NDLS Options History — June 2022

In June 2022, NDLS traded between $37.12 and $52.40. ATM implied volatility averaged 95.0%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 26.8%. IV traded above realized volatility by 0.2% (HV 20d: 94.9%). 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 16 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2022-06-27: Highest Volume — 92 contracts
  • 2022-06-15: Largest IV spike — 32.1% change
  • 2022-06-15: Highest IV Rank — 58.3%
  • 2022-06-15: Largest Expected Move — 33.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.77$37.12$52.40$48.40$37.36
Max Pain$42.86$40.00$60.00$40.00$40.00
ATM IV95.0%81.7%115.0%92.6%93.2%
Expected Move26.8%23.4%33.0%26.5%26.7%
HV 20d94.9%66.5%113.3%113.3%66.5%
HV 60d82.7%81.0%84.3%82.5%83.3%
IV Rank44.2%34.8%58.3%42.5%42.9%
IV Percentile88.6%75.8%96.4%90.5%86.9%
Term Structure12.3%-22.1%83.3%-22.1%2.2%
VWIV99.8%78.7%145.5%86.0%93.5%
Skew 25d-2.8%-68.5%39.3%3.6%-29.0%
Skew 10d-3.3%-118.2%80.3%24.8%-37.2%
Call IV 25d125.7%96.7%243.8%99.3%130.2%
Put IV 25d122.9%88.5%210.1%103.0%101.2%
Bid-Ask Spread %85.8954.10125.8668.6960.82
Gamma HHI0.720.560.770.750.56
Net GEX52.5K3.2K74.4K62.4K3.2K
Net DEX-2.3M-3.9M31.6K-3.1M31.6K
Net VEX-10.5K-15.0K-663-14.2K-663
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.182.250.950.50
Total Volume48.42919926389
Total OI1,737.811,6851,8121,7101,812

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-06-01$48.40$40.0092.6%26.5%113.3%42.5%86.0%3.6%-22.1%62.4K-3.1M-14.2K0.9568.69N/AN/A32311,65060
2022-06-02$48.72$60.00101.5%27.8%113.2%48.8%94.0%3.5%-7.0%65.0K-3.2M-14.1K1.3260.88N/AN/A32421,65661
2022-06-03$48.32$60.00108.9%26.9%110.5%54.0%102.9%-2.8%-5.5%63.0K-3.1M-14.0K1.1671.01N/AN/A26301,65674
2022-06-06$52.40$60.00101.7%27.1%110.8%48.9%101.6%15.5%-0.0%74.4K-3.9M-15.0K1.3559.96N/AN/A22301,65674
2022-06-07$51.92$40.0098.2%25.8%110.9%46.5%107.1%27.7%6.2%71.1K-3.7M-14.5K1.3666.06N/AN/A22301,66474
2022-06-08$50.64$40.0092.4%26.5%110.5%42.4%105.5%-63.5%5.3%70.9K-3.5M-13.9K2.2571.47N/AN/A13301,66474
2022-06-09$50.80$40.0090.4%25.9%110.2%41.0%108.4%-20.8%6.2%71.8K-3.5M-14.1K2.2586.82N/AN/A13301,66474
2022-06-10$48.88$40.0087.2%25.0%111.2%38.7%78.7%-68.5%16.8%66.8K-3.1M-13.3K2.20114.77N/AN/A14301,66474
2022-06-13$45.44$40.0097.1%27.8%106.5%45.7%145.5%33.4%61.0%48.9K-2.7M-11.8K0.67119.86N/AN/A17111,66474
2022-06-14$46.32$40.0087.0%24.9%88.8%38.6%96.5%22.0%38.7%56.8K-2.8M-12.0K0.67125.86N/AN/A17111,66774
2022-06-15$47.04$40.00115.0%33.0%84.6%58.3%92.6%39.3%47.1%49.8K-3.0M-12.2K0.72112.92N/AN/A15111,66774
2022-06-16$43.28$40.0087.7%25.1%88.7%39.1%113.4%5.0%83.3%45.8K-2.6M-11.5K0.42118.79N/AN/A1461,66974
2022-06-17$43.52$40.0090.6%26.0%88.6%41.1%103.0%4.5%19.0%49.3K-2.1M-10.3K0.4486.81N/AN/A1361,66974
2022-06-21$42.72$40.0092.2%26.4%87.4%42.2%93.9%15.4%-17.1%51.9K-1.7M-9.0K0.1882.14N/AN/A2751,63946
2022-06-22$38.72$40.0094.2%27.0%93.8%43.6%95.4%-7.4%0.4%40.7K-1.1M-6.9K0.9993.12N/AN/A17171,65646
2022-06-23$39.28$40.0092.8%26.6%90.3%42.6%91.3%-18.3%1.0%41.8K-1.2M-6.8K0.6080.65N/AN/A29171,65659
2022-06-24$40.72$40.0095.7%27.4%83.2%44.7%109.2%6.2%6.5%46.3K-1.2M-6.9K0.3483.62N/AN/A2591,66959
2022-06-27$40.16$40.0081.7%23.4%77.1%34.8%81.7%-4.7%12.5%44.3K-1.3M-7.2K0.4894.32N/AN/A62301,66965
2022-06-28$38.48$40.0096.3%27.6%74.6%45.1%95.9%-24.4%4.7%41.8K-1.2M-6.7K1.3154.10N/AN/A23301,70384
2022-06-29$37.12$40.0099.7%28.6%72.0%47.5%100.2%4.4%0.0%36.6K-975.5K-5.9K0.5091.07N/AN/A59301,70284
2022-06-30$37.36$40.0093.2%26.7%66.5%42.9%93.5%-29.0%2.2%3.2K31.6K-6630.5060.82N/AN/A59301,72983