NDLS Options History — December 2021

In December 2021, NDLS traded between $72.96 and $87.60. ATM implied volatility averaged 62.9%, placing in the 49.2% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 15.4% (HV 20d: 47.5%). Max pain ranged from $80.00 to $100.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2021-12-20: Highest Volume — 51 contracts
  • 2021-12-03: Largest IV spike — 70.3% change
  • 2021-12-06: Highest IV Rank — 100.0%
  • 2021-12-03: Largest Expected Move — 24.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.00$72.96$87.60$79.84$73.04
Max Pain$82.73$80.00$100.00$100.00$80.00
ATM IV62.9%48.9%108.5%62.3%51.6%
Expected Move15.6%10.8%24.6%17.9%14.8%
HV 20d47.5%40.7%53.8%40.7%48.0%
HV 60d43.1%40.2%45.4%40.2%41.7%
IV Rank49.2%26.8%100.0%55.1%30.1%
IV Percentile63.7%31.7%100.0%79.0%46.0%
Term Structure1.1%-23.2%16.6%-11.3%5.5%
VWIV54.8%37.4%75.9%75.9%44.7%
Skew 25d15.8%-9.6%84.8%17.2%-9.0%
Skew 10d37.2%-10.0%267.6%33.9%-5.7%
Call IV 25d53.2%33.8%79.3%73.4%50.9%
Put IV 25d69.0%38.2%152.8%90.6%41.9%
Bid-Ask Spread %80.6614.07106.8496.1790.03
Gamma HHI0.730.540.810.750.54
Net GEX36.2K15.8K62.0K38.4K15.8K
Net DEX-684.0K-1.3M-188.0K-721.1K-217.3K
Net VEX-7.4K-11.1K-4.1K-8.0K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.112.370.110.54
Total Volume29.72718513732
Total OI936.818917964917964

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$79.84$100.0062.3%17.9%40.7%55.1%75.9%17.2%-11.3%38.4K-721.1K-8.0K0.1196.17N/AN/A33486354
2021-12-02$83.36$100.0050.3%14.4%41.7%36.3%67.9%83.0%1.9%51.9K-1.0M-9.8K0.19105.58N/AN/A23486454
2021-12-03$81.52$100.0085.7%24.6%41.9%91.6%61.8%55.6%-23.2%49.6K-1.1M-10.6K0.13106.84N/AN/A23386555
2021-12-06$84.00$80.0092.0%18.5%42.3%100.0%69.3%-2.8%-1.7%58.4K-1.3M-11.1K0.16104.35N/AN/A20386555
2021-12-07$85.92$80.0057.7%14.9%42.4%47.2%69.7%-6.0%1.2%57.5K-1.1M-9.8K0.16100.71N/AN/A20386556
2021-12-08$87.36$80.0062.5%14.4%42.0%54.6%53.3%5.8%10.6%62.0K-1.3M-11.0K0.16104.46N/AN/A21386556
2021-12-09$87.60$80.0096.5%13.9%41.8%100.0%52.8%21.6%14.6%61.4K-1.3M-10.6K0.1597.94N/AN/A22386556
2021-12-10$83.36$80.0074.2%17.1%44.8%68.0%56.7%9.5%-4.4%50.1K-1.1M-9.5K0.75101.69N/AN/A221686656
2021-12-13$81.76$80.0073.0%10.8%45.1%66.2%37.4%53.7%16.6%41.8K-804.4K-8.2K0.6974.82N/AN/A271986667
2021-12-14$81.60$80.00108.5%18.2%45.1%100.0%63.1%-0.8%-7.9%43.3K-1.1M-9.7K1.3395.36N/AN/A131787270
2021-12-15$80.72$80.0052.8%15.1%44.8%31.6%49.7%27.9%4.9%40.5K-703.4K-7.8K1.6187.89N/AN/A101787470
2021-12-16$73.92$80.0052.9%15.2%52.8%31.6%44.3%-1.6%-1.3%20.7K-250.9K-5.0K2.3393.82N/AN/A71787570
2021-12-17$76.32$80.0048.9%14.0%53.7%26.8%50.2%18.0%6.4%27.0K-414.0K-6.2K2.3790.20N/AN/A71787569
2021-12-20$72.96$80.0051.3%14.7%53.1%29.8%54.4%1.8%-0.5%25.3K-430.9K-6.4K0.5384.21N/AN/A331885467
2021-12-21$73.92$80.0053.6%15.4%53.8%32.6%53.2%-9.6%-2.5%20.8K-292.9K-5.1K0.9393.40N/AN/A191887866
2021-12-22$75.44$80.0051.8%14.8%52.8%30.3%50.8%11.9%0.4%16.0K-228.4K-4.4K0.5720.04N/AN/A191188166
2021-12-23$76.08$80.0049.9%14.3%52.2%28.0%57.5%2.6%9.1%27.3K-423.5K-6.0K1.5414.07N/AN/A71188066
2021-12-27$74.80$80.0053.1%15.2%51.7%31.9%51.2%-6.3%-1.8%19.6K-250.1K-4.6K1.5485.19N/AN/A71188166
2021-12-28$74.00$80.0053.0%15.2%51.3%31.8%43.1%-9.5%-2.1%16.8K-188.0K-4.1K0.5582.24N/AN/A201188166
2021-12-29$74.96$80.0051.0%14.6%51.7%29.3%51.0%84.8%-3.3%19.8K-264.5K-4.4K0.5421.24N/AN/A201189568
2021-12-30$75.44$80.0050.9%14.6%50.1%29.3%47.9%0.4%12.8%32.9K-528.1K-6.0K0.5424.33N/AN/A211189568
2021-12-31$73.04$80.0051.6%14.8%48.0%30.1%44.7%-9.0%5.5%15.8K-217.3K-4.4K0.5490.03N/AN/A211189668