NDLS Options History — September 2024

In September 2024, NDLS traded between $8.80 and $12.16. ATM implied volatility averaged 156.9%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 40.4%. IV traded above realized volatility by 93.6% (HV 20d: 63.3%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.08.

Notable Days

2024-09-30: Highest Volume — 31 contracts
2024-09-19: Largest IV spike — 139.1% change
2024-09-25: Highest IV Rank — 95.7%
2024-09-25: Largest Expected Move — 93.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.23	$8.80	$12.16	$11.84	$9.28
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	156.9%	88.3%	326.3%	124.6%	157.9%
Expected Move	40.4%	23.4%	93.5%	35.7%	45.3%
HV 20d	63.3%	55.3%	74.0%	73.2%	65.7%
HV 60d	75.6%	67.8%	83.3%	83.1%	69.1%
IV Rank	39.6%	16.9%	95.7%	28.9%	40.0%
IV Percentile	81.3%	54.4%	99.6%	77.0%	88.9%
Term Structure	-46.1%	-309.5%	58.6%	-23.6%	48.7%
VWIV	137.6%	115.9%	159.0%	115.9%	159.0%
Bid-Ask Spread %	73.81	54.95	104.01	58.36	83.33
Gamma HHI	0.95	0.75	1.00	0.78	1.00
Net GEX	32	0	88	81	21
Net DEX	12.8K	10.8K	13.9K	12.7K	12.2K
Net VEX	-12	-32	-1	-32	-9
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.08	0.00	0.33	0.00	0.00
Total Volume	2	0	31	1	31
Total OI	95.4	91	97	97	92

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	Call OI	Put OI
2024-09-03	$11.84	$20.00	124.6%	35.7%	73.2%	28.9%	0.0%	0.0%	-23.6%	81	12.7K	-32	0.00	58.36	N/A	N/A	1	83	14
2024-09-04	$12.16	$20.00	121.2%	34.8%	74.0%	27.8%	0.0%	0.0%	-40.8%	88	12.9K	-32	0.00	85.81	N/A	N/A	0	83	14
2024-09-05	$12.00	$20.00	122.8%	23.4%	65.5%	28.3%	0.0%	0.0%	-6.9%	82	13.3K	-28	0.00	85.81	N/A	N/A	0	83	14
2024-09-06	$11.04	$20.00	166.8%	25.2%	70.6%	42.9%	0.0%	0.0%	-16.6%	74	11.7K	-30	0.00	57.22	N/A	N/A	0	83	14
2024-09-09	$10.56	$20.00	195.6%	27.2%	70.2%	52.4%	0.0%	0.0%	-4.0%	43	13.4K	-12	0.00	56.32	N/A	N/A	0	83	14
2024-09-10	$10.32	$20.00	200.2%	29.3%	63.1%	54.0%	0.0%	0.0%	-4.6%	0	13.9K	-1	0.00	56.16	N/A	N/A	0	83	14
2024-09-11	$10.16	$20.00	101.9%	29.2%	58.1%	21.4%	0.0%	0.0%	-5.3%	0	13.7K	-1	0.00	84.89	N/A	N/A	0	83	14
2024-09-12	$10.80	$20.00	92.3%	26.5%	63.5%	18.2%	0.0%	0.0%	7.6%	53	13.3K	-16	0.00	55.35	N/A	N/A	0	83	14
2024-09-13	$11.12	$20.00	88.3%	25.3%	64.6%	16.9%	0.0%	0.0%	-5.5%	55	13.8K	-14	0.00	55.54	N/A	N/A	0	83	14
2024-09-16	$10.80	$20.00	97.8%	28.0%	57.9%	20.0%	0.0%	0.0%	-7.7%	47	13.6K	-12	0.00	54.95	N/A	N/A	0	83	14
2024-09-17	$10.48	$20.00	114.4%	32.8%	56.5%	25.6%	0.0%	0.0%	-8.8%	54	12.6K	-18	0.00	57.26	N/A	N/A	0	83	14
2024-09-18	$10.32	$20.00	104.8%	30.0%	56.3%	22.4%	115.9%	0.0%	-26.6%	0	13.9K	-1	0.33	55.22	N/A	N/A	0	83	14
2024-09-19	$9.84	$20.00	250.5%	71.8%	57.6%	70.6%	0.0%	0.0%	-309.5%	0	13.4K	-1	0.00	84.04	N/A	N/A	0	83	14
2024-09-20	$9.68	$20.00	266.7%	76.5%	55.3%	76.0%	137.8%	0.0%	-234.5%	0	13.2K	-1	0.02	85.27	N/A	N/A	7	83	14
2024-09-23	$8.80	$20.00	154.2%	44.2%	61.8%	38.7%	0.0%	0.0%	30.0%	27	10.8K	-15	0.00	84.51	N/A	N/A	0	77	14
2024-09-24	$8.80	$20.00	142.3%	40.8%	61.8%	34.8%	159.0%	0.0%	58.6%	0	12.1K	-1	0.33	84.51	N/A	N/A	0	77	14
2024-09-25	$8.80	$20.00	326.3%	93.5%	62.1%	95.7%	0.0%	0.0%	-304.2%	0	12.1K	-1	0.00	103.76	N/A	N/A	0	78	14
2024-09-26	$9.04	$20.00	138.8%	39.8%	64.0%	33.6%	0.0%	0.0%	-22.9%	20	11.8K	-9	0.00	83.83	N/A	N/A	1	78	14
2024-09-27	$8.80	$20.00	169.6%	48.6%	63.9%	43.8%	0.0%	0.0%	0.0%	0	12.1K	-1	0.00	104.01	N/A	N/A	0	78	14
2024-09-30	$9.28	$20.00	157.9%	45.3%	65.7%	40.0%	0.0%	0.0%	48.7%	21	12.2K	-9	0.00	83.33	N/A	N/A	31	78	14