NDLS Options History — March 2022

In March 2022, NDLS traded between $44.88 and $54.24. ATM implied volatility averaged 78.4%, placing in the 60.3% IV rank vs the trailing year. The 30-day expected move averaged 22.3%. IV traded above realized volatility by 0.6% (HV 20d: 77.9%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.89.

Notable Days

  • 2022-03-08: Highest Volume — 222 contracts
  • 2022-03-23: Largest IV spike — 132.6% change
  • 2022-03-23: Highest IV Rank — 100.0%
  • 2022-03-09: Largest Expected Move — 37.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.50$44.88$54.24$50.16$47.68
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV78.4%51.0%118.7%66.4%80.9%
Expected Move22.3%17.1%37.0%19.0%17.8%
HV 20d77.9%68.0%87.2%74.6%68.0%
HV 60d63.4%59.3%67.3%59.3%67.3%
IV Rank60.3%29.4%100.0%48.3%58.7%
IV Percentile89.0%43.7%100.0%87.3%94.0%
Term Structure-7.1%-62.6%30.5%-6.8%-52.9%
VWIV71.6%50.2%112.8%58.4%68.7%
Skew 25d7.7%-108.0%59.2%13.2%-3.6%
Skew 10d31.7%-103.7%100.6%4.0%3.9%
Call IV 25d74.8%42.5%231.1%79.4%65.3%
Put IV 25d82.5%55.9%123.1%92.5%61.8%
Bid-Ask Spread %82.1621.8799.1492.8792.78
Gamma HHI0.470.330.530.400.51
Net GEX25.9K10.3K43.8K33.9K12.4K
Net DEX-706.0K-1.2M-142.6K-579.8K-509.7K
Net VEX-5.5K-7.6K-3.4K-6.1K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.032.801.781.43
Total Volume108.522242228929
Total OI1,921.2171,7712,0461,7711,906

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-03-01$50.16$60.0066.4%19.0%74.6%48.3%58.4%13.2%-6.8%33.9K-579.8K-6.1K1.7892.87N/AN/A32571,68982
2022-03-02$53.28$60.0059.8%17.1%76.4%40.1%59.1%19.5%22.0%43.8K-717.9K-6.6K1.5885.39N/AN/A36571,697114
2022-03-03$50.88$60.0075.7%21.7%76.9%59.7%76.2%11.7%14.9%30.4K-415.8K-5.0K2.5087.71N/AN/A23571,702114
2022-03-04$50.24$60.0060.5%17.3%76.8%41.0%61.6%10.9%-5.4%28.6K-371.5K-5.3K2.8096.18N/AN/A20571,703114
2022-03-07$47.28$60.00108.0%31.0%74.7%99.3%112.8%-7.2%12.4%17.4K-142.6K-3.4K2.7293.16N/AN/A20541,703114
2022-03-08$46.56$60.0078.4%24.9%73.7%63.0%74.6%6.5%-4.8%15.1K-147.7K-3.8K0.2265.34N/AN/A181411,703117
2022-03-09$48.08$60.0087.4%37.0%74.3%74.1%73.0%19.4%2.2%30.4K-819.7K-6.3K0.2394.30N/AN/A85191,859117
2022-03-10$47.84$60.0079.8%19.5%73.0%64.7%73.2%1.1%3.6%26.3K-822.2K-6.5K0.2269.93N/AN/A86191,923119
2022-03-11$51.28$60.0070.0%28.6%79.2%52.7%74.4%14.1%1.3%33.6K-1.1M-7.5K0.1445.87N/AN/A88121,923119
2022-03-14$49.52$60.0069.5%22.6%78.5%52.1%77.2%11.7%26.9%28.9K-918.5K-6.6K0.1375.52N/AN/A85121,927119
2022-03-15$49.84$60.0072.5%23.7%79.0%55.7%76.1%12.6%25.8%29.0K-918.5K-6.6K0.1774.53N/AN/A75131,927119
2022-03-16$54.24$60.0065.2%19.7%86.8%46.8%64.2%20.7%3.5%37.5K-1.2M-7.6K0.1269.58N/AN/A7591,925121
2022-03-17$53.04$60.0062.8%20.1%86.7%43.8%70.1%54.7%-0.8%35.5K-1.1M-7.1K0.1221.87N/AN/A7491,925121
2022-03-18$52.32$60.0069.6%18.7%86.8%52.2%67.4%33.5%-7.8%28.7K-865.7K-5.8K0.0486.95N/AN/A20081,925121
2022-03-21$48.88$60.0088.5%21.8%86.4%75.4%75.0%-15.8%-37.2%22.0K-791.9K-5.3K0.0390.21N/AN/A19571,780107
2022-03-22$51.04$60.0051.0%20.3%87.2%29.4%71.6%16.4%30.5%23.4K-797.2K-5.1K0.0495.97N/AN/A19671,780107
2022-03-23$49.84$60.00118.7%19.4%86.5%100.0%73.3%59.2%-62.6%21.8K-717.0K-4.7K0.0472.13N/AN/A19571,782109
2022-03-24$48.00$60.00117.7%22.8%74.3%98.9%76.9%-108.0%-41.2%22.1K-729.5K-5.3K0.0494.86N/AN/A13361,782109
2022-03-25$46.88$60.0082.3%22.0%74.3%60.2%74.1%-0.4%-34.4%21.0K-697.2K-4.9K0.0499.08N/AN/A13361,783109
2022-03-28$44.88$60.0078.7%21.0%74.9%56.3%50.2%-2.1%-21.1%10.3K-406.9K-3.5K2.3199.14N/AN/A7171,784109
2022-03-29$47.76$60.0090.4%23.9%72.4%69.1%69.8%-2.0%-39.5%20.3K-652.4K-4.9K2.4493.13N/AN/A7171,784115
2022-03-30$48.88$60.0069.5%23.8%69.3%46.3%69.0%11.8%7.7%23.8K-796.0K-5.2K1.3493.13N/AN/A13171,784116
2022-03-31$47.68$60.0080.9%17.8%68.0%58.7%68.7%-3.6%-52.9%12.4K-509.7K-3.6K1.4392.78N/AN/A12171,790116