NDLS Options History — February 2023 In February 2023, NDLS traded between $46.72 and $52.24. ATM implied volatility averaged 62.4%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 19.3% (HV 20d: 43.0%). Max pain ranged from $20.00 to $60.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.22.
Notable Days 2023-02-24 : Highest Volume — 25 contracts2023-02-22 : Largest IV drop — 56.4% change2023-02-21 : Highest IV Rank — 43.6%2023-02-21 : Largest Expected Move — 28.1%Monthly Statistics Metric Avg Min Max Open Close Price $49.01 $46.72 $52.24 $51.44 $47.04 Max Pain $42.11 $20.00 $60.00 $20.00 $40.00 ATM IV 62.4% 42.7% 97.9% 54.2% 54.3% Expected Move 17.4% 12.2% 28.1% 15.5% 15.6% HV 20d 43.0% 38.3% 47.1% 45.6% 40.3% HV 60d 43.5% 40.9% 51.7% 51.7% 40.9% IV Rank 17.9% 3.6% 43.6% 11.9% 12.1% IV Percentile 23.4% 1.6% 83.3% 9.1% 11.9% Term Structure -1.1% -42.3% 25.9% 25.9% 4.6% VWIV 88.1% 39.2% 342.8% 342.8% 39.2% Skew 25d 10.9% -1.4% 33.9% 3.4% 2.5% Skew 10d 22.4% -4.1% 70.4% 16.6% 1.7% Call IV 25d 50.5% 35.6% 65.0% 65.0% 47.8% Put IV 25d 61.4% 40.7% 79.1% 68.5% 50.2% Bid-Ask Spread % 63.44 25.26 92.17 25.26 42.52 Gamma HHI 0.49 0.44 0.60 0.53 0.46 Net GEX 7.6K 4.3K 12.9K 10.1K 7.4K Net DEX -315.0K -544.1K -129.4K -531.5K -177.3K Net VEX -2.6K -2.8K -2.3K -2.8K -2.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.22 0.00 0.75 0.00 0.00 Total Volume 8.474 0 25 3 3 Total OI 426.105 340 466 443 393
Daily Data (19 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 2023-02-01 $51.44 $20.00 54.2% 15.5% 45.6% 11.9% 342.8% 3.4% 25.9% 10.1K -531.5K -2.8K 0.00 25.26 N/A N/A 3 0 327 116 2023-02-02 $52.24 $40.00 54.0% 14.1% 44.9% 11.8% 75.4% 17.3% 9.1% 12.7K -544.1K -2.8K 0.20 50.32 N/A N/A 6 1 324 116 2023-02-03 $50.80 $40.00 82.3% 17.3% 46.5% 32.3% 0.0% 9.2% -0.2% 10.3K -449.5K -2.7K 0.00 76.50 N/A N/A 0 0 324 117 2023-02-06 $51.76 $40.00 55.6% 13.2% 46.7% 13.0% 78.3% 0.0% 9.0% 12.9K -506.6K -2.7K 0.00 89.72 N/A N/A 0 19 324 117 2023-02-07 $51.60 $40.00 52.1% 17.0% 46.8% 10.5% 0.0% 11.0% -1.3% 8.5K -450.3K -2.8K 0.39 71.05 N/A N/A 6 3 324 136 2023-02-08 $50.80 $40.00 53.1% 15.2% 47.1% 11.1% 0.0% 11.6% 4.9% 7.5K -434.9K -2.8K 0.00 77.41 N/A N/A 16 0 322 136 2023-02-09 $48.48 $40.00 78.9% 22.6% 44.4% 29.9% 0.0% 16.8% -20.1% 6.1K -347.1K -2.7K 0.00 81.07 N/A N/A 0 0 314 146 2023-02-10 $47.44 $40.00 72.5% 20.8% 44.7% 25.2% 0.0% 5.9% -3.5% 4.3K -293.1K -2.5K 0.07 63.27 N/A N/A 3 0 314 146 2023-02-13 $47.12 $40.00 71.6% 20.5% 44.4% 24.6% 66.4% 0.0% 2.9% 5.2K -278.1K -2.4K 0.32 70.94 N/A N/A 9 3 313 146 2023-02-14 $48.00 $60.00 66.5% 19.1% 45.1% 20.9% 0.0% 20.8% 17.9% 6.0K -309.7K -2.7K 0.00 67.72 N/A N/A 2 0 316 148 2023-02-15 $49.04 $60.00 81.5% 23.4% 41.3% 31.8% 0.0% 23.1% -42.3% 6.5K -303.7K -2.6K 0.51 92.17 N/A N/A 9 5 318 148 2023-02-16 $48.96 $60.00 54.6% 15.7% 41.3% 12.2% 43.4% 0.3% -37.9% 6.6K -265.5K -2.6K 0.00 73.37 N/A N/A 0 0 310 152 2023-02-17 $49.04 $40.00 68.0% 19.5% 38.3% 22.0% 39.9% 33.9% 3.0% 7.5K -287.8K -2.6K 0.02 83.52 N/A N/A 16 0 310 152 2023-02-21 $47.36 $40.00 97.9% 28.1% 40.2% 43.6% 67.2% 22.2% -35.6% 6.2K -149.5K -2.4K 0.58 58.96 N/A N/A 11 7 243 97 2023-02-22 $48.40 $40.00 42.7% 12.2% 39.5% 3.6% 40.3% 5.1% 10.2% 6.8K -183.3K -2.5K 0.75 47.64 N/A N/A 1 0 254 100 2023-02-23 $47.68 $40.00 50.1% 14.4% 39.8% 9.0% 39.2% 2.0% 4.6% 7.0K -154.0K -2.3K 0.70 47.26 N/A N/A 1 1 254 100 2023-02-24 $46.72 $40.00 47.0% 13.5% 40.2% 6.7% 0.0% -1.4% 16.4% 5.4K -129.4K -2.3K 0.00 42.25 N/A N/A 25 0 256 101 2023-02-27 $47.20 $40.00 48.1% 13.8% 40.5% 7.6% 0.0% 1.6% 12.3% 7.2K -189.4K -2.5K 0.00 44.36 N/A N/A 11 0 281 101 2023-02-28 $47.04 $40.00 54.3% 15.6% 40.3% 12.1% 0.0% 2.5% 4.6% 7.4K -177.3K -2.5K 0.00 42.52 N/A N/A 3 0 292 101
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