NDLS Options History — June 2023

In June 2023, NDLS traded between $26.64 and $30.08. ATM implied volatility averaged 103.6%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 21.1%. IV traded above realized volatility by 33.9% (HV 20d: 69.7%). Max pain ranged from $20.00 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 13.91.

Notable Days

  • 2023-06-23: Highest Volume — 126 contracts
  • 2023-06-09: Largest IV spike — 126.2% change
  • 2023-06-09: Highest IV Rank — 100.0%
  • 2023-06-01: Largest Expected Move — 48.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.57$26.64$30.08$27.04$27.20
Max Pain$39.05$20.00$40.00$40.00$40.00
ATM IV103.6%46.7%270.7%170.2%77.4%
Expected Move21.1%13.1%48.8%48.8%22.2%
HV 20d69.7%42.0%105.2%99.8%53.3%
HV 60d69.3%67.6%72.0%71.9%70.2%
IV Rank37.1%4.2%100.0%96.1%17.3%
IV Percentile62.4%3.6%100.0%99.6%61.1%
Term Structure-7.4%-94.2%55.6%-15.9%55.6%
VWIV73.9%50.0%97.9%97.9%73.7%
Bid-Ask Spread %28.097.3572.2372.2324.98
Gamma HHI0.490.460.530.490.46
Net GEX-21.0K-24.7K-18.2K-21.9K-19.2K
Net DEX2.3M2.1M2.6M2.3M2.3M
Net VEX-6.6K-8.7K-4.1K-6.8K-7.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.910.00250.000.000.00
Total Volume14.905012633
Total OI1,664.191,6081,7961,6221,794

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$27.04$40.00170.2%48.8%99.8%96.1%0.0%0.0%-15.9%-21.9K2.3M-6.8K0.0072.23N/AN/A301811,441
2023-06-02$27.36$40.00100.7%28.9%100.3%46.0%0.0%0.0%3.1%-22.2K2.3M-6.9K8.0048.95N/AN/A151841,441
2023-06-05$26.96$20.00101.5%20.8%100.1%46.6%97.9%0.0%25.7%-21.5K2.3M-6.6K1.0037.03N/AN/A991841,443
2023-06-06$27.36$40.00100.1%15.9%100.3%45.6%50.0%0.0%3.2%-21.0K2.3M-6.8K0.0914.54N/AN/A3231781,450
2023-06-07$29.20$40.00143.0%24.8%103.8%76.5%0.0%0.0%-62.1%-24.7K2.4M-7.4K13.0023.36N/AN/A031581,450
2023-06-08$27.36$40.0099.7%29.3%105.2%45.3%0.0%0.0%-94.2%-21.5K2.5M-6.0K0.0026.31N/AN/A401591,452
2023-06-09$27.36$40.00225.6%15.2%72.6%100.0%0.0%0.0%-6.4%-20.3K2.4M-6.2K0.0033.52N/AN/A101631,455
2023-06-12$27.60$40.00178.7%20.3%72.7%75.2%0.0%0.0%-27.7%-22.9K2.3M-6.7K0.3635.22N/AN/A2691691,455
2023-06-13$27.28$40.00270.7%13.1%72.7%100.0%0.0%0.0%19.2%-20.8K2.4M-5.6K0.0035.42N/AN/A601601,459
2023-06-14$27.60$40.0059.5%17.1%71.6%9.7%0.0%0.0%-16.6%-20.9K2.4M-6.6K3.0036.83N/AN/A001651,461
2023-06-15$26.64$40.0053.8%15.4%71.6%7.2%0.0%0.0%-0.6%-20.9K2.3M-5.7K1.2522.52N/AN/A111651,460
2023-06-16$26.80$40.0058.1%16.7%71.6%9.1%0.0%0.0%-9.7%-18.2K2.6M-4.1K0.0020.45N/AN/A001661,461
2023-06-20$26.80$40.0060.6%17.4%43.3%10.2%73.7%0.0%36.0%-20.7K2.2M-6.8K0.8650.43N/AN/A541641,451
2023-06-21$27.04$40.0060.7%17.4%42.6%10.2%0.0%0.0%35.5%-20.8K2.4M-5.9K250.0023.00N/AN/A0311641,448
2023-06-22$26.64$40.0065.4%18.7%42.2%12.2%0.0%0.0%-7.6%-21.5K2.3M-6.0K0.0021.62N/AN/A1401641,480
2023-06-23$26.72$40.0069.0%19.8%42.0%13.8%0.0%0.0%-36.4%-21.5K2.3M-6.1K0.007.35N/AN/A12601771,480
2023-06-26$28.40$40.0069.9%20.0%47.0%14.1%0.0%0.0%0.9%-20.0K2.2M-7.7K0.0014.65N/AN/A003031,480
2023-06-27$30.08$40.0046.7%13.4%50.6%4.2%0.0%0.0%21.6%-21.3K2.1M-8.7K0.3322.55N/AN/A1243161,480
2023-06-28$29.20$40.0082.8%23.7%50.1%19.7%0.0%0.0%-39.4%-19.8K2.2M-7.9K0.259.78N/AN/A103151,478
2023-06-29$28.32$40.0082.1%23.5%51.2%19.3%0.0%0.0%-40.0%-18.6K2.2M-7.6K0.009.20N/AN/A003151,479
2023-06-30$27.20$40.0077.4%22.2%53.3%17.3%0.0%0.0%55.6%-19.2K2.3M-7.0K0.0024.98N/AN/A303151,479