NDLS Options History — November 2021

In November 2021, NDLS traded between $83.20 and $98.48. ATM implied volatility averaged 48.1%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 7.5% (HV 20d: 40.6%). Max pain ranged from $80.00 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 0.49.

Notable Days

  • 2021-11-19: Highest Volume — 472 contracts
  • 2021-11-30: Largest IV drop — 15.6% change
  • 2021-11-03: Highest IV Rank — 44.2%
  • 2021-11-03: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.61$83.20$98.48$98.48$83.20
Max Pain$91.43$80.00$100.00$100.00$100.00
ATM IV48.1%41.9%55.4%55.0%46.6%
Expected Move13.8%12.0%15.9%15.8%13.4%
HV 20d40.6%36.8%45.1%38.3%44.4%
HV 60d39.0%36.8%39.5%36.8%39.4%
IV Rank32.9%23.1%44.2%43.7%30.5%
IV Percentile27.9%7.9%60.3%54.0%23.0%
Term Structure3.7%-10.0%18.3%-4.8%7.6%
VWIV51.3%42.1%87.8%56.8%48.3%
Skew 25d12.9%-12.4%81.1%15.5%81.1%
Skew 10d44.5%-10.6%212.3%24.4%212.3%
Call IV 25d55.5%40.1%216.2%50.6%48.0%
Put IV 25d68.4%35.0%275.2%66.1%129.1%
Bid-Ask Spread %95.8573.91110.1789.99108.27
Gamma HHI0.640.470.880.580.85
Net GEX111.9K45.4K175.7K167.6K46.1K
Net DEX-1.5M-2.7M-882.6K-2.7M-899.8K
Net VEX-10.0K-14.3K-7.9K-10.7K-9.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.051.981.570.91
Total Volume182.19284723863
Total OI1,039.7628671,3861,073875

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$98.48$100.0055.0%15.8%38.3%43.7%56.8%15.5%-4.8%167.6K-2.7M-10.7K1.5789.99N/AN/A1523934139
2021-11-02$92.08$100.0051.0%14.6%44.6%37.4%51.8%7.0%-5.6%126.2K-1.5M-8.8K1.9888.94N/AN/A1325934139
2021-11-03$95.52$100.0055.4%15.9%36.8%44.2%56.8%1.4%-5.0%154.5K-1.9M-9.8K0.83101.59N/AN/A3025953148
2021-11-04$95.52$80.0047.7%14.5%36.8%32.2%52.4%12.8%0.3%172.0K-1.9M-9.6K0.5473.91N/AN/A4625956148
2021-11-05$98.08$80.0053.0%12.7%38.3%40.6%44.1%2.6%11.0%175.7K-2.5M-10.5K0.0792.92N/AN/A39626930148
2021-11-08$94.72$80.0047.0%14.1%39.8%31.1%47.5%1.4%1.4%123.5K-1.3M-9.4K0.1988.81N/AN/A14126912148
2021-11-09$96.80$80.0045.9%13.6%40.9%29.4%51.9%0.7%12.1%141.4K-1.8M-10.4K0.1896.97N/AN/A14226912148
2021-11-10$95.20$80.0048.1%13.8%41.2%32.9%48.1%8.4%18.3%135.9K-1.6M-10.0K0.19103.34N/AN/A13726913148
2021-11-11$94.80$80.0043.2%12.4%39.5%25.2%44.9%14.1%5.4%142.7K-1.3M-9.1K0.1996.23N/AN/A13626914148
2021-11-12$94.32$80.0047.6%13.6%38.7%32.0%50.7%10.6%0.7%137.0K-1.2M-8.6K0.0997.16N/AN/A21320914148
2021-11-15$93.60$80.0046.2%13.3%38.7%29.9%50.0%-2.1%8.2%101.5K-903.9K-8.3K0.08110.17N/AN/A21318942147
2021-11-16$94.32$80.0045.1%12.9%37.5%28.1%48.6%27.7%7.1%105.9K-1.5M-9.4K0.09104.37N/AN/A21219942146
2021-11-17$94.64$100.0045.2%13.0%37.2%28.3%50.3%11.9%1.2%119.4K-913.0K-7.9K0.06102.23N/AN/A33719942146
2021-11-18$96.88$100.0041.9%12.0%38.4%23.1%42.1%6.6%13.0%145.8K-2.0M-11.6K0.05101.35N/AN/A352191,067146
2021-11-19$92.08$100.0047.7%13.7%41.9%32.3%46.9%-12.4%-6.8%75.5K-1.3M-14.3K0.20106.10N/AN/A394781,240146
2021-11-22$90.72$100.0045.9%13.1%41.7%29.3%45.3%4.1%3.4%71.3K-1.6M-13.3K0.0587.87N/AN/A2731483334
2021-11-23$86.40$100.0046.1%13.2%43.8%29.7%46.5%-0.9%1.9%53.2K-934.8K-9.7K0.0776.74N/AN/A2001484134
2021-11-24$88.16$100.0049.1%14.1%44.0%34.4%49.7%0.3%13.1%58.2K-1.1M-10.2K0.9685.24N/AN/A141483834
2021-11-26$85.68$100.0047.9%13.7%44.7%32.5%56.1%22.1%4.7%50.3K-998.1K-9.5K0.96101.48N/AN/A141484034
2021-11-29$83.52$100.0055.2%15.8%45.1%44.0%87.8%59.0%-10.0%45.4K-882.6K-9.2K0.9699.20N/AN/A141484034
2021-11-30$83.20$100.0046.6%13.4%44.4%30.5%48.3%81.1%7.6%46.1K-899.8K-9.3K0.91108.27N/AN/A333084134