NDLS Options History — November 2022

In November 2022, NDLS traded between $43.52 and $50.64. ATM implied volatility averaged 64.2%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 17.9%. IV traded above realized volatility by 6.0% (HV 20d: 58.3%). 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 14 of 21 days. Put/call ratio averaged 1.91.

Notable Days

  • 2022-11-04: Highest Volume — 85 contracts
  • 2022-11-07: Largest IV spike — 89.2% change
  • 2022-11-07: Highest IV Rank — 53.6%
  • 2022-11-03: Largest Expected Move — 26.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.59$43.52$50.64$47.92$44.16
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV64.2%39.9%109.0%75.0%61.1%
Expected Move17.9%11.4%26.0%21.5%17.5%
HV 20d58.3%36.5%67.4%39.4%65.5%
HV 60d55.6%51.1%58.9%51.6%55.1%
IV Rank22.3%5.4%53.6%29.9%20.1%
IV Percentile25.8%0.4%90.5%40.5%14.7%
Term Structure6.4%-47.4%47.5%11.6%-6.2%
VWIV66.2%36.4%143.9%143.9%36.4%
Skew 25d-1.3%-118.5%37.7%29.4%19.6%
Skew 10d11.9%-176.9%90.4%31.1%44.6%
Call IV 25d106.4%41.4%231.0%119.2%46.8%
Put IV 25d105.1%55.0%262.3%148.6%66.4%
Bid-Ask Spread %73.6821.0996.9731.8794.41
Gamma HHI0.430.360.550.550.41
Net GEX3.1K1.1K6.2K4.0K1.8K
Net DEX-259.9K-394.7K-171.8K-251.3K-219.5K
Net VEX-1.4K-1.8K-1.0K-1.2K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.910.033.091.460.03
Total Volume42.524085180
Total OI353.81243437359271

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$47.92$40.0075.0%21.5%39.4%29.9%143.9%29.4%11.6%4.0K-251.3K-1.2K1.4631.87N/AN/A711223136
2022-11-02$48.08$40.0079.6%22.8%36.5%33.0%67.4%36.7%42.1%5.6K-270.2K-1.3K1.2860.04N/AN/A811225136
2022-11-03$46.16$40.0063.8%26.0%40.9%22.0%87.5%-10.0%-19.1%3.3K-231.1K-1.2K3.0972.12N/AN/A1133225136
2022-11-04$44.48$40.0057.6%19.5%42.6%17.7%67.9%31.2%1.6%1.7K-186.7K-1.0K2.3072.99N/AN/A2659228158
2022-11-07$46.72$40.00109.0%20.0%42.3%53.6%61.7%-21.5%9.4%3.5K-267.1K-1.5K1.4586.39N/AN/A2637246159
2022-11-08$50.48$40.0085.5%14.5%48.9%37.1%57.2%27.1%16.2%6.2K-346.0K-1.5K3.0856.81N/AN/A1237246159
2022-11-09$46.16$40.0054.0%15.5%60.4%15.2%55.1%-118.5%-4.8%1.6K-241.5K-1.2K1.7770.73N/AN/A2138246159
2022-11-10$49.76$40.0075.5%21.6%64.6%30.2%70.8%-94.0%-15.0%4.3K-332.8K-1.6K2.3691.88N/AN/A1739260162
2022-11-11$50.64$40.0048.6%13.9%62.0%11.4%48.8%0.9%16.0%4.6K-394.7K-1.8K2.3689.33N/AN/A1739260162
2022-11-14$48.24$40.0058.2%16.7%65.4%18.1%69.2%0.0%3.0%3.9K-326.9K-1.6K2.3596.19N/AN/A1739260162
2022-11-15$48.08$40.0062.4%17.9%65.1%21.1%57.3%0.0%17.9%3.9K-317.8K-1.5K2.3696.97N/AN/A1739260162
2022-11-16$46.00$40.0055.4%15.9%67.4%16.2%57.9%0.0%22.5%3.2K-253.2K-1.3K1.9692.64N/AN/A2039260162
2022-11-17$46.24$40.0067.3%19.3%66.0%24.5%61.4%2.4%-17.4%3.4K-304.4K-1.5K2.8177.76N/AN/A2057263156
2022-11-18$45.76$40.0071.4%20.5%65.8%27.3%67.0%3.3%-2.3%2.7K-276.6K-1.6K2.7793.35N/AN/A2159263174
2022-11-21$45.44$40.0085.7%24.6%65.8%37.3%82.9%0.0%-47.4%2.3K-198.1K-1.5K2.7267.82N/AN/A123217766
2022-11-22$46.24$40.0043.0%12.3%64.4%7.6%45.0%0.0%47.5%2.8K-242.9K-1.6K1.0181.88N/AN/A131318267
2022-11-23$45.20$40.0054.4%15.6%64.7%15.5%54.9%2.9%16.1%2.3K-215.3K-1.5K1.1364.33N/AN/A121318467
2022-11-25$45.44$40.0039.9%11.4%64.5%5.4%0.0%0.0%19.0%2.3K-222.6K-1.5K0.0021.09N/AN/A0018467
2022-11-28$43.60$40.0058.0%16.6%65.6%18.0%0.0%37.7%14.5%1.3K-171.8K-1.3K0.0871.01N/AN/A16118467
2022-11-29$43.52$40.0043.7%12.5%65.6%8.0%36.4%33.5%8.5%1.1K-186.8K-1.4K0.0357.69N/AN/A4019967
2022-11-30$44.16$40.0061.1%17.5%65.5%20.1%0.0%19.6%-6.2%1.8K-219.5K-1.5K0.0094.41N/AN/A0020467