NDLS Options History — December 2023

In December 2023, NDLS traded between $23.92 and $27.04. ATM implied volatility averaged 110.7%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 25.9%. IV traded above realized volatility by 57.9% (HV 20d: 52.9%). Max pain ranged from $20.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 2.24.

Notable Days

2023-12-20: Highest Volume — 169 contracts
2023-12-26: Largest IV spike — 85.9% change
2023-12-04: Highest IV Rank — 73.0%
2023-12-01: Largest Expected Move — 43.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.66	$23.92	$27.04	$25.04	$24.80
Max Pain	$24.00	$20.00	$40.00	$20.00	$20.00
ATM IV	110.7%	45.2%	207.6%	149.9%	129.5%
Expected Move	25.9%	11.6%	43.0%	43.0%	37.1%
HV 20d	52.9%	39.5%	73.5%	73.5%	49.6%
HV 60d	62.4%	61.7%	63.8%	62.5%	63.4%
IV Rank	31.6%	3.6%	73.0%	48.4%	39.6%
IV Percentile	78.2%	2.0%	99.2%	98.0%	93.7%
Term Structure	-13.4%	-44.8%	21.9%	-29.8%	-44.8%
VWIV	105.7%	57.2%	183.3%	121.1%	183.3%
Bid-Ask Spread %	75.46	14.62	102.59	99.90	98.96
Gamma HHI	0.59	0.50	0.87	0.53	0.70
Net GEX	3.6K	748	6.2K	6.2K	946
Net DEX	-521.5K	-717.1K	-324.6K	-565.6K	-328.0K
Net VEX	-1.0K	-1.6K	-475	-1.6K	-525
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.24	0.00	28.00	0.00	0.00
Total Volume	15.45	0	169	25	0
Total OI	520.05	428	590	563	433

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2023-12-01	$25.04	$20.00	149.9%	43.0%	73.5%	48.4%	0.0%	0.0%	-29.8%	6.2K	-565.6K	-1.6K	0.00	99.90	N/A	N/A	25	0	447	116
2023-12-04	$25.68	$20.00	207.6%	15.4%	70.7%	73.0%	121.1%	0.0%	3.4%	5.6K	-630.7K	-1.6K	0.00	45.38	N/A	N/A	0	0	472	116
2023-12-05	$25.20	$20.00	77.9%	11.6%	71.6%	17.5%	0.0%	0.0%	9.3%	5.8K	-611.9K	-1.4K	0.00	14.62	N/A	N/A	1	0	472	116
2023-12-06	$25.36	$20.00	89.1%	12.8%	71.3%	22.4%	0.0%	0.0%	21.9%	5.5K	-624.2K	-1.6K	0.00	87.15	N/A	N/A	0	0	472	116
2023-12-07	$26.32	$20.00	87.0%	15.9%	63.6%	21.4%	64.0%	0.0%	-21.5%	2.4K	-687.1K	-785	2.20	63.49	N/A	N/A	1	1	472	116
2023-12-08	$26.80	$40.00	118.1%	29.7%	63.4%	34.7%	0.0%	0.0%	-22.2%	2.7K	-717.1K	-698	28.00	89.41	N/A	N/A	1	18	473	117
2023-12-11	$26.32	$40.00	184.8%	30.5%	63.4%	63.3%	0.0%	0.0%	3.6%	5.8K	-678.6K	-1.5K	0.00	90.79	N/A	N/A	8	0	474	108
2023-12-12	$26.48	$40.00	154.8%	30.6%	58.5%	50.5%	0.0%	0.0%	-1.1%	5.5K	-682.3K	-1.3K	0.00	91.72	N/A	N/A	1	0	473	108
2023-12-13	$25.68	$40.00	100.3%	28.7%	45.8%	27.1%	57.2%	0.0%	6.8%	5.2K	-634.5K	-1.2K	0.11	102.59	N/A	N/A	12	1	473	108
2023-12-14	$26.00	$20.00	104.5%	30.0%	46.0%	28.9%	0.0%	0.0%	-24.5%	2.1K	-673.9K	-669	0.00	88.79	N/A	N/A	4	0	474	106
2023-12-15	$25.36	$20.00	96.5%	27.7%	39.5%	25.5%	64.1%	0.0%	2.8%	4.4K	-606.4K	-1.1K	0.00	58.90	N/A	N/A	53	0	470	106
2023-12-18	$25.04	$20.00	112.2%	32.2%	39.6%	32.2%	0.0%	0.0%	-33.9%	1.4K	-418.8K	-596	2.00	62.98	N/A	N/A	1	3	371	103
2023-12-19	$25.36	$20.00	63.1%	18.1%	39.7%	11.2%	144.7%	0.0%	-10.0%	4.0K	-389.5K	-1.1K	0.27	62.42	N/A	N/A	1	0	372	101
2023-12-20	$23.92	$20.00	45.2%	13.0%	44.8%	3.6%	0.0%	0.0%	-13.8%	2.1K	-384.6K	-643	0.06	84.15	N/A	N/A	159	10	372	101
2023-12-21	$24.64	$20.00	50.7%	14.5%	41.9%	6.0%	0.0%	0.0%	-16.0%	1.1K	-324.6K	-537	0.07	68.58	N/A	N/A	2	0	334	94
2023-12-22	$25.60	$20.00	70.1%	20.1%	39.6%	14.2%	0.0%	0.0%	-38.0%	748	-343.8K	-515	0.00	67.26	N/A	N/A	0	0	334	94
2023-12-26	$27.04	$20.00	130.3%	37.3%	43.7%	39.9%	0.0%	0.0%	-5.4%	4.5K	-391.2K	-1.1K	0.00	66.11	N/A	N/A	0	0	334	94
2023-12-27	$27.04	$20.00	133.1%	38.1%	43.6%	41.1%	183.3%	0.0%	-20.7%	4.6K	-391.1K	-1.1K	3.13	72.74	N/A	N/A	1	3	334	94
2023-12-28	$25.60	$20.00	110.3%	31.6%	48.2%	31.4%	0.0%	0.0%	-34.0%	784	-346.3K	-475	0.00	93.28	N/A	N/A	3	0	334	97
2023-12-29	$24.80	$20.00	129.5%	37.1%	49.6%	39.6%	0.0%	0.0%	-44.8%	946	-328.0K	-525	0.00	98.96	N/A	N/A	0	0	336	97