NDLS Options History — November 2023

In November 2023, NDLS traded between $15.84 and $25.52. ATM implied volatility averaged 74.1%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded below realized volatility by 1.6% (HV 20d: 75.8%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 6.07.

Notable Days

  • 2023-11-09: Highest Volume — 78 contracts
  • 2023-11-28: Largest IV spike — 86.0% change
  • 2023-11-29: Highest IV Rank — 47.2%
  • 2023-11-29: Largest Expected Move — 42.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.02$15.84$25.52$15.84$24.40
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV74.1%37.3%147.2%74.5%72.1%
Expected Move20.1%10.7%42.2%21.4%20.7%
HV 20d75.8%58.9%84.3%58.9%73.6%
HV 60d58.0%50.0%62.9%50.0%62.5%
IV Rank15.9%0.2%47.2%16.1%15.1%
IV Percentile53.6%0.4%97.6%67.1%62.3%
Term Structure4.7%-43.3%67.5%-31.0%-43.3%
VWIV91.7%37.4%211.1%71.4%211.1%
Bid-Ask Spread %36.6810.1094.9147.9364.03
Gamma HHI0.640.500.870.740.58
Net GEX3.0K-4.0K6.3K2.5K5.7K
Net DEX-322.8K-667.8K273.6K237.5K-546.8K
Net VEX-1.7K-2.1K-1.1K-1.2K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.070.0061.803.000.00
Total Volume17.61907800
Total OI723.429559868769563

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$15.84$20.0074.5%21.4%58.9%16.1%0.0%0.0%-31.0%2.5K237.5K-1.2K3.0047.93N/AN/A00484285
2023-11-02$16.40$20.0096.9%14.7%59.6%25.7%0.0%0.0%21.0%2.7K273.6K-1.1K0.0010.10N/AN/A013490284
2023-11-03$17.68$20.0083.4%20.1%66.2%19.9%71.4%0.0%-4.9%-930133.6K-1.5K0.4827.13N/AN/A136490272
2023-11-06$17.68$20.0082.4%19.1%66.2%19.5%0.0%0.0%5.8%-822103.8K-1.5K0.0041.83N/AN/A210508269
2023-11-07$17.60$20.0078.1%20.6%64.5%17.7%0.0%0.0%8.1%-92799.6K-1.6K0.0066.82N/AN/A40525269
2023-11-08$19.60$20.0067.6%19.4%75.6%13.1%67.6%0.0%0.6%-3.4K-70.6K-1.8K0.2361.08N/AN/A61527269
2023-11-09$20.16$20.0059.4%17.0%71.2%9.7%0.0%0.0%6.8%-3.2K-125.2K-1.8K61.8036.36N/AN/A177533270
2023-11-10$21.04$20.0054.4%15.6%72.3%7.5%54.2%0.0%5.6%-4.0K-220.1K-2.1K0.5333.20N/AN/A3318534320
2023-11-13$22.72$20.0037.3%10.7%76.3%0.2%37.4%0.0%28.9%1.6K-406.6K-2.1K2.3922.45N/AN/A818559307
2023-11-14$25.36$20.0061.7%17.7%81.2%10.7%95.5%0.0%-15.9%5.4K-649.1K-2.0K0.3925.32N/AN/A5120559308
2023-11-15$25.52$20.0058.2%16.7%80.3%9.1%125.2%0.0%7.9%5.5K-667.8K-1.9K0.0018.60N/AN/A120575292
2023-11-16$23.84$20.0046.6%13.4%84.2%4.2%78.0%0.0%67.5%5.5K-572.2K-2.0K0.0015.84N/AN/A00576292
2023-11-17$24.16$20.0060.1%17.2%83.9%9.9%0.0%0.0%51.0%5.5K-583.8K-1.7K30.3322.42N/AN/A246576292
2023-11-20$24.40$20.0061.9%17.8%83.3%10.7%0.0%0.0%1.6%6.2K-560.6K-1.7K0.0022.48N/AN/A00462114
2023-11-21$24.00$20.0066.4%19.0%84.1%12.6%84.9%0.0%43.4%6.3K-538.8K-1.7K0.0025.36N/AN/A00462114
2023-11-22$25.28$20.0074.5%21.4%84.3%16.1%0.0%0.0%-15.5%6.0K-626.2K-1.5K0.0021.21N/AN/A150462114
2023-11-24$24.00$20.0058.2%16.7%82.2%9.2%0.0%0.0%-17.0%5.5K-526.7K-1.5K0.0026.14N/AN/A00445114
2023-11-27$24.16$20.0075.5%21.6%82.2%16.5%0.0%0.0%30.4%5.9K-495.4K-1.5K0.0020.96N/AN/A00445114
2023-11-28$24.48$20.00140.4%40.2%80.1%44.3%0.0%0.0%-23.8%5.7K-521.8K-1.5K0.0066.13N/AN/A10445114
2023-11-29$24.16$20.00147.2%42.2%80.9%47.2%211.1%0.0%-27.7%5.6K-515.5K-1.5K4.0094.91N/AN/A13445114
2023-11-30$24.40$20.0072.1%20.7%73.6%15.1%0.0%0.0%-43.3%5.7K-546.8K-1.5K0.0064.03N/AN/A00447116