NDLS Options History — July 2013

Name: NDLS Options Analytics - July 2013
Creator: Options Analysis Suite

In July 2013, NDLS traded between $336.96 and $353.76. ATM implied volatility averaged 48.4%. The 30-day expected move averaged 13.9%. Max pain ranged from $320.00 to $320.00. Net GEX was positive for 7 of 8 trading days. Term structure was in contango for 2 of 8 days. Put/call ratio averaged 1.45.

Notable Days

2013-07-31: Highest Volume — 71 contracts
2013-07-29: Largest IV spike — 27.1% change
2013-07-30: Largest Expected Move — 16.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$346.13	$336.96	$353.76	$336.96	$346.96
Max Pain	$320.00	$320.00	$320.00	$320.00	$320.00
ATM IV	48.4%	37.8%	58.6%	45.1%	55.8%
Expected Move	13.9%	10.8%	16.8%	12.9%	16.0%
Term Structure	-6.3%	-19.9%	5.0%	-14.1%	-1.8%
VWIV	54.3%	41.8%	68.4%	68.4%	57.9%
Skew 25d	4.0%	-11.7%	26.1%	26.1%	-11.7%
Skew 10d	7.7%	-8.5%	25.6%	25.6%	-8.5%
Call IV 25d	50.5%	46.2%	55.6%	46.2%	55.6%
Put IV 25d	54.5%	43.9%	72.3%	72.3%	43.9%
Bid-Ask Spread %	98.74	77.96	123.73	123.73	90.57
Gamma HHI	0.42	0.35	0.72	0.72	0.35
Net GEX	8.9K	0	20.1K	0	20.1K
Net DEX	-226.6K	-462.1K	0	0	-462.1K
Net VEX	-3.1K	-6.0K	0	0	-6.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.45	0.04	6.40	0.17	0.14
Total Volume	23.375	5	71	9	71
Total OI	60.375	0	109	0	109

Daily Data (8 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
2013-07-22	$336.96	$0.00	45.1%	12.9%	0.0%	0.0%	68.4%	0.0%	-14.1%	0	0	0	0.17	123.73	N/A	N/A	8	1	0	0
2013-07-23	$353.76	$320.00	46.8%	13.4%	0.0%	0.0%	49.0%	0.0%	-4.3%	3.1K	-70.1K	-301	0.72	80.94	N/A	N/A	23	16	6	1
2013-07-24	$347.04	$320.00	43.2%	12.4%	0.0%	0.0%	41.8%	0.0%	2.6%	5.0K	-119.0K	-2.6K	0.41	98.33	N/A	N/A	15	6	27	18
2013-07-25	$351.84	$320.00	37.8%	10.8%	0.0%	0.0%	0.0%	0.0%	5.0%	10.5K	-252.3K	-3.5K	0.04	108.97	N/A	N/A	11	0	42	23
2013-07-26	$344.00	$320.00	43.9%	12.6%	0.0%	0.0%	0.0%	0.0%	-4.4%	10.8K	-339.5K	-3.8K	0.94	77.96	N/A	N/A	8	7	52	23
2013-07-29	$344.08	$320.00	55.8%	16.0%	0.0%	0.0%	0.0%	26.1%	-13.7%	10.4K	-289.7K	-4.3K	6.40	95.74	N/A	N/A	1	4	59	30
2013-07-30	$344.40	$320.00	58.6%	16.8%	0.0%	0.0%	0.0%	-2.4%	-19.9%	10.9K	-280.1K	-4.3K	2.82	113.69	N/A	N/A	4	12	60	33
2013-07-31	$346.96	$320.00	55.8%	16.0%	0.0%	0.0%	57.9%	-11.7%	-1.8%	20.1K	-462.1K	-6.0K	0.14	90.57	N/A	N/A	62	9	64	45