NDLS Options History — September 2013

In September 2013, NDLS traded between $339.52 and $366.08. ATM implied volatility averaged 45.8%. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 5.8% (HV 20d: 40.0%). Max pain ranged from $360.00 to $360.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2013-09-20: Highest Volume — 750 contracts
  • 2013-09-27: Largest IV drop — 11.3% change
  • 2013-09-20: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$355.56$339.52$366.08$358.08$342.88
Max Pain$360.00$360.00$360.00$360.00$360.00
ATM IV45.8%42.2%52.1%43.7%44.6%
Expected Move13.4%12.2%14.9%12.5%12.8%
HV 20d40.0%30.9%58.0%58.0%32.8%
HV 60d44.9%44.5%45.4%45.4%44.7%
Term Structure6.8%3.0%16.0%3.5%14.0%
VWIV46.5%42.4%53.6%44.2%46.1%
Skew 25d1.7%-1.8%6.5%3.3%0.1%
Skew 10d7.6%-0.7%16.9%10.3%4.8%
Call IV 25d46.3%39.7%54.5%43.5%46.2%
Put IV 25d48.0%44.7%53.8%46.8%46.3%
Bid-Ask Spread %78.7168.9784.6474.3884.48
Gamma HHI0.380.320.540.350.33
Net GEX195.4K23.0K450.7K195.2K34.8K
Net DEX-4.7M-8.0M193.1K-5.8M193.1K
Net VEX-49.7K-71.9K-40.9K-40.9K-69.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.182.020.750.50
Total Volume99137504936
Total OI1,009.77951,3957951,395

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$358.08$360.0043.7%12.5%58.0%0.0%44.2%3.3%3.5%195.2K-5.8M-40.9K0.7574.38N/AN/A2821516279
2013-09-04$355.04$360.0042.6%12.2%57.2%0.0%42.4%2.9%4.4%186.3K-5.3M-41.2K0.5468.97N/AN/A137524294
2013-09-05$366.08$360.0043.3%12.4%56.8%0.0%44.9%6.5%3.7%219.1K-6.8M-41.0K2.0278.90N/AN/A2856527299
2013-09-06$363.36$360.0042.2%13.4%56.1%0.0%46.9%-0.5%4.1%214.1K-6.6M-43.0K0.4073.26N/AN/A3414531326
2013-09-09$360.48$360.0044.0%13.7%38.9%0.0%47.8%-0.3%3.1%216.8K-6.5M-43.0K0.2576.61N/AN/A184546335
2013-09-10$354.88$360.0042.2%13.6%37.4%0.0%47.3%-1.8%3.4%198.9K-5.4M-42.1K0.3278.97N/AN/A3812548337
2013-09-11$349.12$360.0044.5%13.4%37.1%0.0%47.8%2.8%4.2%189.4K-4.7M-42.4K0.1884.39N/AN/A112573341
2013-09-12$359.92$360.0047.3%13.5%38.2%0.0%44.6%4.8%3.0%250.0K-6.4M-42.9K0.5076.40N/AN/A147579341
2013-09-13$365.76$360.0044.9%12.9%37.9%0.0%43.8%4.2%6.4%298.5K-7.9M-43.1K0.2780.59N/AN/A6518591347
2013-09-16$355.84$360.0046.6%13.4%38.2%0.0%47.6%-0.4%6.0%296.6K-5.9M-44.9K0.3179.21N/AN/A4012625355
2013-09-17$359.36$360.0047.0%13.5%38.1%0.0%45.9%1.4%6.4%341.1K-6.6M-45.0K0.1978.40N/AN/A5711632359
2013-09-18$364.00$360.0047.2%13.5%38.2%0.0%46.4%0.9%6.1%355.7K-7.7M-45.2K0.5780.53N/AN/A159630363
2013-09-19$364.08$360.0046.9%13.5%31.8%0.0%46.8%2.3%3.6%450.7K-8.0M-44.4K0.4579.07N/AN/A2712623361
2013-09-20$351.36$360.0052.1%14.9%35.1%0.0%53.6%-0.7%6.4%241.3K-4.3M-44.0K1.1376.36N/AN/A352398640364
2013-09-23$346.80$360.0049.8%14.3%34.8%0.0%50.4%3.5%10.9%30.5K-706.4K-60.2K0.5079.36N/AN/A13467579520
2013-09-24$339.52$360.0048.7%14.0%34.8%0.0%48.1%0.0%10.8%23.0K-20.5K-61.2K0.2278.43N/AN/A4510608554
2013-09-25$345.12$360.0047.4%13.6%34.6%0.0%47.4%2.8%10.2%37.1K-956.8K-64.2K0.2382.22N/AN/A6615635564
2013-09-26$354.88$360.0047.8%13.7%33.1%0.0%46.3%0.7%9.5%48.7K-2.0M-63.5K0.6778.98N/AN/A12886630569
2013-09-27$354.64$360.0042.4%12.2%30.9%0.0%42.5%1.7%16.0%79.8K-3.0M-71.9K0.9384.64N/AN/A3634715639
2013-09-30$342.88$360.0044.6%12.8%32.8%0.0%46.1%0.1%14.0%34.8K193.1K-69.0K0.5084.48N/AN/A2412731664