%38.6%64.5%38.6%55.5%
Expected Move15.8%11.1%17.5%11.1%15.9%
HV 20d40.8%35.2%45.3%35.5%38.0%
HV 60d38.4%36.6%41.4%39.0%36.9%
IV Rank41.9%18.1%58.6%18.1%44.5%
IV Percentile50.0%4.0%77.8%4.0%58.3%
Term Structure-1.8%-22.9%52.2%10.8%-2.6%
VWIV56.4%49.2%68.2%53.9%54.8%
Skew 25d9.3%-0.9%26.1%-0.9%16.6%
Skew 10d20.2%-1.8%32.2%-1.8%28.2%
Call IV 25d50.8%31.6%62.4%40.2%45.2%
Put IV 25d60.1%39.4%67.8%39.4%61.8%
Bid-Ask Spread %73.1126.3897.3497.3469.71
Gamma HHI0.600.480.720.690.56
Net GEX90.7K58.9K150.8K63.8K150.8K
Net DEX-2.6M-3.5M-1.4M-1.4M-2.5M
Net VEX-8.8K-12.1K-6.9K-7.1K-11.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.005.330.001.65
Total Volume70.7621235337
Total OI713.3815631,0725641,072

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$96.08$100.0038.6%11.1%35.5%18.1%0.0%-0.9%10.8%63.8K-1.4M-7.1K0.0097.34N/AN/A30449115
2021-10-04$96.08$100.0046.6%15.2%35.2%30.5%53.9%3.2%-3.7%58.9K-1.4M-6.9K0.0084.26N/AN/A40449115
2021-10-05$98.08$100.0064.5%15.2%35.9%58.6%52.9%4.4%-1.9%62.6K-1.6M-7.1K0.0086.74N/AN/A10449115
2021-10-06$105.84$100.0055.4%15.5%45.0%44.3%49.2%8.6%-3.3%67.1K-2.6M-7.2K0.1382.83N/AN/A111448115
2021-10-07$105.60$100.0041.5%15.6%44.8%22.6%54.4%12.4%-11.9%74.1K-2.5M-7.3K0.0696.83N/AN/A402449115
2021-10-08$104.08$100.0052.4%16.0%45.3%39.5%55.4%8.3%-5.1%70.7K-2.3M-7.2K2.2580.34N/AN/A23460116
2021-10-11$104.40$100.0049.8%16.0%45.1%35.5%55.1%12.8%-6.1%79.5K-2.6M-7.4K5.3331.14N/AN/A02498118
2021-10-12$103.76$100.0047.3%15.8%43.0%31.7%54.7%4.5%-0.1%79.4K-2.6M-7.4K0.4326.38N/AN/A10498120
2021-10-13$102.96$100.0054.9%15.7%41.8%43.5%0.0%7.7%-0.1%83.5K-2.5M-7.3K0.0085.16N/AN/A1260498121
2021-10-14$105.76$100.0054.3%15.6%41.6%42.5%54.3%26.1%52.2%74.1K-2.9M-7.0K0.0478.90N/AN/A100498121
2021-10-15$102.96$100.0054.3%15.6%42.7%42.5%54.9%3.5%2.6%85.1K-2.9M-9.4K0.2456.58N/AN/A164598121
2021-10-18$102.24$100.0051.4%14.7%42.2%38.1%51.2%24.6%3.1%91.6K-2.5M-8.8K0.3476.82N/AN/A93563109
2021-10-19$104.80$100.0055.9%16.0%42.5%45.1%56.1%20.0%-10.2%88.2K-2.8M-9.1K0.4194.47N/AN/A63563113
2021-10-20$105.76$100.0057.4%16.4%41.6%47.4%54.1%7.3%-8.9%87.3K-3.0M-9.0K0.0568.67N/AN/A22411563116
2021-10-21$104.16$100.0057.6%16.5%41.2%47.8%57.4%7.2%-5.3%103.4K-3.1M-9.6K0.0870.75N/AN/A13511653116
2021-10-22$104.00$100.0058.8%16.9%40.2%49.7%58.6%9.4%-22.9%119.0K-3.5M-12.1K0.0871.97N/AN/A13411764116
2021-10-25$104.72$100.0059.7%17.1%39.9%51.0%67.6%6.9%-1.7%122.8K-3.5M-11.8K0.2364.90N/AN/A13831765116
2021-10-26$102.00$100.0058.3%16.7%38.1%48.8%68.2%2.9%-14.0%117.7K-3.1M-11.4K0.2473.15N/AN/A13532769129
2021-10-27$98.88$100.0061.0%17.5%38.3%53.0%62.1%7.2%-5.7%112.9K-2.4M-10.8K0.1662.85N/AN/A14824796130
2021-10-28$97.36$100.0056.7%16.2%38.5%46.3%56.8%3.3%-3.7%113.0K-2.0M-10.0K0.1675.60N/AN/A14523806136
2021-10-29$97.12$100.0055.5%15.9%38.0%44.5%54.8%16.6%-2.6%150.8K-2.5M-11.0K1.6569.71N/AN/A1423933139