NDLS Options History — September 2022

In September 2022, NDLS traded between $36.32 and $42.00. ATM implied volatility averaged 84.4%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 22.9%. IV traded above realized volatility by 24.0% (HV 20d: 60.5%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2022-09-16: Highest Volume — 65 contracts
  • 2022-09-13: Largest IV spike — 110.4% change
  • 2022-09-13: Highest IV Rank — 92.3%
  • 2022-09-15: Largest Expected Move — 38.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.34$36.32$42.00$37.20$38.00
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV84.4%64.5%164.6%75.6%74.7%
Expected Move22.9%16.2%38.2%21.7%21.4%
HV 20d60.5%55.5%67.2%57.8%56.7%
HV 60d63.9%62.0%66.3%65.2%62.2%
IV Rank36.4%22.5%92.3%30.3%29.6%
IV Percentile57.4%33.3%99.2%52.8%46.8%
Term Structure5.7%-23.3%45.0%24.6%7.0%
VWIV82.1%65.2%145.9%85.7%75.0%
Skew 25d39.0%10.5%70.3%10.5%47.8%
Skew 10d51.2%5.8%93.6%5.8%79.1%
Call IV 25d84.0%68.2%107.9%83.3%93.1%
Put IV 25d123.0%93.8%147.5%93.8%140.9%
Bid-Ask Spread %73.9839.61122.4660.0468.05
Gamma HHI0.340.280.480.340.36
Net GEX-20-2.0K1.7K-1.6K1.2K
Net DEX-19.5K-99.5K48.0K41.2K-45.6K
Net VEX-813-1.1K-587-876-621
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.003.580.091.14
Total Volume19.571065139
Total OI299.905263338320277

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$37.20$40.0075.6%21.7%57.8%30.3%0.0%10.5%24.6%-1.6K41.2K-8760.0960.04N/AN/A10136184
2022-09-02$36.48$40.0068.4%19.6%58.0%25.3%0.0%11.2%-2.4%-1.5K41.9K-9450.0358.62N/AN/A40138183
2022-09-06$36.48$40.0072.3%24.4%55.5%28.0%85.7%18.3%1.6%-1.5K48.0K-8642.5171.09N/AN/A1537141184
2022-09-07$38.96$40.0092.6%23.1%60.7%42.1%80.1%49.4%7.4%-1.5K10.2K-8892.5182.31N/AN/A1537142184
2022-09-08$38.24$40.0076.9%22.9%57.5%31.2%0.0%60.2%3.5%-1.4K16.0K-8810.0064.81N/AN/A10142184
2022-09-09$40.48$40.0089.3%23.9%61.1%39.8%0.0%47.6%12.1%-949-53.2K-1.1K0.0590.53N/AN/A30143184
2022-09-12$42.00$40.0078.2%16.2%61.7%32.1%0.0%28.3%17.9%-2.0K-43.2K-7390.50100.58N/AN/A31145183
2022-09-13$38.96$40.00164.6%25.9%67.2%92.3%72.3%54.1%-16.2%-1.0K-18.7K-9842.81105.98N/AN/A1439148185
2022-09-14$39.12$40.00110.9%31.8%64.0%54.9%0.0%17.0%-23.3%-197-28.7K-9250.00110.53N/AN/A00152185
2022-09-15$39.68$40.00133.3%38.2%64.3%70.5%0.0%52.9%-23.3%-581-53.8K-1.0K0.00122.46N/AN/A20152185
2022-09-16$38.56$40.0093.0%26.7%64.8%42.4%92.1%45.0%-5.2%1.2K47.0K-8773.5849.36N/AN/A1451153185
2022-09-19$39.20$40.0074.1%21.2%63.9%29.2%74.1%70.3%0.9%1.5K-63.0K-8750.0084.20N/AN/A10142121
2022-09-20$39.12$40.0064.5%18.5%62.8%22.5%145.9%58.7%45.0%1.7K-99.5K-1.0K0.0070.38N/AN/A01143121
2022-09-21$38.00$40.0076.1%21.8%61.6%30.6%0.0%48.1%9.7%978-23.1K-6210.0885.61N/AN/A20143122
2022-09-22$36.96$40.0071.0%20.3%61.8%27.0%0.0%41.6%10.4%644-18.6K-6470.0055.09N/AN/A00144122
2022-09-23$36.32$40.0066.6%19.1%61.1%24.0%70.4%21.0%13.5%576-17.4K-6700.0039.61N/AN/A00144122
2022-09-26$36.96$40.0083.4%23.9%56.1%35.7%83.1%28.4%-5.1%672-20.3K-6053.1563.11N/AN/A722144122
2022-09-27$37.12$40.0065.4%18.7%56.1%23.1%65.2%25.9%15.6%855-34.2K-6812.8848.43N/AN/A822145122
2022-09-28$39.44$40.0072.1%20.7%59.3%27.8%72.2%40.6%9.3%1.2K-38.6K-5871.8541.84N/AN/A1323147122
2022-09-29$37.84$40.0069.6%20.0%57.6%26.1%69.2%42.2%17.6%1.3K-56.3K-6511.8581.06N/AN/A1323155122
2022-09-30$38.00$40.0074.7%21.4%56.7%29.6%75.0%47.8%7.0%1.2K-45.6K-6211.1468.05N/AN/A1821155122