NDLS Options History — October 2022

In October 2022, NDLS traded between $37.68 and $47.52. ATM implied volatility averaged 83.4%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 24.0%. IV traded above realized volatility by 35.9% (HV 20d: 47.5%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2022-10-18: Highest Volume — 75 contracts
  • 2022-10-20: Largest IV drop — 32.9% change
  • 2022-10-19: Highest IV Rank — 61.5%
  • 2022-10-19: Largest Expected Move — 34.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.44$37.68$47.52$38.08$47.12
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV83.4%70.4%120.4%75.1%97.2%
Expected Move24.0%20.2%34.5%21.5%27.9%
HV 20d47.5%40.3%57.7%56.2%40.7%
HV 60d56.9%52.1%62.2%62.2%52.1%
IV Rank35.7%26.6%61.5%29.9%45.3%
IV Percentile58.7%32.9%95.2%47.2%84.9%
Term Structure-2.2%-67.4%37.2%7.6%-50.1%
VWIV80.7%58.2%109.0%75.1%92.5%
Skew 25d41.8%-0.2%64.7%46.6%10.5%
Skew 10d79.0%16.4%137.7%75.1%31.2%
Call IV 25d70.2%49.0%96.5%83.1%65.4%
Put IV 25d111.9%72.8%159.6%129.7%75.9%
Bid-Ask Spread %61.3015.6696.5268.9930.03
Gamma HHI0.420.320.500.360.46
Net GEX4.3K1.5K7.6K1.5K4.4K
Net DEX-205.8K-342.9K-48.9K-48.9K-261.1K
Net VEX-1.0K-1.4K-595-595-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.142.180.992.18
Total Volume46.85711754225
Total OI338.048287387287353

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$38.08$40.0075.1%21.5%56.2%29.9%75.1%46.6%7.6%1.5K-48.9K-5950.9968.99N/AN/A2121162125
2022-10-04$39.60$40.0071.4%20.5%57.7%27.4%72.0%0.0%24.7%2.4K-86.6K-7371.0980.07N/AN/A1921165125
2022-10-05$38.40$40.0089.4%25.6%54.1%39.9%89.4%64.7%-8.5%1.7K-86.4K-7721.0674.46N/AN/A2021167127
2022-10-06$38.56$40.0075.2%22.3%53.7%30.0%77.6%57.4%14.9%2.3K-84.1K-7540.7764.59N/AN/A2721175126
2022-10-07$37.68$40.0074.4%24.0%49.9%29.4%83.0%51.0%-2.7%3.4K-88.2K-7150.5874.16N/AN/A3621190126
2022-10-10$39.68$40.0074.6%24.4%51.7%29.5%86.6%53.9%19.0%4.0K-168.4K-1.0K0.5979.18N/AN/A3521204127
2022-10-11$40.00$40.0098.8%24.6%44.2%46.4%85.1%57.8%11.9%3.8K-176.6K-1.0K0.5865.42N/AN/A3621207127
2022-10-12$40.96$40.0081.9%23.5%44.9%34.7%81.1%48.8%6.2%5.4K-193.7K-9940.5789.17N/AN/A3721208127
2022-10-13$42.32$40.0096.9%27.8%46.0%45.1%93.7%54.4%-24.5%6.5K-241.4K-1.1K0.5659.34N/AN/A3720214127
2022-10-14$40.64$40.0081.0%23.2%47.2%34.0%80.7%0.0%-2.4%6.1K-209.8K-9830.5396.52N/AN/A3820214127
2022-10-17$41.36$40.0083.2%23.8%47.3%35.5%82.6%53.4%-4.5%6.4K-200.8K-8590.5383.14N/AN/A3820220127
2022-10-18$42.48$40.0095.9%27.5%48.0%44.4%94.3%64.5%2.2%6.0K-264.2K-1.1K0.3782.72N/AN/A5520220127
2022-10-19$42.08$40.00120.4%34.5%46.7%61.5%109.0%29.1%-67.4%7.6K-265.6K-1.2K0.1576.61N/AN/A558239140
2022-10-20$43.84$40.0080.7%23.1%46.7%33.8%72.9%53.1%-0.4%2.9K-306.2K-1.1K0.1451.77N/AN/A568239140
2022-10-21$44.80$40.0079.2%22.7%45.8%32.8%70.9%36.1%-2.1%3.4K-342.9K-1.2K0.1448.54N/AN/A568247140
2022-10-24$45.12$40.0075.9%21.8%45.8%30.5%70.3%21.9%1.1%3.2K-207.7K-1.2K0.1419.10N/AN/A406207128
2022-10-25$46.96$40.0077.5%22.2%46.9%31.6%58.2%26.4%0.9%4.7K-263.7K-1.3K0.1915.66N/AN/A306218129
2022-10-26$47.52$40.0070.4%20.2%43.2%26.6%73.7%0.0%37.2%5.5K-288.9K-1.4K0.3959.09N/AN/A114222129
2022-10-27$46.64$40.0076.8%22.0%40.3%31.1%76.4%-0.2%-0.5%4.8K-268.1K-1.4K0.4940.46N/AN/A94222130
2022-10-28$47.44$40.0075.4%21.6%40.3%30.1%68.6%22.1%-8.2%4.9K-268.5K-1.3K0.6428.28N/AN/A74222130
2022-10-31$47.12$40.0097.2%27.9%40.7%45.3%92.5%10.5%-50.1%4.4K-261.1K-1.2K2.1830.03N/AN/A817223130