NDLS Options History — March 2024

In March 2024, NDLS traded between $14.32 and $20.00. ATM implied volatility averaged 86.0%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded above realized volatility by 29.5% (HV 20d: 56.4%). 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 13 of 20 days. Put/call ratio averaged 0.68.

Notable Days

2024-03-07: Highest Volume — 53 contracts
2024-03-13: Largest IV drop — 60.5% change
2024-03-12: Highest IV Rank — 44.4%
2024-03-01: Largest Expected Move — 27.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.48	$14.32	$20.00	$20.00	$14.96
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	86.0%	55.5%	140.7%	96.4%	78.5%
Expected Move	21.4%	14.7%	27.6%	27.6%	22.5%
HV 20d	56.4%	50.5%	60.7%	54.0%	60.5%
HV 60d	58.1%	54.4%	60.9%	55.2%	59.4%
IV Rank	21.0%	8.0%	44.4%	25.4%	17.8%
IV Percentile	63.2%	15.9%	93.7%	81.7%	63.5%
Term Structure	4.3%	-29.5%	40.6%	-11.6%	2.0%
VWIV	76.7%	64.1%	96.9%	96.9%	66.7%
Bid-Ask Spread %	84.81	58.47	117.10	58.47	98.11
Gamma HHI	0.99	0.97	1.00	0.97	1.00
Net GEX	4.4K	3.0K	6.6K	5.2K	3.3K
Net DEX	-130.0K	-344.8K	25.7K	-324.2K	25.7K
Net VEX	-842	-1.3K	-392	-1.2K	-392
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.00	5.00	0.03	0.00
Total Volume	5.7	0	53	7	0
Total OI	403.5	360	430	360	407

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
2024-03-01	$20.00	$20.00	96.4%	27.6%	54.0%	25.4%	96.9%	0.0%	-11.6%	5.2K	-324.2K	-1.2K	0.03	58.47	N/A	N/A	7	0	317	43
2024-03-04	$19.92	$20.00	108.9%	24.6%	52.5%	30.8%	0.0%	0.0%	6.1%	5.3K	-318.8K	-1.2K	0.10	62.92	N/A	N/A	1	0	322	43
2024-03-05	$19.84	$20.00	121.7%	24.8%	51.4%	36.3%	0.0%	0.0%	7.5%	5.4K	-344.8K	-1.3K	5.00	80.08	N/A	N/A	0	1	336	44
2024-03-06	$20.00	$20.00	110.8%	25.1%	51.2%	31.6%	0.0%	0.0%	1.6%	5.8K	-323.9K	-1.3K	0.00	80.77	N/A	N/A	8	0	336	44
2024-03-07	$19.52	$20.00	109.9%	23.4%	50.5%	31.2%	81.6%	0.0%	11.5%	5.5K	-332.4K	-1.3K	0.03	81.16	N/A	N/A	51	2	339	44
2024-03-08	$18.00	$20.00	73.2%	21.4%	55.8%	15.5%	74.7%	0.0%	16.9%	6.6K	-255.2K	-1.2K	0.33	76.51	N/A	N/A	16	5	376	46
2024-03-11	$17.68	$20.00	96.7%	20.3%	55.7%	25.6%	70.8%	0.0%	14.4%	5.4K	-193.2K	-1.1K	0.50	89.63	N/A	N/A	3	1	380	48
2024-03-12	$16.32	$20.00	140.7%	14.7%	59.7%	44.4%	0.0%	0.0%	34.9%	4.9K	-116.5K	-960	0.00	87.77	N/A	N/A	0	1	382	48
2024-03-13	$15.04	$20.00	55.5%	15.9%	58.2%	8.0%	67.2%	0.0%	40.6%	4.0K	-80.5K	-778	2.13	86.45	N/A	N/A	1	2	382	48
2024-03-14	$14.32	$20.00	77.1%	22.1%	58.5%	17.2%	0.0%	0.0%	-6.9%	3.0K	4.7K	-470	0.00	88.40	N/A	N/A	0	0	382	48
2024-03-15	$14.48	$20.00	66.8%	19.1%	57.5%	12.8%	64.1%	0.0%	-7.2%	3.4K	-68.1K	-739	0.06	91.18	N/A	N/A	6	0	382	48
2024-03-18	$14.64	$20.00	70.9%	20.3%	57.6%	14.5%	0.0%	0.0%	-8.5%	3.3K	1.4K	-464	0.00	59.58	N/A	N/A	0	0	349	46
2024-03-19	$14.32	$20.00	68.6%	19.7%	54.4%	13.6%	91.2%	0.0%	6.2%	3.0K	2.3K	-453	1.35	59.11	N/A	N/A	3	3	350	46
2024-03-20	$15.20	$20.00	56.1%	16.1%	58.1%	8.3%	0.0%	0.0%	6.2%	4.1K	-65.3K	-735	0.00	89.07	N/A	N/A	0	0	352	49
2024-03-21	$15.36	$20.00	65.6%	18.8%	58.5%	12.3%	66.7%	0.0%	23.3%	4.4K	-80.6K	-814	0.61	89.39	N/A	N/A	2	1	352	53
2024-03-22	$14.96	$20.00	70.9%	20.3%	58.6%	14.6%	0.0%	0.0%	-10.3%	3.7K	-73.7K	-770	0.00	100.17	N/A	N/A	0	0	353	54
2024-03-25	$15.04	$20.00	67.3%	19.3%	58.9%	13.0%	0.0%	0.0%	4.0%	3.9K	-2.5K	-497	0.00	100.65	N/A	N/A	0	0	353	54
2024-03-26	$14.64	$20.00	89.2%	25.6%	56.5%	22.4%	0.0%	0.0%	-29.5%	3.5K	1.8K	-483	0.00	99.75	N/A	N/A	0	0	353	54
2024-03-27	$15.36	$20.00	94.8%	27.2%	60.7%	24.8%	0.0%	0.0%	-15.1%	4.1K	-55.3K	-689	0.00	117.10	N/A	N/A	0	0	353	54
2024-03-28	$14.96	$20.00	78.5%	22.5%	60.5%	17.8%	0.0%	0.0%	2.0%	3.3K	25.7K	-392	0.00	98.11	N/A	N/A	0	0	353	54