NDLS Options History — January 2024

In January 2024, NDLS traded between $19.60 and $24.96. ATM implied volatility averaged 84.1%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 24.5% (HV 20d: 59.6%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.01.

Notable Days

2024-01-12: Highest Volume — 38 contracts
2024-01-10: Largest IV drop — 64.3% change
2024-01-09: Highest IV Rank — 55.7%
2024-01-02: Largest Expected Move — 44.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.86	$19.60	$24.96	$24.96	$20.48
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	84.1%	42.3%	167.1%	154.5%	54.0%
Expected Move	17.7%	10.6%	44.3%	44.3%	15.5%
HV 20d	59.6%	48.8%	65.9%	48.8%	64.1%
HV 60d	65.4%	62.8%	67.4%	63.3%	65.2%
IV Rank	20.2%	2.4%	55.7%	50.3%	7.4%
IV Percentile	44.0%	1.2%	97.6%	97.2%	15.1%
Term Structure	12.8%	-51.7%	39.8%	-51.7%	17.2%
VWIV	58.9%	44.4%	86.4%	86.4%	53.6%
Bid-Ask Spread %	36.40	15.58	90.41	67.76	43.92
Gamma HHI	0.91	0.66	0.97	0.66	0.97
Net GEX	4.0K	786	6.4K	786	6.3K
Net DEX	-251.0K	-369.1K	-100.8K	-332.0K	-244.9K
Net VEX	-814	-1.0K	-487	-503	-927
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.01	0.00	0.05	0.00	0.05
Total Volume	5.048	0	38	1	11
Total OI	467.333	426	503	433	503

Daily Data (21 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
2024-01-02	$24.96	$20.00	154.5%	44.3%	48.8%	50.3%	86.4%	0.0%	-51.7%	786	-332.0K	-503	0.00	67.76	N/A	N/A	1	0	336	97
2024-01-03	$23.68	$20.00	144.4%	41.4%	51.2%	46.0%	0.0%	0.0%	-28.5%	1.8K	-291.1K	-600	0.00	90.41	N/A	N/A	0	15	336	97
2024-01-04	$24.00	$20.00	153.1%	10.6%	51.2%	49.7%	0.0%	0.0%	33.1%	1.5K	-308.6K	-526	0.00	18.25	N/A	N/A	0	0	336	90
2024-01-05	$23.36	$20.00	137.1%	10.7%	51.8%	42.9%	0.0%	0.0%	28.8%	2.1K	-281.2K	-572	0.00	16.74	N/A	N/A	0	0	336	90
2024-01-08	$24.72	$20.00	163.7%	12.3%	54.3%	54.3%	0.0%	0.0%	27.0%	1.2K	-329.6K	-487	0.00	15.58	N/A	N/A	0	0	336	90
2024-01-09	$23.68	$20.00	167.1%	10.6%	55.4%	55.7%	0.0%	0.0%	39.8%	1.7K	-301.4K	-520	0.00	23.96	N/A	N/A	0	0	336	90
2024-01-10	$22.08	$20.00	59.7%	17.1%	59.8%	9.8%	0.0%	0.0%	8.4%	3.0K	-187.5K	-761	0.00	75.35	N/A	N/A	0	0	336	90
2024-01-11	$20.64	$20.00	61.6%	17.7%	63.0%	10.6%	0.0%	0.0%	6.1%	3.0K	-128.6K	-783	0.01	38.58	N/A	N/A	19	0	336	90
2024-01-12	$19.60	$20.00	57.1%	16.4%	64.2%	8.7%	57.1%	0.0%	17.1%	3.8K	-100.8K	-874	0.00	34.12	N/A	N/A	38	0	362	90
2024-01-16	$20.00	$20.00	69.2%	19.8%	64.7%	13.8%	0.0%	0.0%	1.5%	4.2K	-171.1K	-1.0K	0.00	30.00	N/A	N/A	0	0	400	90
2024-01-17	$20.08	$20.00	60.6%	17.4%	64.8%	10.2%	0.0%	0.0%	11.3%	4.6K	-188.4K	-1.0K	0.00	36.77	N/A	N/A	0	0	400	90
2024-01-18	$20.08	$20.00	57.6%	16.5%	64.9%	8.9%	57.6%	0.0%	25.2%	5.1K	-156.9K	-999	0.00	29.33	N/A	N/A	0	0	400	90
2024-01-19	$20.64	$20.00	61.9%	17.7%	65.9%	10.7%	61.9%	0.0%	5.3%	4.8K	-201.1K	-1.0K	0.00	41.45	N/A	N/A	8	0	400	90
2024-01-22	$21.52	$20.00	53.0%	15.2%	65.7%	6.9%	52.5%	0.0%	21.2%	5.5K	-269.9K	-976	0.00	20.52	N/A	N/A	1	0	404	88
2024-01-23	$20.96	$20.00	54.8%	15.7%	64.8%	7.7%	0.0%	0.0%	15.0%	5.7K	-238.8K	-974	0.00	47.82	N/A	N/A	7	0	403	88
2024-01-24	$21.04	$20.00	55.5%	15.9%	62.7%	8.0%	0.0%	0.0%	9.5%	6.2K	-241.5K	-993	0.00	42.17	N/A	N/A	0	0	410	88
2024-01-25	$21.52	$20.00	56.4%	16.2%	59.2%	8.4%	0.0%	0.0%	15.6%	5.6K	-278.1K	-976	0.00	18.98	N/A	N/A	0	0	410	88
2024-01-26	$21.68	$20.00	54.4%	15.6%	59.5%	7.5%	57.3%	0.0%	12.9%	6.4K	-291.7K	-941	0.00	33.73	N/A	N/A	0	3	410	88
2024-01-29	$22.08	$20.00	42.3%	12.1%	58.0%	2.4%	44.4%	0.0%	30.7%	5.1K	-358.6K	-829	0.00	16.25	N/A	N/A	0	0	410	90
2024-01-30	$22.32	$20.00	48.2%	13.8%	57.6%	4.8%	0.0%	0.0%	22.8%	4.7K	-369.1K	-815	0.00	22.77	N/A	N/A	3	0	410	90
2024-01-31	$20.48	$20.00	54.0%	15.5%	64.1%	7.4%	53.6%	0.0%	17.2%	6.3K	-244.9K	-927	0.05	43.92	N/A	N/A	10	1	413	90