NDLS Options History — August 2022

In August 2022, NDLS traded between $38.24 and $44.56. ATM implied volatility averaged 88.0%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 25.0%. IV traded above realized volatility by 22.9% (HV 20d: 65.1%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 2.04.

Notable Days

  • 2022-08-02: Highest Volume — 70 contracts
  • 2022-08-19: Largest IV spike — 82.2% change
  • 2022-08-19: Highest IV Rank — 87.4%
  • 2022-08-19: Largest Expected Move — 45.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.20$38.24$44.56$40.88$38.24
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV88.0%73.6%157.6%77.7%86.8%
Expected Move25.0%21.1%45.2%22.3%24.9%
HV 20d65.1%50.2%76.1%76.1%59.0%
HV 60d75.4%65.0%87.1%87.1%65.0%
IV Rank38.9%28.9%87.4%31.7%38.0%
IV Percentile68.6%50.4%99.2%61.9%68.7%
Term Structure11.8%-49.7%275.1%0.8%-10.0%
VWIV104.1%72.5%213.6%78.4%86.7%
Skew 25d24.6%-13.4%48.7%23.2%22.8%
Skew 10d45.6%-32.7%94.8%38.9%26.8%
Call IV 25d87.4%57.4%200.6%66.8%78.8%
Put IV 25d111.9%69.8%193.3%89.9%101.6%
Bid-Ask Spread %85.6540.80128.3064.2240.80
Gamma HHI0.450.260.760.460.33
Net GEX9.1K-1.4K25.1K22.9K-958
Net DEX-319.4K-705.7K17.1K-413.8K17.1K
Net VEX-1.3K-2.4K-805-2.1K-959
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.040.0012.502.071.86
Total Volume24.7391705857
Total OI1,337.0872351,9201,874320

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-08-01$40.88$40.0077.7%22.3%76.1%31.7%78.4%23.2%0.8%22.9K-413.8K-2.1K2.0764.22N/AN/A19391,723151
2022-08-02$41.12$40.0079.5%22.8%73.2%33.0%81.8%46.4%-0.8%22.6K-406.4K-2.1K3.4884.16N/AN/A16541,723156
2022-08-03$41.20$40.0075.4%21.6%72.5%30.1%77.7%-13.4%2.1%20.5K-395.8K-2.0K2.2276.87N/AN/A15341,723173
2022-08-04$39.44$40.0077.6%21.1%73.6%31.7%72.5%23.1%16.6%15.8K-284.7K-1.9K2.2870.44N/AN/A15341,724177
2022-08-05$38.96$40.00123.6%27.3%73.6%63.7%97.3%41.5%-9.2%25.1K-404.9K-2.4K2.1583.92N/AN/A16351,724177
2022-08-08$40.64$40.0082.0%28.3%72.8%34.7%95.5%22.5%-17.7%16.8K-332.1K-1.6K2.16105.21N/AN/A16351,726182
2022-08-09$39.92$40.0090.6%25.8%69.8%40.7%89.9%19.8%-8.6%15.7K-276.9K-1.5K0.77103.05N/AN/A331,726183
2022-08-10$42.08$40.0091.8%26.3%71.9%41.5%0.0%-7.3%28.7%148-690.5K-1.0K0.37117.08N/AN/A311,728183
2022-08-11$41.20$40.00109.6%31.4%72.5%54.0%107.9%29.0%-49.7%16.9K-340.9K-1.3K0.49115.87N/AN/A841,726183
2022-08-12$42.40$40.0083.0%23.8%63.7%35.4%0.0%12.3%10.2%18.8K-529.9K-1.2K1.4389.71N/AN/A461,723186
2022-08-15$42.32$40.0075.7%21.7%63.7%30.4%152.3%20.0%7.0%16.7K-478.7K-1.2K0.5099.90N/AN/A101,723187
2022-08-16$44.56$40.0080.3%23.0%66.1%33.6%0.0%34.0%-11.2%8.8K-671.0K-8760.0099.33N/AN/A101,723188
2022-08-17$43.84$40.0091.7%26.3%66.0%41.5%0.0%17.4%-7.1%14.1K-643.2K-1.0K0.00110.98N/AN/A301,723187
2022-08-18$43.84$40.0086.5%24.8%66.0%37.9%0.0%31.2%275.1%452-705.7K-8053.8597.80N/AN/A3131,721187
2022-08-19$42.08$40.00157.6%45.2%66.8%87.4%0.0%35.2%-46.2%123-663.4K-1.2K0.00128.30N/AN/A4401,721199
2022-08-22$40.64$40.0076.1%21.8%67.6%30.6%76.9%48.7%82.8%-778-48.7K-1.2K0.3385.03N/AN/A52107128
2022-08-23$42.24$40.0089.4%25.6%55.9%39.9%101.4%26.6%16.0%-109-39.9K-1.0K12.5070.55N/AN/A113112130
2022-08-24$41.20$40.0075.7%21.7%52.5%30.3%175.8%47.6%2.6%-716-15.1K-9180.1973.79N/AN/A71113142
2022-08-25$42.08$40.0077.1%22.1%50.2%31.3%83.8%18.4%0.6%-409-28.5K-9454.3360.62N/AN/A27120144
2022-08-26$39.04$40.0073.7%21.1%54.6%28.9%213.6%13.6%2.7%-1.0K1.1K-8943.3371.49N/AN/A621120151
2022-08-29$39.20$40.0073.6%21.1%54.2%28.9%74.0%15.1%6.5%-1.4K16.1K-9770.8565.74N/AN/A86126172
2022-08-30$40.48$40.0089.6%25.7%55.5%40.0%0.0%37.1%-19.7%-268-10.2K-8791.6455.17N/AN/A35133179
2022-08-31$38.24$40.0086.8%24.9%59.0%38.0%86.7%22.8%-10.0%-95817.1K-9591.8640.80N/AN/A2037136184