NDLS Options History — October 2013

In October 2013, NDLS traded between $343.76 and $386.40. ATM implied volatility averaged 65.8%. The 30-day expected move averaged 19.6%. IV traded above realized volatility by 31.9% (HV 20d: 33.9%). Max pain ranged from $360.00 to $360.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.21.

Notable Days

  • 2013-10-15: Highest Volume — 285 contracts
  • 2013-10-10: Largest IV spike — 30.1% change
  • 2013-10-30: Largest Expected Move — 24.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$360.53$343.76$386.40$343.76$350.32
Max Pain$360.00$360.00$360.00$360.00$360.00
ATM IV65.8%41.6%84.3%47.5%83.9%
Expected Move19.6%11.9%24.2%13.6%24.1%
HV 20d33.9%29.9%38.0%32.2%36.3%
HV 60d42.7%42.0%44.3%44.3%42.0%
Term Structure-10.1%-20.9%14.8%7.7%-20.6%
VWIV68.9%37.7%86.2%47.2%84.9%
Skew 25d4.5%-3.1%9.3%-3.1%3.7%
Skew 10d11.7%0.7%40.8%31.6%7.6%
Call IV 25d67.1%38.5%86.3%47.7%84.7%
Put IV 25d71.5%44.1%88.7%44.6%88.4%
Bid-Ask Spread %48.5418.4189.5488.4957.48
Gamma HHI0.350.270.620.330.32
Net GEX1.2K-274.6K331.8K21.2K-270.3K
Net DEX-1.1M-13.8M7.1M567.2K6.9M
Net VEX-80.0K-91.9K-68.0K-68.0K-87.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.154.420.520.91
Total Volume88.6961228512753
Total OI1,733.5651,4121,9781,4121,978

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$343.76$360.0047.5%13.6%32.2%0.0%47.2%-3.1%7.7%21.2K567.2K-68.0K0.5288.49N/AN/A8344737675
2013-10-02$345.20$360.0041.6%11.9%32.2%0.0%42.4%5.2%14.1%31.6K-169.5K-72.4K0.2189.54N/AN/A9921775693
2013-10-03$344.24$360.0042.4%12.1%29.9%0.0%37.7%5.7%14.8%111.7K-726.6K-76.1K0.1582.24N/AN/A122857711
2013-10-04$348.64$360.0042.5%16.9%30.4%0.0%58.0%1.1%-7.8%136.7K-1.7M-75.9K0.2657.44N/AN/A164855713
2013-10-07$354.88$360.0044.0%16.7%31.1%0.0%58.3%4.9%-5.1%173.1K-3.6M-75.5K0.5051.40N/AN/A4824857716
2013-10-08$348.08$360.0051.5%18.5%31.3%0.0%64.8%4.2%-9.3%124.6K-1.7M-74.6K2.6660.14N/AN/A62164859722
2013-10-09$349.60$360.0048.2%18.9%30.8%0.0%65.3%7.0%-10.6%142.9K-1.4M-74.8K2.0958.54N/AN/A918878741
2013-10-10$362.40$360.0062.7%18.0%31.6%0.0%63.7%7.4%-10.8%224.6K-5.6M-75.3K0.3245.56N/AN/A5919878745
2013-10-11$374.56$360.0063.5%18.2%33.3%0.0%60.2%5.1%-9.4%331.8K-10.2M-76.0K0.8944.53N/AN/A5145903750
2013-10-14$386.40$360.0066.0%18.9%33.1%0.0%68.0%2.6%-12.6%327.9K-13.8M-73.3K1.6744.99N/AN/A93155903775
2013-10-15$367.92$360.0073.8%21.2%38.0%0.0%75.4%1.3%-18.9%274.5K-5.8M-79.2K2.5338.55N/AN/A81204926897
2013-10-16$368.40$360.0072.2%20.7%37.7%0.0%72.1%5.9%-15.8%176.5K-2.4M-83.5K0.7418.54N/AN/A21169111,042
2013-10-17$368.16$360.0071.5%20.5%37.7%0.0%74.1%9.3%-14.2%296.7K-2.7M-82.1K2.3121.45N/AN/A11259031,035
2013-10-18$375.12$360.0071.8%20.6%35.7%0.0%71.9%8.5%-12.8%-164.9K-6.2M-79.5K0.6418.41N/AN/A34229051,054
2013-10-21$368.24$360.0075.7%21.7%36.1%0.0%76.9%3.3%-10.5%-196.5K1.2M-79.1K0.7326.40N/AN/A4432666965
2013-10-22$368.80$360.0074.3%21.3%34.9%0.0%74.1%3.9%-9.7%-224.6K978.0K-78.7K0.3144.19N/AN/A4313691990
2013-10-23$364.56$360.0078.2%22.4%35.0%0.0%79.8%6.2%-13.0%-198.3K1.3M-81.3K4.4243.15N/AN/A35157711999
2013-10-24$370.72$360.0077.2%22.1%34.2%0.0%77.8%5.3%-16.5%-246.3K1.5M-90.4K0.6045.18N/AN/A1177351,118
2013-10-25$364.08$360.0076.5%21.9%34.9%0.0%78.0%0.2%-14.0%-254.1K2.8M-91.9K2.2954.51N/AN/A487381,124
2013-10-28$356.80$360.0082.0%23.5%33.4%0.0%84.5%4.7%-16.4%-252.9K5.1M-88.5K2.3123.27N/AN/A29677391,130
2013-10-29$362.00$360.0083.0%23.8%33.7%0.0%83.4%8.0%-20.9%-274.6K4.2M-88.3K0.5347.65N/AN/A41227491,163
2013-10-30$349.28$360.0084.3%24.2%36.3%0.0%86.2%2.4%-20.2%-263.9K7.1M-88.5K0.2654.83N/AN/A2577791,181
2013-10-31$350.32$360.0083.9%24.1%36.3%0.0%84.9%3.7%-20.6%-270.3K6.9M-87.8K0.9157.48N/AN/A28257951,183