NDLS Options History — March 2023

In March 2023, NDLS traded between $37.28 and $47.92. ATM implied volatility averaged 66.5%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 18.0% (HV 20d: 48.5%). Max pain ranged from $40.00 to $60.00. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 10.39.

Notable Days

  • 2023-03-13: Highest Volume — 704 contracts
  • 2023-03-07: Largest IV spike — 68.5% change
  • 2023-03-13: Highest IV Rank — 59.9%
  • 2023-03-15: Largest Expected Move — 21.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.28$37.28$47.92$47.36$38.48
Max Pain$41.74$40.00$60.00$40.00$40.00
ATM IV66.5%50.4%120.2%60.4%50.4%
Expected Move17.4%14.4%21.5%17.3%14.4%
HV 20d48.5%29.0%60.0%31.3%60.0%
HV 60d45.3%39.1%48.7%40.7%47.4%
IV Rank20.9%9.2%59.9%16.4%9.2%
IV Percentile28.3%6.3%94.4%17.9%6.3%
Term Structure0.2%-19.9%13.6%-12.5%10.1%
VWIV57.4%43.3%75.3%64.3%50.5%
Skew 25d22.2%-8.7%76.6%-3.4%17.5%
Skew 10d40.9%-5.0%121.0%0.3%19.4%
Call IV 25d56.2%37.4%63.4%50.6%58.5%
Put IV 25d78.4%47.2%135.9%47.2%76.0%
Bid-Ask Spread %55.5425.9482.8747.3451.59
Gamma HHI0.510.380.670.460.51
Net GEX-21.2K-41.4K10.5K7.7K-35.7K
Net DEX1.6M-256.5K2.8M-187.9K2.6M
Net VEX-10.6K-16.3K-2.4K-2.6K-15.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.390.00147.880.0012.00
Total Volume78.3040704132
Total OI1,178.873961,6553961,655

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-03-01$47.36$40.0060.4%17.3%31.3%16.4%0.0%-3.4%-12.5%7.7K-187.9K-2.6K0.0047.34N/AN/A130295101
2023-03-02$47.92$40.0066.4%19.0%31.6%20.8%0.0%-8.7%-13.4%8.7K-208.8K-2.7K0.0070.81N/AN/A30302101
2023-03-03$47.60$40.0052.3%15.0%30.8%10.5%0.0%-2.4%-19.2%8.6K-194.9K-2.5K0.0065.57N/AN/A250305101
2023-03-06$46.96$60.0054.6%17.9%29.7%12.2%0.0%0.6%-4.9%9.0K-190.6K-2.7K0.0480.96N/AN/A60339101
2023-03-07$47.44$60.0092.0%17.7%29.0%39.3%64.3%-2.5%8.7%9.7K-230.5K-2.9K0.4161.63N/AN/A198345101
2023-03-08$47.60$40.0060.0%18.6%29.1%16.2%43.3%27.0%4.4%10.5K-256.5K-3.0K0.5982.87N/AN/A159364108
2023-03-09$43.12$40.0094.8%17.1%44.5%41.4%48.3%38.5%13.6%2.0K1.5K-2.4K1.4679.38N/AN/A172251376124
2023-03-10$42.08$40.0090.3%21.0%42.6%38.2%43.9%59.1%-4.7%-10.1K653.6K-5.7K1.9571.55N/AN/A66129285415
2023-03-13$38.64$40.00120.2%20.6%50.7%59.9%66.4%0.0%-16.2%-16.1K1.1M-6.2K18.7058.05N/AN/A36668227539
2023-03-14$40.64$40.0072.7%16.5%55.1%25.3%0.0%50.5%5.2%-40.5K2.2M-14.4K147.8879.89N/AN/A11482241,188
2023-03-15$39.04$40.0075.0%21.5%55.3%27.0%75.3%34.8%12.1%-37.8K2.5M-16.3K14.1657.27N/AN/A6902241,335
2023-03-16$38.24$40.0062.2%17.8%54.2%17.7%62.1%59.6%5.0%-41.4K2.8M-15.2K2.6763.19N/AN/A012301,420
2023-03-17$38.32$40.0065.3%18.7%54.3%20.0%65.3%28.1%2.3%-36.5K2.8M-15.1K2.8462.51N/AN/A6182311,419
2023-03-20$38.32$40.0057.2%16.4%54.2%14.1%57.3%22.7%-13.8%-38.1K2.6M-15.2K0.0750.63N/AN/A1012031,396
2023-03-21$39.04$40.0060.6%17.4%54.6%16.6%60.5%76.6%-19.9%-34.8K2.5M-16.1K0.0065.89N/AN/A002121,396
2023-03-22$40.80$40.0053.4%15.3%56.8%11.4%53.4%11.4%8.6%-39.2K2.5M-16.1K3.1046.98N/AN/A7202121,396
2023-03-23$39.36$40.0062.6%18.0%57.6%18.1%0.0%11.7%1.5%-36.4K2.4M-15.8K2.0034.30N/AN/A002181,416
2023-03-24$37.60$40.0057.3%16.4%58.9%14.2%57.3%10.7%5.1%-37.2K2.7M-14.6K0.0025.94N/AN/A2502181,416
2023-03-27$38.00$40.0056.4%16.2%59.0%13.6%0.0%12.5%10.3%-35.7K2.7M-14.8K0.0028.84N/AN/A002251,416
2023-03-28$37.28$40.0059.1%16.9%59.0%15.5%59.1%12.3%7.8%-35.2K2.7M-14.7K0.0032.87N/AN/A2702251,416
2023-03-29$37.84$40.0054.2%15.5%59.4%12.0%54.4%15.0%6.3%-34.9K2.7M-14.6K0.0133.19N/AN/A1602321,410
2023-03-30$37.68$40.0053.2%15.3%58.8%11.2%0.0%16.0%8.0%-34.4K2.6M-14.8K12.0026.23N/AN/A032421,410
2023-03-31$38.48$40.0050.4%14.4%60.0%9.2%50.5%17.5%10.1%-35.7K2.6M-15.0K0.0051.59N/AN/A022421,413