NDLS Options History — September 2023

In September 2023, NDLS traded between $18.80 and $22.64. ATM implied volatility averaged 73.1%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded above realized volatility by 32.6% (HV 20d: 40.5%). Max pain ranged from $20.00 to $40.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 4.47.

Notable Days

  • 2023-09-14: Highest Volume — 51 contracts
  • 2023-09-22: Largest IV spike — 54.8% change
  • 2023-09-28: Highest IV Rank — 33.1%
  • 2023-09-28: Largest Expected Move — 32.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.81$18.80$22.64$22.64$19.68
Max Pain$28.00$20.00$40.00$20.00$20.00
ATM IV73.1%53.6%114.3%77.8%57.4%
Expected Move20.5%15.4%32.8%22.3%16.5%
HV 20d40.5%29.8%51.2%50.7%36.2%
HV 60d50.9%47.6%52.8%52.7%47.6%
IV Rank15.5%7.2%33.1%17.5%8.8%
IV Percentile56.1%16.7%94.0%67.9%26.6%
Term Structure-3.4%-30.6%21.5%8.8%4.7%
VWIV70.1%56.7%82.4%68.4%82.4%
Bid-Ask Spread %75.1839.43105.21105.2185.31
Gamma HHI0.890.780.990.890.88
Net GEX-10.3K-13.4K-6.7K-6.7K-13.4K
Net DEX822.7K257.4K1.5M1.4M376.8K
Net VEX-1.8K-2.2K-1.4K-1.7K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.470.0026.000.001.00
Total Volume9.2505100
Total OI1,0017421,3241,324762

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$22.64$20.0077.8%22.3%50.7%17.5%0.0%0.0%8.8%-6.7K1.4M-1.7K0.00105.21N/AN/A00325999
2023-09-05$22.00$40.0073.6%22.8%51.2%15.7%0.0%0.0%-10.5%-9.2K1.5M-2.2K0.0059.52N/AN/A00325999
2023-09-06$21.92$40.0072.3%20.3%50.8%15.2%0.0%0.0%-21.1%-9.2K1.5M-2.0K0.0053.27N/AN/A00325999
2023-09-07$21.36$40.0075.8%21.3%50.8%16.6%0.0%0.0%-6.4%-9.4K1.5M-2.0K0.0081.89N/AN/A018325999
2023-09-08$22.16$40.0067.2%19.6%50.6%13.0%68.4%0.0%9.1%-10.0K1.3M-2.1K0.1567.00N/AN/A30325933
2023-09-11$21.84$40.0080.6%19.0%49.2%18.7%0.0%0.0%10.4%-10.9K1.3M-1.9K0.0088.90N/AN/A10324933
2023-09-12$22.32$40.0083.3%18.2%50.3%19.9%0.0%0.0%-15.7%-10.0K1.3M-1.9K8.3377.27N/AN/A03324933
2023-09-13$21.28$40.0074.4%21.3%47.2%16.1%0.0%0.0%-4.0%-11.2K1.4M-1.7K2.4562.99N/AN/A1331325933
2023-09-14$21.04$40.0068.5%19.6%45.7%13.5%67.3%0.0%2.8%-12.8K712.9K-1.8K1.5365.52N/AN/A2031325638
2023-09-15$21.04$20.0065.3%18.7%37.1%12.2%0.0%0.0%4.3%-9.2K698.9K-1.8K1.9659.56N/AN/A613345661
2023-09-18$20.80$20.0077.2%22.1%37.1%17.3%77.3%0.0%-2.0%-8.8K708.6K-1.9K26.0046.51N/AN/A03320633
2023-09-19$20.40$20.0066.5%19.1%35.2%12.7%0.0%0.0%0.1%-9.3K290.7K-1.7K2.8439.43N/AN/A618320422
2023-09-20$20.08$20.0056.6%16.2%30.6%8.4%56.7%0.0%-6.7%-13.0K339.9K-1.6K8.3392.78N/AN/A03320429
2023-09-21$20.00$20.0053.6%15.4%29.9%7.2%0.0%0.0%0.7%-13.3K354.8K-1.6K0.0056.24N/AN/A00320429
2023-09-22$20.00$20.0083.0%23.8%29.8%19.7%81.4%0.0%-11.4%-8.2K257.4K-1.8K0.0081.42N/AN/A00320429
2023-09-25$20.00$20.0061.0%17.5%29.8%10.3%57.3%0.0%0.9%-10.9K284.3K-1.7K1.0085.17N/AN/A00320429
2023-09-26$19.68$20.0067.4%19.3%29.9%13.1%82.4%0.0%21.5%-8.6K312.3K-1.8K0.00102.93N/AN/A016320429
2023-09-27$18.80$20.0085.8%24.6%32.7%20.9%0.0%0.0%-30.6%-10.5K370.5K-1.4K0.0094.95N/AN/A00320441
2023-09-28$19.20$20.00114.3%32.8%34.3%33.1%0.0%0.0%-22.2%-10.5K446.9K-1.4K1.0097.65N/AN/A00320442
2023-09-29$19.68$20.0057.4%16.5%36.2%8.8%0.0%0.0%4.7%-13.4K376.8K-1.6K0.0085.31N/AN/A00320442