NDLS Options History — July 2023

In July 2023, NDLS traded between $24.40 and $29.52. ATM implied volatility averaged 85.8%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 23.0%. IV traded above realized volatility by 30.6% (HV 20d: 55.2%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.99.

Notable Days

  • 2023-07-27: Highest Volume — 514 contracts
  • 2023-07-07: Largest IV spike — 140.9% change
  • 2023-07-07: Highest IV Rank — 44.2%
  • 2023-07-25: Largest Expected Move — 37.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.94$24.40$29.52$26.96$29.36
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV85.8%53.4%140.3%79.4%91.6%
Expected Move23.0%13.2%37.9%22.8%26.3%
HV 20d55.2%50.2%61.0%53.3%53.0%
HV 60d70.9%68.7%72.5%70.0%72.4%
IV Rank20.9%7.1%44.2%18.2%23.4%
IV Percentile63.7%13.9%96.4%65.1%82.5%
Term Structure-20.8%-108.2%43.4%-5.4%-4.7%
VWIV108.8%70.7%168.9%98.8%125.4%
Bid-Ask Spread %45.687.9088.7930.697.90
Gamma HHI0.460.370.530.460.47
Net GEX-17.5K-20.0K-14.5K-14.7K-18.3K
Net DEX2.2M1.7M2.4M2.2M2.1M
Net VEX-6.5K-7.8K-5.0K-6.3K-7.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.990.0027.5027.500.86
Total Volume27.6051402
Total OI1,780.051,7061,8271,7941,827

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$26.96$40.0079.4%22.8%53.3%18.2%0.0%0.0%-5.4%-14.7K2.2M-6.3K0.0030.69N/AN/A003151,479
2023-07-05$25.20$40.0095.6%27.4%58.2%25.1%98.8%0.0%-43.0%-19.4K2.1M-6.4K27.5064.12N/AN/A073151,479
2023-07-06$24.40$40.0058.2%26.6%58.6%9.1%70.7%0.0%-43.4%-17.6K2.0M-6.7K1.0032.55N/AN/A223151,475
2023-07-07$25.28$40.00140.3%17.2%54.7%44.2%76.1%0.0%-6.7%-17.8K2.3M-5.8K0.0081.78N/AN/A103171,476
2023-07-10$25.20$40.0084.0%18.5%50.2%20.1%0.0%0.0%-13.2%-16.5K2.3M-5.6K0.0013.54N/AN/A003171,476
2023-07-11$25.04$40.0090.4%13.2%50.2%22.9%0.0%0.0%22.2%-15.9K2.3M-5.1K0.0021.84N/AN/A003171,476
2023-07-12$25.36$40.0053.4%15.3%50.4%7.1%0.0%0.0%19.7%-15.3K2.2M-6.4K0.0048.59N/AN/A003171,476
2023-07-13$24.72$40.0074.3%21.3%50.9%16.0%0.0%0.0%-25.3%-16.4K1.7M-7.8K0.0088.79N/AN/A003171,476
2023-07-14$25.36$40.0059.3%17.0%51.7%9.6%0.0%0.0%6.9%-16.9K2.1M-6.5K0.0035.80N/AN/A603171,476
2023-07-17$26.40$40.0059.2%17.0%52.6%9.5%0.0%0.0%-1.7%-14.5K2.4M-5.0K0.0085.83N/AN/A103241,475
2023-07-18$28.32$40.0087.6%25.1%58.3%21.7%111.6%0.0%-48.9%-18.2K2.1M-7.2K0.0038.07N/AN/A003251,475
2023-07-19$29.20$40.0066.6%19.1%59.1%12.7%0.0%0.0%16.5%-20.0K2.2M-7.1K0.0012.90N/AN/A703251,475
2023-07-20$28.32$40.0065.7%18.8%60.3%12.3%102.6%0.0%43.4%-18.2K2.2M-6.8K0.009.72N/AN/A303191,475
2023-07-21$27.60$40.00102.0%29.2%60.9%27.9%0.0%0.0%-28.8%-18.5K2.3M-6.1K0.0039.61N/AN/A003191,475
2023-07-24$28.00$40.0068.2%19.6%61.0%13.4%0.0%0.0%15.2%-17.8K2.3M-6.5K0.0062.21N/AN/A003161,390
2023-07-25$27.68$40.00132.1%37.9%57.1%40.7%168.9%0.0%-108.2%-17.6K2.4M-5.8K0.0079.48N/AN/A103161,390
2023-07-26$27.92$40.0076.8%22.0%52.9%17.1%96.3%0.0%-32.7%-17.9K2.2M-6.3K0.0088.53N/AN/A003171,390
2023-07-27$29.52$40.00120.1%34.4%56.0%35.6%129.2%0.0%-98.6%-19.8K2.2M-7.2K0.0028.09N/AN/A51223171,390
2023-07-28$29.04$40.00111.1%31.8%55.1%31.7%125.4%0.0%-79.8%-18.2K2.0M-7.4K0.5443.66N/AN/A424371,388
2023-07-31$29.36$40.0091.6%26.3%53.0%23.4%0.0%0.0%-4.7%-18.3K2.1M-7.4K0.867.90N/AN/A114411,386