NDLS Options History — January 2022

In January 2022, NDLS traded between $63.28 and $72.96. ATM implied volatility averaged 69.2%, placing in the 51.7% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded above realized volatility by 20.8% (HV 20d: 48.4%). Max pain ranged from $80.00 to $80.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2022-01-11: Highest Volume — 473 contracts
  • 2022-01-05: Largest IV spike — 113.9% change
  • 2022-01-25: Highest IV Rank — 80.3%
  • 2022-01-25: Largest Expected Move — 26.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.79$63.28$72.96$72.96$66.48
Max Pain$80.00$80.00$80.00$80.00$80.00
ATM IV69.2%32.2%92.5%43.0%78.1%
Expected Move18.9%9.2%26.5%12.3%22.4%
HV 20d48.4%43.5%54.2%47.7%54.2%
HV 60d45.3%41.7%49.0%41.7%47.4%
IV Rank51.7%6.3%80.3%19.5%62.6%
IV Percentile81.4%1.6%99.2%9.5%94.0%
Term Structure0.2%-19.5%34.1%7.3%1.4%
VWIV71.7%32.2%110.7%44.7%82.8%
Skew 25d3.9%-19.2%25.4%7.0%11.9%
Skew 10d28.9%-10.7%65.6%7.5%41.8%
Call IV 25d67.3%41.1%86.4%41.1%73.1%
Put IV 25d71.1%30.9%97.3%48.1%84.9%
Bid-Ask Spread %82.8823.48113.8341.1488.64
Gamma HHI0.410.300.650.510.39
Net GEX43.4K11.8K66.0K14.8K63.5K
Net DEX-1.4M-2.7M-108.2K-164.1K-2.1M
Net VEX-11.5K-18.1K-3.4K-3.8K-16.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.063.330.542.56
Total Volume121.35324733240
Total OI1,595.959642,1209642,117

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$72.96$80.0043.0%12.3%47.7%19.5%44.7%7.0%7.3%14.8K-164.1K-3.8K0.5441.14N/AN/A211189668
2022-01-04$71.12$80.0032.2%9.2%46.2%6.3%32.2%-11.9%34.1%23.0K-297.9K-4.4K0.5523.48N/AN/A211189668
2022-01-05$69.52$80.0068.9%19.7%45.0%51.3%36.6%-19.2%-13.8%18.9K-209.1K-4.4K0.5545.39N/AN/A211189668
2022-01-06$70.16$80.0059.0%15.6%44.5%39.2%60.3%4.9%0.5%14.3K-170.1K-3.6K0.55110.12N/AN/A211189669
2022-01-07$66.32$80.0079.0%15.2%46.9%63.7%51.9%-18.6%-19.5%11.8K-176.8K-4.2K0.52113.83N/AN/A221189669
2022-01-10$69.52$80.0064.8%16.5%49.7%46.3%72.5%6.9%10.7%13.2K-108.2K-3.4K0.11102.02N/AN/A2672889773
2022-01-11$70.08$80.0078.9%14.8%49.9%63.7%68.3%5.9%-0.5%30.6K-979.0K-8.5K0.0699.85N/AN/A445281,15585
2022-01-12$72.32$80.0061.9%17.7%51.8%42.7%68.5%13.6%5.7%54.8K-1.7M-12.9K0.1694.31N/AN/A172281,48085
2022-01-13$70.24$80.0065.8%18.9%52.4%47.5%68.8%4.0%-6.0%53.5K-1.8M-13.6K0.2385.14N/AN/A123281,52885
2022-01-14$68.08$80.0067.9%19.5%43.9%50.1%65.0%3.9%-5.7%52.4K-1.7M-13.6K0.2373.45N/AN/A121281,64085
2022-01-18$65.44$80.0075.8%21.7%43.5%59.8%98.4%-0.1%-3.9%46.5K-1.4M-12.3K0.5476.80N/AN/A85461,64585
2022-01-19$67.92$80.0074.3%21.3%43.9%58.0%67.9%6.0%-0.1%52.7K-1.9M-14.9K0.1973.46N/AN/A244461,701105
2022-01-20$64.24$80.0073.2%21.0%47.1%56.6%110.7%6.7%-11.6%56.5K-2.0M-15.6K1.3073.01N/AN/A41531,861105
2022-01-21$64.40$80.0068.1%19.5%46.1%50.3%78.5%3.8%12.8%54.4K-1.9M-15.2K0.4374.70N/AN/A77331,864110
2022-01-24$67.12$80.0087.0%24.9%49.1%73.5%92.2%5.4%-11.7%64.3K-2.5M-17.3K0.5190.67N/AN/A74381,885106
2022-01-25$68.16$80.0092.5%26.5%49.5%80.3%89.3%3.7%-16.5%66.0K-2.7M-18.1K0.5792.25N/AN/A58331,944113
2022-01-26$64.48$80.0072.5%20.8%52.7%55.7%78.2%8.8%-0.1%61.3K-2.2M-16.5K1.56100.98N/AN/A22341,993113
2022-01-27$63.28$80.0077.7%22.3%52.3%62.1%83.0%8.9%-3.8%58.8K-2.1M-16.4K2.7595.03N/AN/A10282,006114
2022-01-28$63.92$80.0064.0%18.4%52.4%45.3%83.9%25.4%25.5%57.5K-1.9M-15.2K3.33103.35N/AN/A8282,003114
2022-01-31$66.48$80.0078.1%22.4%54.2%62.6%82.8%11.9%1.4%63.5K-2.1M-16.0K2.5688.64N/AN/A11292,003114