NDLS Options History — May 2023

In May 2023, NDLS traded between $25.84 and $39.68. ATM implied volatility averaged 72.3%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded below realized volatility by 1.3% (HV 20d: 73.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 3.56.

Notable Days

  • 2023-05-17: Highest Volume — 148 contracts
  • 2023-05-16: Largest IV spike — 156.7% change
  • 2023-05-22: Highest IV Rank — 64.0%
  • 2023-05-22: Largest Expected Move — 36.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.85$25.84$39.68$39.68$26.80
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV72.3%36.8%125.6%60.3%70.6%
Expected Move19.7%10.6%36.0%17.3%20.2%
HV 20d73.6%34.3%100.1%44.8%99.4%
HV 60d60.1%45.7%71.9%46.6%71.9%
IV Rank25.4%0.0%64.0%16.4%24.3%
IV Percentile42.0%0.0%97.6%24.2%43.7%
Term Structure4.6%-71.1%66.3%-10.3%66.3%
VWIV75.1%48.9%128.3%78.2%86.5%
Bid-Ask Spread %43.7110.0375.7259.7011.77
Gamma HHI0.490.450.570.510.45
Net GEX-30.9K-47.6K-18.8K-47.2K-18.8K
Net DEX2.7M2.0M3.5M3.1M2.0M
Net VEX-10.5K-15.3K-6.8K-15.3K-8.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.560.0044.140.500.00
Total Volume22.909014800
Total OI1,779.6821,6221,8921,8801,622

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-05-01$39.68$40.0060.3%17.3%44.8%16.4%0.0%0.0%-10.3%-47.2K3.1M-15.3K0.0059.70N/AN/A002511,629
2023-05-02$38.48$40.0078.1%22.4%44.8%29.3%78.2%0.0%-13.2%-42.2K3.0M-15.2K0.5050.79N/AN/A112511,629
2023-05-03$38.24$40.0073.9%21.2%44.5%26.3%0.0%0.0%-12.0%-43.9K3.0M-14.5K0.0065.34N/AN/A002521,629
2023-05-04$37.52$40.0080.9%18.9%43.4%31.3%0.0%0.0%-5.1%-44.3K3.0M-14.1K0.0075.72N/AN/A602521,629
2023-05-05$37.68$40.0083.8%18.0%43.2%33.4%0.0%0.0%-5.2%-43.0K3.2M-13.7K0.0074.24N/AN/A002521,629
2023-05-08$38.00$40.0086.6%18.7%37.6%35.4%128.3%0.0%-2.1%-47.6K3.5M-11.8K0.0046.55N/AN/A012521,629
2023-05-09$38.64$40.0086.6%18.5%36.2%35.5%0.0%0.0%-3.8%-46.1K3.1M-14.2K0.6017.50N/AN/A102521,629
2023-05-10$38.72$40.0065.6%18.8%34.3%20.2%65.6%0.0%-1.6%-46.4K3.0M-14.3K0.1848.01N/AN/A922531,629
2023-05-11$31.04$40.0036.8%10.6%81.9%0.0%0.0%0.0%34.2%-28.1K3.3M-10.0K0.7236.19N/AN/A76552621,630
2023-05-12$31.20$40.0050.4%14.5%82.2%9.8%0.0%0.0%34.5%-28.9K2.9M-10.9K1.0057.39N/AN/A112501,603
2023-05-15$30.80$40.0048.3%13.8%82.2%8.2%0.0%0.0%20.2%-26.2K2.5M-11.6K0.0723.94N/AN/A2122511,596
2023-05-16$29.52$40.00123.9%35.5%82.8%62.7%0.0%0.0%-23.8%-24.7K3.0M-9.2K0.0057.62N/AN/A002721,593
2023-05-17$30.32$40.0048.4%13.9%84.1%8.3%48.9%0.0%-5.6%-24.2K2.6M-8.7K0.0010.03N/AN/A01482721,419
2023-05-18$30.48$40.0049.2%14.1%84.4%8.9%59.8%0.0%56.1%-25.6K2.7M-8.5K1.0013.12N/AN/A002721,503
2023-05-19$26.00$40.0066.6%19.1%98.9%21.4%58.7%0.0%11.8%-19.0K2.4M-7.9K44.1450.65N/AN/A31162721,492
2023-05-22$26.64$40.00125.6%36.0%100.1%64.0%0.0%0.0%3.6%-21.5K2.4M-7.7K0.0073.62N/AN/A701661,496
2023-05-23$26.08$40.0065.7%18.8%100.1%20.8%0.0%0.0%-14.1%-20.4K2.4M-7.1K0.0250.90N/AN/A701731,470
2023-05-24$25.84$40.0063.6%18.2%100.0%19.3%86.5%0.0%13.0%-19.9K2.2M-7.1K13.8048.21N/AN/A3431801,446
2023-05-25$25.84$40.0065.0%18.6%97.7%20.3%0.0%0.0%19.2%-20.2K2.3M-6.9K0.0018.03N/AN/A001811,441
2023-05-26$26.00$40.0063.9%18.3%97.5%19.5%0.0%0.0%10.7%-20.4K2.3M-6.8K2.0012.75N/AN/A001811,441
2023-05-30$27.20$40.0096.7%27.7%99.5%43.1%0.0%0.0%-71.1%-21.8K2.3M-7.2K0.0059.52N/AN/A001811,441
2023-05-31$26.80$40.0070.6%20.2%99.4%24.3%0.0%0.0%66.3%-18.8K2.0M-8.4K0.0011.77N/AN/A001811,441