NDLS Options History — August 2013

In August 2013, NDLS traded between $318.48 and $378.16. ATM implied volatility averaged 55.5%. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 0.9% (HV 20d: 56.4%). Max pain ranged from $320.00 to $360.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2013-08-08: Highest Volume — 304 contracts
  • 2013-08-09: Largest IV drop — 53.4% change
  • 2013-08-08: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$343.85$318.48$378.16$354.40$365.28
Max Pain$356.36$320.00$360.00$320.00$360.00
ATM IV55.5%40.7%104.1%57.7%40.7%
Expected Move14.5%11.7%18.5%16.5%11.7%
HV 20d56.4%51.9%61.0%61.0%57.5%
Term Structure0.0%-9.8%7.7%-9.8%4.7%
VWIV50.2%39.6%64.6%60.6%39.6%
Skew 25d1.4%-10.3%6.6%6.0%4.0%
Skew 10d7.0%-11.9%19.8%10.2%14.5%
Call IV 25d49.4%40.2%62.9%53.5%40.2%
Put IV 25d50.8%44.2%61.0%59.5%44.2%
Bid-Ask Spread %69.9560.8987.2874.5462.13
Gamma HHI0.380.250.570.320.36
Net GEX37.4K-137.7K206.4K12.1K206.4K
Net DEX-1.7M-7.0M1.4M-482.7K-7.0M
Net VEX-22.9K-41.8K-7.2K-7.2K-41.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.132.540.740.16
Total Volume78.5917304746
Total OI507.773157775157775

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$354.40$320.0057.7%16.5%0.0%0.0%60.6%6.0%-9.8%12.1K-482.7K-7.2K0.7474.54N/AN/A4310750
2013-08-02$365.36$320.0062.1%17.8%0.0%0.0%62.3%-10.3%-7.1%66.2K-1.2M-7.7K0.3667.22N/AN/A16611054
2013-08-05$365.92$360.0082.6%17.0%0.0%0.0%59.3%1.2%-7.3%54.6K-1.8M-8.8K0.1360.89N/AN/A1401912258
2013-08-06$356.16$360.0088.9%17.2%0.0%0.0%59.3%-1.9%-4.6%89.5K-2.3M-13.0K0.2667.40N/AN/A521420574
2013-08-07$369.12$360.0090.1%16.9%0.0%0.0%57.3%-2.7%-9.4%121.9K-3.0M-16.1K0.3377.52N/AN/A602024887
2013-08-08$378.16$360.00104.1%18.5%0.0%0.0%64.6%-4.0%-7.1%134.0K-4.3M-19.1K0.4163.04N/AN/A21688279103
2013-08-09$338.48$360.0048.5%14.1%0.0%0.0%47.9%0.1%5.0%33-193.5K-17.2K0.4964.24N/AN/A14570378167
2013-08-12$328.08$360.0047.5%15.3%61.0%0.0%51.9%4.7%0.6%-110.1K231.7K-18.9K2.5463.47N/AN/A2051388198
2013-08-13$321.36$360.0048.3%13.9%59.4%0.0%50.1%0.2%6.3%-135.4K1.0M-18.5K1.6266.92N/AN/A3252386206
2013-08-14$322.00$360.0043.8%15.4%57.6%0.0%46.8%0.9%0.0%-137.7K1.0M-19.9K0.7887.28N/AN/A3225403230
2013-08-15$318.48$360.0049.5%14.2%55.9%0.0%50.9%1.5%7.7%-129.5K1.4M-19.6K1.5770.99N/AN/A1320402230
2013-08-16$330.00$360.0049.4%14.2%56.1%0.0%48.5%5.1%6.7%17.3K-144.6K-20.1K1.4572.88N/AN/A3450409239
2013-08-19$333.84$360.0047.3%13.6%54.8%0.0%47.6%0.8%-3.5%25.8K-655.1K-24.2K0.5471.23N/AN/A2815272194
2013-08-20$337.36$360.0047.4%13.6%51.9%0.0%44.4%5.6%2.3%38.2K-1.3M-27.2K0.6470.32N/AN/A1811296205
2013-08-21$319.84$360.0046.4%13.3%54.7%0.0%47.8%4.9%4.5%28.4K-162.1K-26.0K0.2872.04N/AN/A3510312216
2013-08-22$321.76$360.0043.1%12.3%54.4%0.0%43.1%1.4%4.9%27.9K-559.5K-28.8K0.1675.97N/AN/A213341222
2013-08-23$329.76$360.0045.1%12.9%54.9%0.0%41.7%6.6%1.6%50.4K-1.1M-29.8K0.1572.25N/AN/A203360224
2013-08-26$337.68$360.0045.5%13.0%55.7%0.0%44.9%0.9%-3.1%74.5K-2.3M-32.3K1.4872.49N/AN/A1827378227
2013-08-27$344.32$360.0045.9%13.2%56.2%0.0%46.5%0.8%0.2%83.1K-2.6M-34.1K0.3870.36N/AN/A3513392247
2013-08-28$358.00$360.0045.1%12.9%57.8%0.0%45.8%2.5%2.9%127.7K-4.4M-35.3K0.4568.94N/AN/A7433408252
2013-08-29$369.36$360.0042.7%12.2%58.4%0.0%43.0%2.9%5.5%176.5K-6.9M-39.4K0.2266.86N/AN/A11225455262
2013-08-30$365.28$360.0040.7%11.7%57.5%0.0%39.6%4.0%4.7%206.4K-7.0M-41.8K0.1662.13N/AN/A406499276