NDLS Options History — April 2022

In April 2022, NDLS traded between $38.24 and $46.56. ATM implied volatility averaged 86.5%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 22.4%. IV traded above realized volatility by 28.1% (HV 20d: 58.5%). Max pain ranged from $40.00 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.77.

Notable Days

  • 2022-04-29: Highest Volume — 607 contracts
  • 2022-04-06: Largest IV spike — 64.8% change
  • 2022-04-11: Highest IV Rank — 100.0%
  • 2022-04-08: Largest Expected Move — 27.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.50$38.24$46.56$45.92$45.20
Max Pain$58.00$40.00$60.00$60.00$40.00
ATM IV86.5%47.8%174.3%89.9%83.9%
Expected Move22.4%19.8%27.4%20.2%24.0%
HV 20d58.5%43.3%69.4%69.0%63.3%
HV 60d66.4%64.4%68.9%67.5%68.9%
IV Rank46.5%22.6%100.0%68.6%36.4%
IV Percentile86.8%27.0%100.0%96.8%92.5%
Term Structure-9.1%-74.9%12.7%-74.9%6.9%
VWIV75.1%43.3%115.9%67.2%76.4%
Skew 25d31.7%-31.6%72.3%-31.6%26.5%
Skew 10d72.1%-2.1%114.7%-2.1%45.7%
Call IV 25d66.1%39.0%105.9%70.8%56.5%
Put IV 25d97.7%39.1%126.8%39.1%83.0%
Bid-Ask Spread %86.9254.2193.3789.3791.02
Gamma HHI0.450.350.590.460.38
Net GEX6.6K2.2K12.0K9.7K6.8K
Net DEX-308.1K-738.7K-99.5K-469.1K-738.7K
Net VEX-2.8K-3.7K-2.1K-3.5K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.012.311.430.02
Total Volume68.952460729607
Total OI1,9081,8871,9321,9061,932

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-04-01$45.92$60.0089.9%20.2%69.0%68.6%67.2%-31.6%-74.9%9.7K-469.1K-3.5K1.4389.37N/AN/A12171,790116
2022-04-04$46.56$60.0059.0%19.8%65.9%34.8%43.3%8.0%1.1%8.3K-387.7K-3.1K2.3184.37N/AN/A7171,791116
2022-04-05$46.56$60.0047.8%20.4%65.7%22.6%67.3%2.5%-6.3%9.2K-397.9K-3.1K1.6388.37N/AN/A10171,791116
2022-04-06$43.28$60.0078.8%19.9%69.4%56.4%71.6%47.7%3.3%4.0K-287.9K-2.9K1.6288.28N/AN/A10171,794116
2022-04-07$43.28$60.0082.1%24.7%69.4%60.1%71.8%34.9%-21.1%9.9K-305.0K-3.2K0.6291.06N/AN/A28171,794115
2022-04-08$42.00$60.00117.9%27.4%64.0%99.1%72.1%13.4%-12.5%11.6K-378.6K-3.7K0.5993.37N/AN/A29171,813115
2022-04-11$41.12$60.00142.4%24.0%63.5%100.0%71.8%65.4%-12.4%6.3K-249.6K-2.9K0.5992.48N/AN/A29171,814115
2022-04-12$41.12$60.00174.3%22.4%63.3%100.0%79.3%55.2%-10.1%4.2K-204.7K-2.7K0.6189.25N/AN/A29171,814115
2022-04-13$42.96$60.0075.3%21.6%56.6%30.3%81.9%50.3%-7.9%5.9K-236.3K-2.7K0.6189.28N/AN/A29171,814115
2022-04-14$42.32$60.0082.8%23.7%56.5%35.6%77.0%53.3%12.7%8.4K-299.8K-2.8K0.6191.12N/AN/A29171,814115
2022-04-18$42.16$60.0079.3%22.7%56.5%33.2%115.9%72.3%5.2%12.0K-382.1K-3.2K0.6492.72N/AN/A26161,786103
2022-04-19$42.72$60.0070.8%20.3%52.8%27.2%74.2%45.4%9.8%4.0K-288.5K-2.6K0.6490.98N/AN/A26161,786103
2022-04-20$42.32$60.0083.4%23.9%49.4%36.0%79.4%20.2%-10.1%9.7K-331.5K-2.9K0.5891.24N/AN/A27161,786103
2022-04-21$41.20$60.0078.7%22.6%49.6%32.8%57.9%66.7%-11.8%3.4K-223.5K-2.5K0.6090.78N/AN/A27161,787103
2022-04-22$39.84$60.0072.6%20.8%49.3%28.4%80.5%32.1%-8.0%2.5K-133.1K-2.3K0.5779.16N/AN/A29161,787104
2022-04-25$40.00$60.0072.0%20.6%49.2%28.0%71.9%27.8%-2.9%2.2K-128.0K-2.1K0.5477.86N/AN/A27151,788102
2022-04-26$38.24$60.0078.4%22.5%49.3%32.6%78.6%31.8%-9.3%2.2K-99.5K-2.1K0.6054.21N/AN/A27161,789101
2022-04-27$39.04$60.0085.8%24.6%43.3%37.8%86.3%20.9%-14.8%2.9K-129.1K-2.1K0.0184.70N/AN/A4401,79097
2022-04-28$44.08$40.0075.2%21.5%62.9%30.3%78.2%-9.7%-18.3%8.1K-492.2K-2.6K0.4988.68N/AN/A31151,83397
2022-04-29$45.20$40.0083.9%24.0%63.3%36.4%76.4%26.5%6.9%6.8K-738.7K-2.7K0.0291.02N/AN/A593141,83498