NDLS Options History — February 2024

In February 2024, NDLS traded between $19.36 and $21.20. ATM implied volatility averaged 74.7%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 22.2%. IV traded above realized volatility by 15.9% (HV 20d: 58.8%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.17.

Notable Days

2024-02-16: Highest Volume — 52 contracts
2024-02-12: Largest IV spike — 36.1% change
2024-02-28: Highest IV Rank — 25.4%
2024-02-28: Largest Expected Move — 27.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.16	$19.36	$21.20	$20.64	$20.08
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	74.7%	50.9%	96.3%	59.2%	92.7%
Expected Move	22.2%	15.7%	27.6%	19.6%	26.6%
HV 20d	58.8%	48.1%	62.6%	62.3%	54.0%
HV 60d	57.7%	53.8%	64.3%	63.5%	55.5%
IV Rank	16.2%	6.0%	25.4%	9.6%	23.9%
IV Percentile	56.1%	9.1%	81.7%	30.2%	80.2%
Term Structure	0.5%	-22.3%	28.5%	5.6%	-9.9%
VWIV	85.0%	49.8%	124.0%	49.8%	124.0%
Bid-Ask Spread %	54.06	23.59	74.20	65.43	58.49
Gamma HHI	0.97	0.96	0.99	0.98	0.96
Net GEX	7.2K	3.7K	15.7K	7.1K	5.1K
Net DEX	-278.9K	-416.1K	-138.2K	-229.4K	-339.5K
Net VEX	-1.1K	-1.3K	-889	-976	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.17	0.00	1.76	0.02	0.00
Total Volume	11.3	0	52	0	0
Total OI	473.9	324	644	513	360

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
2024-02-01	$20.64	$20.00	59.2%	19.6%	62.3%	9.6%	0.0%	0.0%	5.6%	7.1K	-229.4K	-976	0.00	65.43	N/A	N/A	0	0	422	91
2024-02-02	$19.92	$20.00	51.2%	20.3%	62.6%	6.1%	0.0%	0.0%	4.9%	7.5K	-187.6K	-951	0.00	31.18	N/A	N/A	0	0	422	91
2024-02-05	$19.36	$20.00	50.9%	19.9%	62.6%	6.0%	0.0%	0.0%	5.9%	6.8K	-138.2K	-889	0.02	74.20	N/A	N/A	6	0	422	91
2024-02-06	$19.68	$20.00	65.5%	20.3%	58.5%	12.3%	0.0%	0.0%	-0.2%	6.2K	-168.2K	-916	0.00	28.50	N/A	N/A	38	0	428	91
2024-02-07	$20.32	$20.00	66.8%	19.1%	59.2%	12.8%	0.0%	0.0%	3.5%	9.8K	-244.8K	-1.1K	0.00	34.22	N/A	N/A	6	0	466	91
2024-02-08	$21.04	$20.00	67.5%	19.4%	56.2%	13.1%	0.0%	0.0%	10.8%	8.3K	-349.1K	-1.1K	0.00	31.39	N/A	N/A	0	0	472	91
2024-02-09	$20.64	$20.00	54.9%	15.7%	51.2%	7.7%	0.0%	0.0%	28.5%	10.0K	-322.1K	-1.1K	0.00	70.71	N/A	N/A	0	0	472	91
2024-02-12	$21.20	$20.00	74.7%	21.4%	48.1%	16.2%	0.0%	0.0%	-1.1%	8.9K	-416.1K	-951	0.17	25.25	N/A	N/A	1	0	472	91
2024-02-13	$19.36	$20.00	62.3%	17.9%	58.2%	10.9%	49.8%	0.0%	23.7%	12.5K	-142.7K	-939	0.00	64.37	N/A	N/A	15	0	473	91
2024-02-14	$19.68	$20.00	70.5%	20.2%	58.5%	14.4%	0.0%	0.0%	7.8%	10.3K	-230.2K	-989	0.00	44.20	N/A	N/A	51	0	487	91
2024-02-15	$20.16	$20.00	75.5%	21.6%	59.2%	16.5%	75.5%	0.0%	1.1%	15.7K	-358.0K	-1.2K	0.00	23.59	N/A	N/A	19	0	539	91
2024-02-16	$19.36	$20.00	87.1%	25.0%	60.0%	21.5%	0.0%	0.0%	-0.6%	3.7K	-165.5K	-1.1K	1.76	67.76	N/A	N/A	19	33	553	91
2024-02-20	$20.08	$20.00	92.9%	26.6%	59.5%	24.0%	92.9%	0.0%	-17.3%	4.3K	-283.6K	-1.2K	0.00	60.27	N/A	N/A	14	0	281	43
2024-02-21	$20.80	$20.00	92.7%	26.6%	60.3%	23.9%	92.4%	0.0%	-13.7%	4.6K	-344.3K	-1.3K	0.04	69.73	N/A	N/A	3	0	294	43
2024-02-22	$20.16	$20.00	81.7%	23.4%	61.3%	19.2%	81.7%	0.0%	-2.5%	4.6K	-319.9K	-1.2K	0.00	63.63	N/A	N/A	0	0	299	43
2024-02-23	$20.08	$20.00	83.9%	24.0%	60.6%	20.1%	83.9%	0.0%	-3.4%	4.5K	-333.1K	-1.2K	0.38	65.35	N/A	N/A	1	0	299	43
2024-02-26	$20.00	$20.00	78.1%	22.4%	60.5%	17.6%	79.7%	0.0%	0.1%	4.6K	-320.2K	-1.2K	0.01	71.16	N/A	N/A	12	0	299	43
2024-02-27	$20.64	$20.00	89.7%	25.7%	61.3%	22.6%	124.0%	0.0%	-11.6%	5.3K	-346.0K	-1.3K	0.04	67.76	N/A	N/A	3	0	311	43
2024-02-28	$20.00	$20.00	96.3%	27.6%	61.8%	25.4%	0.0%	0.0%	-22.3%	5.1K	-340.4K	-1.2K	0.00	64.07	N/A	N/A	5	0	314	43
2024-02-29	$20.08	$20.00	92.7%	26.6%	54.0%	23.9%	0.0%	0.0%	-9.9%	5.1K	-339.5K	-1.2K	0.00	58.49	N/A	N/A	0	0	317	43