NDLS Options History — February 2022

In February 2022, NDLS traded between $55.04 and $75.20. ATM implied volatility averaged 66.9%, placing in the 48.9% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded above realized volatility by 10.8% (HV 20d: 56.1%). Max pain ranged from $60.00 to $80.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.77.

Notable Days

2022-02-18: Highest Volume — 255 contracts
2022-02-28: Largest IV spike — 30.8% change
2022-02-01: Highest IV Rank — 73.2%
2022-02-01: Largest Expected Move — 24.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.12	$55.04	$75.20	$69.52	$55.04
Max Pain	$62.35	$60.00	$80.00	$80.00	$60.00
ATM IV	66.9%	53.3%	86.7%	86.7%	70.1%
Expected Move	18.6%	15.1%	24.9%	24.9%	20.1%
HV 20d	56.1%	44.6%	70.7%	57.0%	70.7%
HV 60d	50.8%	48.2%	57.8%	48.6%	57.6%
IV Rank	48.9%	32.1%	73.2%	73.2%	52.8%
IV Percentile	82.1%	55.6%	98.0%	98.0%	90.9%
Term Structure	5.9%	-31.4%	32.6%	-31.4%	5.5%
VWIV	61.5%	46.6%	77.9%	70.4%	77.9%
Skew 25d	2.0%	-12.8%	21.9%	12.3%	-11.6%
Skew 10d	16.5%	-31.6%	55.8%	21.6%	-31.6%
Call IV 25d	71.8%	64.6%	83.1%	65.9%	82.7%
Put IV 25d	73.7%	62.5%	100.8%	78.2%	71.2%
Bid-Ask Spread %	82.94	63.81	101.82	101.82	65.31
Gamma HHI	0.38	0.34	0.41	0.39	0.36
Net GEX	88.6K	46.6K	119.7K	69.5K	46.6K
Net DEX	-3.1M	-4.4M	-968.4K	-2.5M	-968.4K
Net VEX	-16.8K	-20.7K	-7.9K	-16.8K	-7.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.14	2.76	2.76	0.87
Total Volume	153.368	39	255	48	41
Total OI	2,112.105	1,710	2,333	2,118	1,768

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2022-02-01	$69.52	$80.00	86.7%	24.9%	57.0%	73.2%	70.4%	12.3%	-31.4%	69.5K	-2.5M	-16.8K	2.76	101.82	N/A	N/A	13	35	2,004	114
2022-02-02	$67.04	$80.00	70.8%	20.3%	57.7%	53.6%	75.7%	1.3%	7.7%	71.5K	-2.2M	-15.4K	2.76	91.51	N/A	N/A	13	35	2,004	121
2022-02-03	$65.84	$0.00	61.3%	18.1%	57.5%	41.9%	0.0%	-5.2%	8.2%	65.3K	-2.2M	-15.6K	2.76	74.06	N/A	N/A	13	35	2,004	121
2022-02-04	$69.20	$0.00	69.7%	22.3%	60.4%	52.3%	77.1%	-4.6%	-8.3%	77.1K	-2.5M	-17.1K	0.26	73.44	N/A	N/A	112	29	2,004	128
2022-02-07	$70.24	$60.00	80.1%	15.1%	56.8%	65.1%	53.7%	-1.7%	10.5%	86.1K	-3.5M	-18.6K	0.26	93.84	N/A	N/A	112	29	2,105	129
2022-02-08	$72.00	$60.00	84.4%	17.9%	55.1%	70.4%	74.0%	1.5%	2.8%	96.5K	-3.4M	-17.3K	0.39	87.68	N/A	N/A	115	45	2,104	129
2022-02-09	$73.52	$60.00	64.8%	18.6%	55.4%	46.4%	50.6%	1.6%	0.9%	99.5K	-3.9M	-19.1K	0.38	91.61	N/A	N/A	117	45	2,104	143
2022-02-10	$74.16	$60.00	66.9%	19.2%	54.4%	48.9%	68.3%	9.9%	3.6%	100.0K	-4.0M	-19.6K	0.24	88.66	N/A	N/A	189	45	2,099	143
2022-02-11	$75.20	$60.00	65.0%	18.6%	53.4%	46.5%	49.1%	0.8%	3.6%	107.1K	-4.4M	-20.7K	0.24	83.99	N/A	N/A	190	45	2,176	143
2022-02-14	$74.32	$60.00	66.1%	18.9%	52.1%	47.8%	68.7%	1.5%	3.5%	106.3K	-4.4M	-20.5K	0.24	76.35	N/A	N/A	188	45	2,173	143
2022-02-15	$75.20	$60.00	68.5%	19.6%	49.5%	50.8%	48.7%	2.0%	3.2%	108.6K	-4.4M	-20.3K	0.22	80.75	N/A	N/A	205	45	2,172	143
2022-02-16	$73.44	$60.00	63.5%	18.2%	49.3%	44.8%	51.7%	3.8%	1.3%	111.2K	-4.0M	-19.7K	0.23	70.05	N/A	N/A	189	44	2,190	143
2022-02-17	$72.40	$60.00	53.3%	15.3%	44.6%	32.1%	46.6%	5.9%	16.9%	105.9K	-3.8M	-19.4K	0.24	79.03	N/A	N/A	189	46	2,189	143
2022-02-18	$74.96	$60.00	61.2%	17.5%	45.8%	41.9%	53.8%	11.6%	-7.9%	119.7K	-4.2M	-19.2K	0.20	83.03	N/A	N/A	212	43	2,189	142
2022-02-22	$69.84	$60.00	60.6%	17.4%	51.7%	41.1%	53.3%	1.6%	29.2%	105.4K	-3.4M	-16.8K	0.14	95.65	N/A	N/A	210	30	1,645	65
2022-02-23	$66.56	$60.00	58.9%	16.9%	54.4%	39.1%	64.1%	-2.3%	26.1%	90.5K	-2.9M	-15.3K	0.42	92.82	N/A	N/A	92	39	1,666	66
2022-02-24	$58.08	$60.00	65.5%	18.8%	70.3%	47.2%	67.6%	21.9%	4.8%	57.3K	-1.4M	-9.7K	1.01	82.43	N/A	N/A	20	20	1,680	70
2022-02-25	$56.72	$60.00	53.6%	15.4%	70.4%	32.6%	55.6%	-12.8%	32.6%	58.6K	-1.3M	-9.5K	0.94	63.81	N/A	N/A	20	19	1,687	81
2022-02-28	$55.04	$60.00	70.1%	20.1%	70.7%	52.8%	77.9%	-11.6%	5.5%	46.6K	-968.4K	-7.9K	0.87	65.31	N/A	N/A	22	19	1,687	81