NDLS Options History — November 2013

In November 2013, NDLS traded between $307.52 and $381.52. ATM implied volatility averaged 52.6%. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 2.6% (HV 20d: 50.0%). Max pain ranged from $320.00 to $400.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.50.

Notable Days

  • 2013-11-12: Highest Volume — 459 contracts
  • 2013-11-07: Largest IV drop — 46.0% change
  • 2013-11-01: Largest Expected Move — 24.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$338.49$307.52$381.52$351.36$325.04
Max Pain$360.00$320.00$400.00$360.00$360.00
ATM IV52.6%35.5%102.1%85.6%38.4%
Expected Move13.6%10.2%24.5%24.5%11.0%
HV 20d50.0%36.1%55.1%36.1%54.2%
HV 60d40.6%35.3%42.3%41.6%40.8%
Term Structure1.7%-21.8%9.4%-21.8%4.0%
VWIV47.4%35.2%88.3%88.3%38.4%
Skew 25d3.7%0.8%10.8%3.4%2.0%
Skew 10d4.2%-1.8%12.2%6.0%5.0%
Call IV 25d46.1%33.9%86.0%86.0%38.3%
Put IV 25d49.8%38.7%89.4%89.4%40.4%
Bid-Ask Spread %21.609.2545.7745.7715.21
Gamma HHI0.350.260.590.310.27
Net GEX-177.3K-453.3K1.5K-274.1K-21.0K
Net DEX8.4M-3.7M16.8M6.7M8.6M
Net VEX-70.7K-86.8K-56.3K-86.8K-62.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.2212.231.280.36
Total Volume142.055459445
Total OI1,939.61,3852,4392,0121,601

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$351.36$360.0085.6%24.5%36.1%0.0%88.3%3.4%-21.8%-274.1K6.7M-86.8K1.2845.77N/AN/A19258151,197
2013-11-04$361.44$360.0096.2%19.3%36.9%0.0%64.8%6.2%-4.8%-252.7K3.4M-86.1K0.2244.75N/AN/A45108241,208
2013-11-05$381.52$360.0097.8%18.5%40.6%0.0%64.3%3.1%-5.0%-205.9K-3.7M-84.9K0.3834.11N/AN/A111428421,212
2013-11-06$373.44$360.00102.1%18.9%41.6%0.0%65.5%4.0%-6.0%-208.6K-1.5M-86.2K0.7235.73N/AN/A2621908871,224
2013-11-07$336.80$360.0055.1%13.7%54.5%0.0%47.5%10.8%9.4%-453.3K16.8M-72.7K0.5343.51N/AN/A2581371,0461,340
2013-11-08$337.12$320.0049.4%13.6%52.8%0.0%47.3%3.4%4.2%-395.8K14.1M-75.4K0.8614.35N/AN/A57491,1461,280
2013-11-11$344.08$320.0047.8%13.5%51.9%0.0%47.2%1.6%1.0%-451.3K11.9M-72.6K1.3330.44N/AN/A56741,1491,290
2013-11-12$350.40$360.0046.7%13.2%50.0%0.0%46.2%2.5%3.2%-285.3K8.0M-72.2K1.5123.07N/AN/A1832761,1421,253
2013-11-13$349.76$360.0042.3%12.7%50.0%0.0%44.6%0.8%3.6%-186.4K8.6M-75.0K1.1413.55N/AN/A25281,1531,264
2013-11-14$345.60$360.0042.5%12.2%50.1%0.0%42.7%3.1%4.6%-237.0K10.6M-71.6K0.7819.57N/AN/A41321,1251,249
2013-11-15$347.44$360.0042.0%12.0%49.5%0.0%44.6%1.8%4.8%-226.2K9.8M-72.2K12.2310.28N/AN/A313811,1441,253
2013-11-18$338.32$400.0042.8%12.3%49.9%0.0%41.4%3.6%2.9%8285.0M-69.2K1.1314.68N/AN/A3843672713
2013-11-19$320.80$400.0040.6%11.6%52.8%0.0%42.8%6.7%6.1%-13.0K8.6M-63.6K2.2110.23N/AN/A4088682738
2013-11-20$307.52$360.0038.6%11.1%54.2%0.0%38.4%2.3%5.1%-69.2K11.6M-56.3K1.2217.58N/AN/A4555699786
2013-11-21$316.32$360.0036.8%10.5%55.1%0.0%36.5%3.3%5.8%-73.8K10.6M-60.1K0.5511.41N/AN/A4424715820
2013-11-22$315.68$360.0038.0%10.9%55.0%0.0%38.2%1.4%2.7%-73.7K10.6M-61.3K0.279.25N/AN/A267739837
2013-11-25$319.12$360.0037.4%10.7%55.1%0.0%36.6%3.3%5.6%-69.1K10.0M-61.1K1.0113.38N/AN/A1212740838
2013-11-26$321.20$360.0036.5%10.5%54.8%0.0%37.3%4.3%7.2%-51.1K9.4M-62.7K0.6110.53N/AN/A3220740839
2013-11-27$326.80$360.0035.5%10.2%54.2%0.0%35.2%5.3%1.0%1.5K8.4M-62.1K1.5814.66N/AN/A711751839
2013-11-29$325.04$360.0038.4%11.0%54.2%0.0%38.4%2.0%4.0%-21.0K8.6M-62.2K0.3615.21N/AN/A41754847