NDLS Options History — January 2023

In January 2023, NDLS traded between $44.00 and $51.04. ATM implied volatility averaged 60.1%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded above realized volatility by 17.9% (HV 20d: 42.3%). Max pain ranged from $20.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.72.

Notable Days

2023-01-26: Highest Volume — 44 contracts
2023-01-30: Largest IV spike — 74.0% change
2023-01-30: Highest IV Rank — 39.1%
2023-01-30: Largest Expected Move — 26.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.44	$44.00	$51.04	$44.00	$51.04
Max Pain	$22.00	$20.00	$40.00	$40.00	$20.00
ATM IV	60.1%	40.8%	91.7%	53.5%	40.8%
Expected Move	18.0%	11.7%	26.3%	15.4%	11.7%
HV 20d	42.3%	37.7%	47.9%	42.9%	45.7%
HV 60d	50.3%	49.0%	52.4%	50.5%	52.4%
IV Rank	16.8%	2.3%	39.1%	14.9%	2.3%
IV Percentile	18.0%	1.2%	72.6%	5.2%	1.2%
Term Structure	-7.1%	-80.8%	22.5%	12.3%	17.8%
VWIV	80.1%	37.2%	121.1%	52.0%	121.1%
Skew 25d	-3.3%	-150.1%	32.4%	-4.4%	14.6%
Skew 10d	7.4%	-199.8%	90.8%	20.8%	24.2%
Call IV 25d	75.2%	53.4%	273.6%	59.5%	55.9%
Put IV 25d	71.9%	55.1%	123.5%	55.1%	70.5%
Bid-Ask Spread %	71.98	17.36	135.98	79.75	20.21
Gamma HHI	0.60	0.47	0.77	0.77	0.56
Net GEX	8.5K	5.8K	10.7K	7.6K	10.6K
Net DEX	-489.4K	-616.9K	-375.6K	-420.4K	-520.5K
Net VEX	-2.3K	-2.8K	-2.1K	-2.1K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.72	0.00	12.00	0.20	0.00
Total Volume	5.45	0	44	4	7
Total OI	405.9	381	441	381	441

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2023-01-03	$44.00	$40.00	53.5%	15.4%	42.9%	14.9%	0.0%	-4.4%	12.3%	7.6K	-420.4K	-2.1K	0.20	79.75	N/A	N/A	3	1	321	60
2023-01-04	$45.36	$40.00	53.4%	15.3%	43.4%	14.8%	52.0%	3.1%	14.3%	7.9K	-452.3K	-2.2K	0.54	73.54	N/A	N/A	4	2	324	61
2023-01-05	$45.20	$20.00	52.4%	19.0%	39.4%	14.1%	0.0%	-2.2%	1.7%	7.8K	-461.1K	-2.2K	0.00	66.37	N/A	N/A	0	0	327	63
2023-01-06	$45.28	$20.00	53.9%	20.1%	39.3%	11.8%	104.2%	-1.2%	-1.4%	7.7K	-461.2K	-2.3K	0.00	86.18	N/A	N/A	6	0	327	63
2023-01-09	$45.52	$20.00	51.0%	19.2%	39.1%	9.6%	0.0%	6.4%	6.7%	7.2K	-484.7K	-2.2K	0.00	62.12	N/A	N/A	0	0	333	63
2023-01-10	$45.04	$20.00	60.9%	18.8%	37.7%	16.8%	0.0%	-7.5%	6.5%	7.7K	-467.9K	-2.1K	0.00	78.82	N/A	N/A	0	0	333	63
2023-01-11	$48.24	$20.00	81.4%	23.3%	44.2%	31.7%	37.2%	14.7%	-25.5%	9.8K	-563.0K	-2.4K	0.00	110.50	N/A	N/A	0	0	333	63
2023-01-12	$48.96	$20.00	69.7%	20.0%	43.9%	23.2%	81.8%	-12.6%	-28.2%	10.7K	-616.9K	-2.5K	9.09	125.14	N/A	N/A	1	13	333	63
2023-01-13	$49.60	$20.00	83.9%	24.1%	42.9%	33.5%	107.9%	-150.1%	-46.2%	8.9K	-579.9K	-2.5K	0.00	135.98	N/A	N/A	8	0	334	75
2023-01-17	$49.36	$20.00	48.6%	13.9%	43.1%	7.9%	0.0%	0.0%	9.0%	9.8K	-585.0K	-2.3K	0.00	84.09	N/A	N/A	4	0	337	75
2023-01-18	$46.80	$20.00	54.8%	15.7%	47.9%	12.4%	0.0%	0.0%	-2.2%	7.2K	-525.0K	-2.3K	0.00	77.90	N/A	N/A	7	0	341	75
2023-01-19	$46.80	$20.00	66.5%	19.1%	44.6%	20.9%	0.0%	14.7%	8.6%	9.3K	-523.4K	-2.3K	0.00	93.05	N/A	N/A	3	0	347	75
2023-01-20	$48.88	$20.00	53.4%	15.3%	43.4%	11.4%	56.7%	3.4%	-30.7%	9.9K	-555.8K	-2.4K	12.00	61.30	N/A	N/A	0	2	347	75
2023-01-23	$49.12	$20.00	48.0%	13.8%	43.4%	7.5%	0.0%	5.5%	22.5%	10.0K	-486.0K	-2.4K	0.00	35.20	N/A	N/A	0	0	322	72
2023-01-24	$47.60	$20.00	45.9%	13.2%	44.0%	5.9%	0.0%	2.1%	10.4%	8.5K	-449.5K	-2.2K	0.50	17.36	N/A	N/A	3	1	322	72
2023-01-25	$47.84	$20.00	77.5%	22.2%	42.1%	28.9%	0.0%	32.4%	-80.8%	9.0K	-420.7K	-2.3K	0.00	56.78	N/A	N/A	0	0	325	73
2023-01-26	$48.32	$20.00	62.4%	17.9%	39.2%	17.9%	0.0%	-9.6%	1.8%	9.1K	-437.7K	-2.3K	0.00	64.16	N/A	N/A	0	44	325	73
2023-01-27	$48.16	$20.00	52.7%	15.1%	39.3%	10.9%	0.0%	16.6%	1.4%	5.8K	-400.5K	-2.6K	0.00	31.96	N/A	N/A	0	0	325	116
2023-01-30	$47.68	$20.00	91.7%	26.3%	39.6%	39.1%	0.0%	13.9%	-40.6%	6.3K	-375.6K	-2.6K	0.00	79.21	N/A	N/A	0	0	325	116
2023-01-31	$51.04	$20.00	40.8%	11.7%	45.7%	2.3%	121.1%	14.6%	17.8%	10.6K	-520.5K	-2.8K	0.00	20.21	N/A	N/A	7	0	325	116