NDLS Options History — August 2023

In August 2023, NDLS traded between $22.16 and $27.92. ATM implied volatility averaged 74.6%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded above realized volatility by 19.0% (HV 20d: 55.6%). Max pain ranged from $20.00 to $40.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 5.80.

Notable Days

  • 2023-08-10: Highest Volume — 57 contracts
  • 2023-08-16: Largest IV spike — 72.3% change
  • 2023-08-01: Highest IV Rank — 28.4%
  • 2023-08-01: Largest Expected Move — 29.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.52$22.16$27.92$27.92$22.16
Max Pain$21.74$20.00$40.00$40.00$20.00
ATM IV74.6%50.6%103.2%103.2%65.7%
Expected Move21.4%14.5%29.6%29.6%18.8%
HV 20d55.6%51.8%61.7%56.2%53.2%
HV 60d59.9%52.3%74.0%73.0%54.3%
IV Rank16.2%5.9%28.4%28.4%12.4%
IV Percentile54.2%9.5%90.5%90.5%44.4%
Term Structure-5.7%-46.6%33.4%-23.7%-1.4%
VWIV74.6%55.9%107.0%107.0%62.0%
Bid-Ask Spread %43.957.8994.1345.4263.27
Gamma HHI0.490.410.950.440.65
Net GEX-13.3K-16.4K-8.8K-16.4K-9.0K
Net DEX2.1M1.6M2.3M2.1M1.6M
Net VEX-4.5K-7.1K-2.0K-7.1K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.800.0041.670.0041.67
Total Volume5.348057016
Total OI1,736.4351,3861,8661,8281,386

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-08-01$27.92$40.00103.2%29.6%56.2%28.4%0.0%0.0%-23.7%-16.4K2.1M-7.1K0.0045.42N/AN/A004421,386
2023-08-02$26.96$40.0084.5%24.2%51.9%20.4%0.0%0.0%-27.8%-15.6K2.1M-6.5K0.007.89N/AN/A004421,386
2023-08-03$26.08$20.0083.4%27.1%52.0%19.9%107.0%0.0%-6.1%-15.6K2.1M-6.1K0.0043.80N/AN/A404411,386
2023-08-04$27.28$20.0085.7%27.3%52.9%20.9%0.0%0.0%5.0%-15.8K2.1M-6.6K0.0030.96N/AN/A004451,386
2023-08-07$27.04$20.00100.8%19.1%53.0%27.4%0.0%0.0%-20.6%-16.1K2.1M-6.1K0.0028.59N/AN/A004451,386
2023-08-08$26.32$20.0088.0%28.4%54.0%21.9%67.2%0.0%-14.2%-15.0K2.1M-6.0K0.0531.08N/AN/A204451,386
2023-08-09$26.48$20.0099.9%28.6%53.9%27.0%67.0%0.0%-14.0%-15.8K2.1M-5.8K0.2031.14N/AN/A104471,386
2023-08-10$25.04$20.0055.9%16.0%57.0%8.1%55.9%0.0%25.3%-13.7K2.2M-5.1K40.3673.42N/AN/A1564481,386
2023-08-11$25.68$20.0073.5%21.1%57.0%15.7%0.0%0.0%-35.5%-15.0K2.2M-5.4K0.008.46N/AN/A804501,415
2023-08-14$25.28$20.0097.4%27.9%55.2%25.9%0.0%0.0%-46.6%-12.4K2.3M-4.2K10.0039.18N/AN/A014511,415
2023-08-15$23.60$20.0051.5%14.8%53.1%6.3%0.0%0.0%17.0%-13.6K2.2M-3.9K0.0036.88N/AN/A004511,415
2023-08-16$22.72$20.0088.7%25.4%51.8%22.2%88.2%0.0%-27.1%-8.9K2.1M-3.3K0.1740.73N/AN/A204511,410
2023-08-17$24.32$20.0090.9%26.1%58.7%23.1%0.0%0.0%-38.4%-13.3K2.2M-4.4K5.0037.53N/AN/A164501,407
2023-08-18$24.00$20.0061.4%17.6%58.3%10.5%0.0%0.0%14.2%-14.0K2.1M-4.3K0.0033.80N/AN/A704491,407
2023-08-21$23.04$20.0055.9%16.0%58.9%8.2%0.0%0.0%29.7%-13.1K2.1M-4.1K0.0069.77N/AN/A003211,338
2023-08-22$24.00$20.0055.6%15.9%61.6%8.0%0.0%0.0%10.1%-12.9K2.2M-3.5K0.0025.70N/AN/A003211,320
2023-08-23$23.36$20.0050.6%14.5%61.7%5.9%0.0%0.0%-3.1%-13.2K2.2M-3.5K0.1926.79N/AN/A313211,320
2023-08-24$22.96$20.0054.5%15.6%56.8%7.6%0.0%0.0%33.4%-13.8K2.0M-4.7K0.0037.97N/AN/A103231,318
2023-08-25$22.64$20.0058.0%16.6%56.8%9.1%0.0%0.0%26.8%-12.3K2.2M-3.3K0.0094.13N/AN/A003231,318
2023-08-28$22.32$20.0069.9%20.0%56.1%14.1%0.0%0.0%-20.2%-8.8K2.3M-2.0K0.0071.47N/AN/A003231,318
2023-08-29$22.40$20.0070.2%20.1%54.7%14.3%0.0%0.0%-18.8%-10.4K1.7M-2.8K0.0066.89N/AN/A093241,111
2023-08-30$22.32$20.0070.7%20.3%54.0%14.5%62.0%0.0%4.4%-10.0K1.8M-2.5K0.9466.02N/AN/A223241,115
2023-08-31$22.16$20.0065.7%18.8%53.2%12.4%0.0%0.0%-1.4%-9.0K1.6M-2.6K41.6763.27N/AN/A0163251,061