NDLS Options History — October 2023

In October 2023, NDLS traded between $16.72 and $19.36. ATM implied volatility averaged 69.3%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 19.3%. IV traded above realized volatility by 21.2% (HV 20d: 48.1%). Max pain ranged from $20.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.48.

Notable Days

  • 2023-10-20: Highest Volume — 201 contracts
  • 2023-10-05: Largest IV spike — 128.4% change
  • 2023-10-05: Highest IV Rank — 48.0%
  • 2023-10-05: Largest Expected Move — 31.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.13$16.72$19.36$18.32$17.04
Max Pain$30.91$20.00$40.00$20.00$20.00
ATM IV69.3%49.0%149.2%63.9%58.0%
Expected Move19.3%14.1%31.1%18.3%16.6%
HV 20d48.1%38.6%57.2%41.5%53.5%
HV 60d48.4%46.0%49.8%48.9%48.3%
IV Rank13.9%5.2%48.0%11.6%9.0%
IV Percentile47.2%7.1%98.0%41.3%29.8%
Term Structure-3.7%-30.0%24.4%-0.2%-14.6%
VWIV72.6%65.7%83.9%67.6%83.9%
Bid-Ask Spread %64.189.14116.6158.399.14
Gamma HHI0.820.620.960.860.72
Net GEX-8.0K-16.3K-1.0K-11.0K-1.5K
Net DEX361.3K85.5K578.9K408.2K234.6K
Net VEX-1.3K-1.7K-927-1.4K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.004.610.330.00
Total Volume18.3180201013
Total OI775.227694892762756

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$18.32$20.0063.9%18.3%41.5%11.6%67.6%0.0%-0.2%-11.0K408.2K-1.4K0.3358.39N/AN/A00320442
2023-10-03$18.16$20.0056.9%16.3%41.0%8.6%0.0%0.0%10.7%-11.6K495.0K-1.2K0.0058.18N/AN/A00320442
2023-10-04$18.16$20.0065.3%18.7%41.1%12.2%0.0%0.0%9.4%-9.8K418.8K-1.4K0.00102.84N/AN/A00320442
2023-10-05$18.64$40.00149.2%31.1%42.4%48.0%0.0%0.0%-8.1%-6.9K378.6K-1.4K0.00116.61N/AN/A00320442
2023-10-06$18.40$40.0049.0%18.3%39.2%5.2%65.7%0.0%-8.0%-13.8K504.2K-1.2K0.0070.43N/AN/A20320442
2023-10-09$18.32$40.0063.0%17.6%39.2%11.2%0.0%0.0%9.8%-12.6K506.5K-1.1K0.0076.75N/AN/A150320442
2023-10-10$19.04$40.0080.5%18.8%41.3%18.7%0.0%0.0%-22.8%-12.5K424.9K-1.3K0.0071.07N/AN/A00335442
2023-10-11$18.96$40.0071.4%20.5%38.6%14.8%71.5%0.0%-28.0%-16.3K456.9K-1.2K0.0057.88N/AN/A30335442
2023-10-12$17.68$40.0056.1%16.1%44.8%8.3%67.0%0.0%-2.8%-10.8K532.6K-1.0K0.0050.72N/AN/A01337442
2023-10-13$17.92$40.0060.5%17.4%45.4%10.1%68.0%0.0%-14.5%-11.7K533.3K-1.0K0.0062.76N/AN/A00337443
2023-10-16$18.00$40.0071.2%20.4%45.6%14.7%0.0%0.0%-30.0%-5.9K578.9K-9270.0056.72N/AN/A00337443
2023-10-17$19.36$40.0056.4%16.2%53.4%8.4%0.0%0.0%22.7%-16.0K371.0K-1.3K0.0076.73N/AN/A910337443
2023-10-18$18.96$40.0073.9%21.2%53.6%15.8%74.1%0.0%3.2%-13.7K327.5K-1.7K2.0469.91N/AN/A36441443
2023-10-19$18.40$40.0049.1%14.1%54.5%5.2%0.0%0.0%24.4%-5.9K472.3K-1.5K0.23103.29N/AN/A72444443
2023-10-20$18.32$40.0078.8%22.6%54.4%18.0%79.3%0.0%-3.9%-3.3K421.9K-1.5K4.6149.38N/AN/A36165450442
2023-10-23$18.08$20.0075.3%21.6%54.5%16.4%0.0%0.0%-8.3%-3.3K146.6K-1.4K0.0081.33N/AN/A80409285
2023-10-24$18.32$20.0065.8%18.9%54.7%12.4%76.5%0.0%-10.7%-3.3K85.5K-1.6K0.0054.81N/AN/A380417285
2023-10-25$18.00$20.0083.9%24.0%52.7%20.1%83.9%0.0%-19.7%-2.2K117.0K-1.6K0.0077.22N/AN/A40454285
2023-10-26$16.80$20.0056.4%16.2%57.0%8.4%0.0%0.0%-10.3%-1.2K203.0K-1.4K0.0011.66N/AN/A60462285
2023-10-27$17.28$20.0079.0%22.6%57.2%18.0%0.0%0.0%9.6%-1.4K117.0K-1.6K0.0449.35N/AN/A30468285
2023-10-30$16.72$20.0061.6%17.7%52.9%10.6%0.0%0.0%11.4%-1.0K215.5K-1.3K0.0046.72N/AN/A00471285
2023-10-31$17.04$20.0058.0%16.6%53.5%9.0%0.0%0.0%-14.6%-1.5K234.6K-1.3K0.009.14N/AN/A130471285