NDLS Options History — December 2022

In December 2022, NDLS traded between $39.52 and $45.20. ATM implied volatility averaged 74.8%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 29.3% (HV 20d: 45.5%). Max pain ranged from $20.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.24.

Notable Days

  • 2022-12-20: Highest Volume — 33 contracts
  • 2022-12-02: Largest IV spike — 208.8% change
  • 2022-12-13: Highest IV Rank — 90.0%
  • 2022-12-02: Largest Expected Move — 33.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.58$39.52$45.20$45.20$44.00
Max Pain$21.90$20.00$40.00$40.00$20.00
ATM IV74.8%37.7%161.3%37.7%39.4%
Expected Move18.8%10.8%33.4%10.8%11.3%
HV 20d45.5%34.5%66.2%66.2%43.4%
HV 60d51.5%50.5%53.7%53.7%50.5%
IV Rank29.7%3.8%90.0%3.8%5.0%
IV Percentile35.0%0.4%98.8%0.4%0.8%
Term Structure-3.9%-56.6%24.3%24.3%2.8%
VWIV54.2%28.5%63.3%62.4%28.5%
Skew 25d16.0%-35.3%42.9%24.2%-17.0%
Skew 10d39.5%-27.9%109.5%77.1%-6.3%
Call IV 25d60.7%39.4%132.2%39.4%53.5%
Put IV 25d76.7%36.5%107.4%63.5%36.5%
Bid-Ask Spread %75.6628.65124.9258.6060.82
Gamma HHI0.510.420.750.450.69
Net GEX3.5K1057.4K3.4K6.6K
Net DEX-255.7K-418.1K-164.0K-249.5K-418.1K
Net VEX-1.7K-2.1K-1.3K-1.5K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.002.500.000.00
Total Volume6.90503300
Total OI322.286271381271381

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$45.20$40.0037.7%10.8%66.2%3.8%0.0%24.2%24.3%3.4K-249.5K-1.5K0.0058.60N/AN/A0020467
2022-12-02$44.32$40.00116.4%33.4%65.0%58.7%0.0%29.2%-56.6%2.9K-217.9K-1.5K0.0093.58N/AN/A0020467
2022-12-05$43.36$20.0049.6%18.4%64.1%12.1%0.0%41.3%-0.7%775-203.1K-1.3K0.0276.12N/AN/A6020467
2022-12-06$41.36$20.0060.3%17.2%63.2%19.6%0.0%0.0%-0.0%105-164.0K-1.3K0.0058.68N/AN/A28021067
2022-12-07$41.20$20.00118.1%19.4%55.0%59.9%0.0%42.9%-23.9%2.1K-194.9K-1.5K0.00112.90N/AN/A0024167
2022-12-08$40.96$20.00108.8%21.0%46.4%53.4%0.0%38.0%-34.7%1.9K-207.0K-1.6K0.00114.23N/AN/A0024167
2022-12-09$42.48$20.0093.5%19.7%38.8%42.7%0.0%11.6%8.6%1.5K-228.0K-1.6K0.00110.52N/AN/A0024167
2022-12-12$43.20$20.0077.6%18.8%38.7%31.7%0.0%35.9%11.7%921-234.0K-1.5K0.00118.02N/AN/A0124167
2022-12-13$44.16$20.00161.3%21.5%37.0%90.0%0.0%13.4%-11.5%2.7K-211.8K-1.4K0.00124.92N/AN/A1024167
2022-12-14$43.28$20.0065.4%18.7%37.4%23.1%0.0%2.1%-18.2%2.1K-248.0K-1.6K0.00113.69N/AN/A3024167
2022-12-15$43.60$20.0060.1%17.2%34.7%19.4%0.0%22.9%12.7%5.1K-295.4K-1.7K2.5056.63N/AN/A61624467
2022-12-16$43.36$20.0062.4%17.9%34.5%21.1%0.0%26.2%0.9%3.8K-251.6K-1.7K0.6069.48N/AN/A8524983
2022-12-19$41.52$20.0080.0%22.9%37.3%33.3%0.0%14.6%-17.3%3.1K-236.5K-1.7K0.0076.64N/AN/A3025160
2022-12-20$40.00$20.0062.4%17.9%39.1%21.1%62.4%21.0%16.1%3.6K-205.0K-1.5K0.0028.65N/AN/A33025460
2022-12-21$40.56$20.0058.7%16.8%38.8%18.5%58.8%11.9%8.4%4.1K-234.4K-1.8K0.0029.94N/AN/A8028660
2022-12-22$39.52$20.0058.1%16.7%39.0%18.1%58.1%11.7%4.2%4.0K-212.5K-1.7K0.0031.18N/AN/A5029460
2022-12-23$41.28$20.0063.3%18.1%42.7%21.7%63.3%13.9%2.3%5.4K-234.1K-1.7K0.0259.02N/AN/A16029960
2022-12-27$43.36$20.0063.9%18.3%44.5%22.1%0.0%10.6%3.2%7.1K-344.0K-2.0K0.0043.56N/AN/A0031460
2022-12-28$43.60$20.0059.8%17.1%44.6%19.3%0.0%-35.3%4.8%5.3K-391.2K-2.0K0.0060.55N/AN/A0031460
2022-12-29$43.92$20.0073.2%21.0%44.3%28.6%0.0%0.0%-18.0%7.4K-388.6K-2.1K0.0091.10N/AN/A6031460
2022-12-30$44.00$20.0039.4%11.3%43.4%5.0%28.5%-17.0%2.8%6.6K-418.1K-2.1K0.0060.82N/AN/A0032160