NDLS Options History — June 2024

In June 2024, NDLS traded between $12.64 and $16.96. ATM implied volatility averaged 82.1%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded below realized volatility by 7.2% (HV 20d: 89.3%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.18.

Notable Days

2024-06-24: Highest Volume — 6 contracts
2024-06-10: Largest IV spike — 220.8% change
2024-06-10: Highest IV Rank — 71.4%
2024-06-26: Largest Expected Move — 35.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.81	$12.64	$16.96	$15.68	$12.64
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	82.1%	47.0%	252.9%	76.2%	113.1%
Expected Move	19.4%	13.1%	35.9%	21.8%	32.4%
HV 20d	89.3%	64.0%	115.4%	115.4%	106.1%
HV 60d	92.2%	86.5%	101.9%	90.5%	101.9%
IV Rank	14.9%	3.2%	71.4%	12.9%	25.1%
IV Percentile	40.6%	2.0%	98.8%	49.2%	79.4%
Term Structure	7.5%	-46.5%	47.8%	-0.1%	-12.8%
VWIV	49.8%	43.8%	52.8%	43.8%	52.8%
Bid-Ask Spread %	89.69	59.26	112.36	112.36	60.19
Gamma HHI	1.00	0.98	1.00	1.00	1.00
Net GEX	1.4K	7	1.8K	1.4K	7
Net DEX	-41.6K	-60.3K	4.4K	-43.2K	4.4K
Net VEX	-280	-341	-1	-312	-1
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.18	0.00	2.00	0.00	0.00
Total Volume	1.474	0	6	1	3
Total OI	119.474	103	125	124	106

Daily Data (19 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
2024-06-03	$15.68	$20.00	76.2%	21.8%	115.4%	12.9%	0.0%	0.0%	-0.1%	1.4K	-43.2K	-312	0.00	112.36	N/A	N/A	1	0	120	4
2024-06-04	$15.20	$20.00	64.5%	18.5%	107.8%	9.0%	0.0%	0.0%	25.8%	1.2K	-46.7K	-311	0.00	110.57	N/A	N/A	3	0	120	4
2024-06-05	$15.84	$20.00	73.8%	21.2%	108.4%	12.1%	0.0%	0.0%	-12.1%	1.5K	-47.0K	-318	0.00	110.59	N/A	N/A	3	0	120	4
2024-06-06	$15.68	$20.00	74.7%	14.2%	108.0%	12.4%	0.0%	0.0%	8.8%	1.6K	-30.8K	-274	0.00	103.38	N/A	N/A	0	0	121	4
2024-06-07	$15.84	$20.00	78.8%	14.9%	74.7%	13.8%	0.0%	0.0%	-2.9%	1.7K	-30.1K	-267	0.00	109.09	N/A	N/A	0	0	121	4
2024-06-10	$15.04	$20.00	252.9%	23.6%	74.7%	71.4%	0.0%	0.0%	-46.5%	1.2K	-34.8K	-262	0.00	59.26	N/A	N/A	5	0	121	4
2024-06-11	$16.40	$20.00	99.8%	13.1%	80.7%	20.7%	0.0%	0.0%	47.8%	1.5K	-54.7K	-341	0.00	103.01	N/A	N/A	0	0	121	4
2024-06-12	$16.64	$20.00	53.1%	15.2%	66.0%	5.3%	43.8%	0.0%	35.5%	1.5K	-60.3K	-340	2.00	103.92	N/A	N/A	0	0	121	4
2024-06-13	$16.40	$20.00	53.0%	15.2%	64.0%	5.2%	0.0%	0.0%	21.6%	1.5K	-51.5K	-320	0.00	63.03	N/A	N/A	0	1	121	4
2024-06-14	$14.64	$20.00	67.8%	19.4%	75.1%	10.1%	0.0%	0.0%	10.3%	1.2K	-22.7K	-217	0.00	61.70	N/A	N/A	0	0	121	4
2024-06-17	$16.96	$20.00	47.0%	13.5%	92.8%	3.2%	0.0%	0.0%	45.7%	1.8K	-58.6K	-340	0.00	102.65	N/A	N/A	0	0	121	4
2024-06-18	$16.64	$20.00	58.0%	16.6%	92.9%	6.9%	0.0%	0.0%	10.0%	1.7K	-52.1K	-319	0.00	63.92	N/A	N/A	0	0	121	4
2024-06-20	$16.32	$20.00	58.6%	16.8%	92.2%	7.1%	52.7%	0.0%	1.2%	1.6K	-45.5K	-298	0.00	60.15	N/A	N/A	2	0	121	4
2024-06-21	$16.64	$20.00	60.9%	17.5%	91.7%	7.8%	0.0%	0.0%	1.2%	1.7K	-47.7K	-300	0.20	102.66	N/A	N/A	1	0	121	4
2024-06-24	$16.72	$20.00	64.7%	18.6%	85.0%	9.1%	52.8%	0.0%	27.4%	1.7K	-56.6K	-324	0.00	67.08	N/A	N/A	6	0	101	4
2024-06-25	$16.64	$20.00	58.6%	16.8%	84.9%	7.1%	0.0%	0.0%	5.0%	1.7K	-47.4K	-291	0.00	103.03	N/A	N/A	0	0	99	4
2024-06-26	$15.52	$20.00	125.3%	35.9%	88.6%	29.2%	0.0%	0.0%	3.4%	1.4K	-31.5K	-240	0.00	103.81	N/A	N/A	3	0	99	4
2024-06-27	$14.96	$20.00	79.8%	22.9%	87.8%	14.1%	0.0%	0.0%	-25.8%	1.1K	-33.6K	-244	0.00	103.71	N/A	N/A	0	0	102	4
2024-06-28	$12.64	$20.00	113.1%	32.4%	106.1%	25.1%	0.0%	0.0%	-12.8%	7	4.4K	-1	0.00	60.19	N/A	N/A	3	0	102	4