NDLS Options History — July 2022

In July 2022, NDLS traded between $35.52 and $42.40. ATM implied volatility averaged 98.9%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 26.9%. IV traded above realized volatility by 31.1% (HV 20d: 67.8%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.52.

Notable Days

2022-07-28: Highest Volume — 108 contracts
2022-07-13: Largest IV drop — 48.1% change
2022-07-12: Highest IV Rank — 100.0%
2022-07-07: Largest Expected Move — 29.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.82	$35.52	$42.40	$37.28	$41.76
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	98.9%	74.1%	175.6%	96.3%	75.0%
Expected Move	26.9%	21.3%	29.7%	27.6%	21.5%
HV 20d	67.8%	59.8%	75.6%	66.2%	75.6%
HV 60d	85.1%	83.0%	87.1%	83.3%	87.1%
IV Rank	46.7%	29.2%	100.0%	45.1%	29.8%
IV Percentile	83.4%	59.9%	100.0%	88.9%	59.9%
Term Structure	5.7%	-21.0%	124.9%	1.5%	2.7%
VWIV	96.2%	77.4%	106.5%	96.2%	77.4%
Skew 25d	17.0%	-16.9%	50.6%	7.8%	16.8%
Skew 10d	40.3%	-12.7%	100.9%	30.4%	30.5%
Call IV 25d	101.7%	67.3%	116.4%	108.2%	67.3%
Put IV 25d	118.7%	84.1%	149.3%	116.0%	84.1%
Bid-Ask Spread %	75.41	34.16	94.95	76.10	84.39
Gamma HHI	0.60	0.46	0.70	0.59	0.52
Net GEX	40.1K	17.7K	54.9K	37.7K	29.6K
Net DEX	-954.8K	-1.6M	-271.0K	-994.4K	-529.3K
Net VEX	-4.6K	-7.3K	-1.8K	-5.8K	-2.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.20	1.84	0.50	1.84
Total Volume	55.45	21	108	89	53
Total OI	1,807.4	1,780	1,869	1,813	1,869

Daily Data (20 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
2022-07-01	$37.28	$40.00	96.3%	27.6%	66.2%	45.1%	96.2%	7.8%	1.5%	37.7K	-994.4K	-5.8K	0.50	76.10	N/A	N/A	59	30	1,729	84
2022-07-05	$39.60	$40.00	114.1%	29.0%	71.2%	57.6%	100.3%	-16.9%	-13.9%	45.9K	-1.3M	-6.3K	0.50	34.16	N/A	N/A	59	30	1,729	84
2022-07-06	$40.80	$40.00	109.8%	28.8%	64.5%	54.6%	101.1%	1.1%	-15.3%	50.7K	-1.4M	-7.0K	0.52	53.28	N/A	N/A	59	31	1,729	84
2022-07-07	$41.76	$40.00	90.0%	29.7%	65.8%	40.7%	103.0%	29.2%	-17.1%	54.6K	-1.6M	-7.3K	0.51	49.20	N/A	N/A	60	31	1,729	85
2022-07-08	$41.60	$40.00	97.9%	28.5%	65.6%	46.2%	98.4%	7.8%	-11.9%	54.9K	-1.5M	-6.9K	0.21	89.23	N/A	N/A	59	12	1,729	85
2022-07-11	$39.44	$40.00	125.4%	29.5%	67.1%	65.6%	106.5%	6.1%	-21.0%	47.5K	-1.3M	-6.0K	0.20	76.62	N/A	N/A	61	12	1,729	85
2022-07-12	$37.20	$40.00	175.6%	28.9%	68.5%	100.0%	101.2%	6.5%	-6.1%	34.0K	-811.7K	-4.7K	0.22	69.88	N/A	N/A	55	12	1,730	85
2022-07-13	$37.44	$40.00	91.2%	26.1%	65.1%	41.1%	92.1%	4.2%	2.5%	34.0K	-608.3K	-3.7K	0.21	61.96	N/A	N/A	57	12	1,739	86
2022-07-14	$37.44	$40.00	93.1%	26.7%	64.3%	42.4%	94.6%	44.4%	124.9%	31.2K	-637.9K	-3.8K	0.35	74.13	N/A	N/A	18	6	1,742	86
2022-07-15	$41.44	$40.00	96.8%	27.8%	75.3%	45.0%	101.5%	40.2%	-9.2%	50.2K	-1.4M	-6.0K	0.28	85.58	N/A	N/A	23	6	1,746	86
2022-07-18	$41.84	$40.00	100.6%	28.8%	69.7%	47.7%	97.8%	-7.8%	-9.3%	50.5K	-1.3M	-5.5K	0.26	87.32	N/A	N/A	22	6	1,695	85
2022-07-19	$42.40	$40.00	90.2%	25.9%	69.9%	40.4%	96.4%	31.5%	-4.8%	51.8K	-1.2M	-5.0K	0.23	90.01	N/A	N/A	22	5	1,696	85
2022-07-20	$41.60	$40.00	88.9%	25.5%	69.9%	39.6%	96.0%	31.8%	3.5%	48.6K	-1.1M	-4.7K	0.23	89.36	N/A	N/A	22	5	1,696	85
2022-07-21	$41.52	$40.00	93.3%	26.8%	59.8%	42.6%	98.6%	37.0%	-7.8%	48.1K	-1.1M	-4.9K	0.23	83.39	N/A	N/A	22	5	1,696	85
2022-07-22	$40.32	$40.00	74.1%	21.3%	60.7%	29.2%	82.1%	50.6%	30.9%	28.8K	-485.2K	-2.5K	0.29	94.95	N/A	N/A	18	5	1,696	85
2022-07-25	$39.44	$40.00	94.2%	27.0%	59.8%	43.2%	102.9%	-9.7%	-9.8%	36.4K	-697.7K	-3.2K	0.32	58.54	N/A	N/A	16	5	1,696	85
2022-07-26	$35.52	$40.00	96.5%	27.7%	70.1%	44.9%	102.6%	20.9%	-1.2%	17.7K	-271.0K	-1.9K	0.30	89.31	N/A	N/A	18	5	1,698	85
2022-07-27	$38.00	$40.00	85.5%	24.5%	73.3%	37.1%	86.8%	16.0%	45.4%	20.0K	-329.8K	-1.8K	1.28	78.36	N/A	N/A	35	45	1,703	85
2022-07-28	$39.92	$40.00	89.7%	25.7%	74.1%	40.1%	89.6%	21.8%	30.5%	29.0K	-510.7K	-2.5K	1.83	82.32	N/A	N/A	38	70	1,718	124
2022-07-29	$41.76	$40.00	75.0%	21.5%	75.6%	29.8%	77.4%	16.8%	2.7%	29.6K	-529.3K	-2.6K	1.84	84.39	N/A	N/A	19	34	1,720	149