NDLS Options History — May 2022

In May 2022, NDLS traded between $40.56 and $53.20. ATM implied volatility averaged 104.8%, placing in the 51.1% IV rank vs the trailing year. The 30-day expected move averaged 29.4%. IV traded above realized volatility by 18.7% (HV 20d: 86.1%). Max pain ranged from $40.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.47.

Notable Days

2022-05-13: Highest Volume — 294 contracts
2022-05-16: Largest IV spike — 29.9% change
2022-05-17: Highest IV Rank — 83.9%
2022-05-17: Largest Expected Move — 43.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.91	$40.56	$53.20	$44.96	$53.20
Max Pain	$52.38	$40.00	$60.00	$40.00	$40.00
ATM IV	104.8%	80.8%	151.4%	95.3%	104.0%
Expected Move	29.4%	23.8%	43.4%	27.3%	29.8%
HV 20d	86.1%	61.1%	111.0%	62.0%	107.7%
HV 60d	75.7%	67.9%	83.3%	68.9%	81.1%
IV Rank	51.1%	34.2%	83.9%	44.5%	50.6%
IV Percentile	95.3%	88.5%	99.6%	96.8%	94.0%
Term Structure	1.3%	-46.8%	48.5%	-13.8%	-11.8%
VWIV	95.9%	76.4%	118.6%	84.0%	95.5%
Skew 25d	15.1%	-123.2%	82.9%	-6.5%	1.5%
Skew 10d	47.4%	-119.6%	204.7%	11.5%	5.1%
Call IV 25d	105.9%	62.0%	276.8%	98.8%	97.4%
Put IV 25d	120.9%	87.5%	193.1%	92.3%	98.8%
Bid-Ask Spread %	69.75	31.00	92.72	82.45	31.00
Gamma HHI	0.74	0.64	0.83	0.70	0.73
Net GEX	50.3K	37.2K	72.8K	38.3K	72.8K
Net DEX	-2.7M	-4.3M	-1.6M	-1.7M	-4.3M
Net VEX	-12.8K	-16.0K	-9.3K	-9.4K	-16.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.10	1.59	0.25	1.17
Total Volume	152.333	40	294	131	57
Total OI	2,647.048	1,667	3,287	2,654	1,701

Daily Data (21 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
2022-05-02	$44.96	$40.00	95.3%	27.3%	62.0%	44.5%	84.0%	-6.5%	-13.8%	38.3K	-1.7M	-9.4K	0.25	82.45	N/A	N/A	105	26	2,576	78
2022-05-03	$43.84	$40.00	84.3%	24.2%	62.3%	36.7%	76.4%	25.5%	-7.8%	38.0K	-1.6M	-9.3K	0.23	75.48	N/A	N/A	106	24	2,661	68
2022-05-04	$44.32	$40.00	89.8%	25.7%	62.5%	40.6%	88.7%	33.8%	1.9%	42.5K	-1.9M	-10.7K	0.21	80.44	N/A	N/A	118	25	2,745	69
2022-05-05	$41.60	$60.00	95.0%	26.6%	61.1%	44.2%	85.4%	22.0%	-4.2%	37.2K	-1.7M	-10.4K	0.25	59.94	N/A	N/A	127	31	2,834	70
2022-05-06	$44.96	$60.00	80.8%	25.3%	67.4%	34.2%	84.5%	-123.2%	5.8%	45.0K	-2.1M	-11.2K	0.25	69.88	N/A	N/A	127	31	2,847	70
2022-05-09	$44.80	$60.00	100.9%	27.1%	66.3%	48.4%	85.2%	33.2%	-11.0%	44.4K	-2.2M	-11.4K	0.43	68.19	N/A	N/A	78	33	2,847	70
2022-05-10	$46.88	$60.00	127.9%	23.8%	67.3%	67.4%	95.5%	-11.5%	28.0%	51.1K	-2.8M	-12.7K	0.32	67.13	N/A	N/A	108	34	2,903	71
2022-05-11	$46.00	$60.00	89.6%	25.7%	67.9%	40.4%	93.7%	-28.4%	-1.9%	50.7K	-2.8M	-13.3K	1.29	75.15	N/A	N/A	27	34	2,983	72
2022-05-12	$46.64	$60.00	94.8%	27.2%	66.5%	44.1%	92.0%	82.2%	6.3%	54.1K	-2.8M	-13.4K	1.59	83.35	N/A	N/A	22	34	2,983	72
2022-05-13	$52.08	$60.00	100.6%	28.8%	75.9%	48.1%	99.8%	82.9%	-1.8%	48.9K	-4.1M	-15.0K	0.13	66.09	N/A	N/A	260	34	2,984	72
2022-05-16	$44.16	$60.00	130.7%	37.5%	98.2%	69.3%	118.6%	36.7%	17.3%	46.5K	-3.1M	-14.3K	0.13	81.26	N/A	N/A	260	34	3,212	72
2022-05-17	$47.68	$60.00	151.4%	43.4%	101.6%	83.9%	105.3%	49.0%	-46.8%	53.9K	-3.5M	-15.1K	0.18	76.46	N/A	N/A	196	35	3,213	72
2022-05-18	$45.92	$60.00	109.4%	31.4%	102.7%	54.3%	95.3%	19.5%	-14.4%	52.7K	-3.1M	-14.2K	0.18	66.80	N/A	N/A	196	35	3,213	72
2022-05-19	$45.12	$60.00	139.4%	40.0%	102.4%	75.4%	107.2%	42.1%	-28.1%	51.9K	-3.0M	-14.1K	0.18	77.72	N/A	N/A	197	35	3,213	72
2022-05-20	$43.20	$60.00	109.1%	31.3%	102.9%	54.1%	103.0%	22.8%	-5.4%	55.0K	-1.8M	-10.3K	0.12	59.23	N/A	N/A	213	26	3,214	73
2022-05-23	$43.76	$60.00	104.1%	29.8%	103.0%	50.6%	105.1%	-4.3%	-8.4%	51.5K	-2.4M	-12.7K	0.11	52.64	N/A	N/A	176	20	1,639	28
2022-05-24	$40.56	$40.00	97.0%	27.8%	105.5%	45.6%	98.2%	22.9%	48.5%	43.9K	-1.9M	-11.4K	0.10	71.43	N/A	N/A	180	17	1,643	30
2022-05-25	$44.88	$40.00	112.3%	32.2%	111.0%	56.4%	112.0%	11.1%	28.2%	48.6K	-2.9M	-13.3K	1.04	92.72	N/A	N/A	20	21	1,643	32
2022-05-26	$48.56	$40.00	93.0%	26.7%	106.1%	42.8%	95.9%	0.6%	47.2%	62.2K	-3.3M	-14.7K	1.12	76.87	N/A	N/A	19	21	1,645	40
2022-05-27	$51.04	$40.00	90.6%	26.0%	107.1%	41.1%	93.5%	4.7%	-0.3%	67.8K	-3.8M	-15.6K	0.58	50.48	N/A	N/A	36	21	1,646	40
2022-05-31	$53.20	$40.00	104.0%	29.8%	107.7%	50.6%	95.5%	1.5%	-11.8%	72.8K	-4.3M	-16.0K	1.17	31.00	N/A	N/A	26	31	1,661	40