NDLS Options History — December 2013

In December 2013, NDLS traded between $274.72 and $321.04. ATM implied volatility averaged 41.0%. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 1.0% (HV 20d: 42.0%). Max pain ranged from $320.00 to $360.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.18.

Notable Days

  • 2013-12-27: Highest Volume — 228 contracts
  • 2013-12-12: Largest IV spike — 12.4% change
  • 2013-12-18: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$295.23$274.72$321.04$313.28$287.36
Max Pain$327.62$320.00$360.00$360.00$320.00
ATM IV41.0%37.1%46.1%39.2%39.5%
Expected Move11.9%10.8%13.2%11.2%11.3%
HV 20d42.0%36.3%55.3%55.3%36.3%
HV 60d42.7%41.5%43.4%41.5%43.0%
Term Structure5.5%2.7%8.6%3.6%7.5%
VWIV41.0%32.5%43.9%40.0%39.6%
Skew 25d1.7%-7.0%17.6%-0.0%-5.8%
Skew 10d4.9%-12.4%25.0%-1.7%-12.4%
Call IV 25d41.3%26.6%44.8%41.1%40.9%
Put IV 25d43.0%33.2%47.2%41.1%35.1%
Bid-Ask Spread %63.8211.0687.0711.3511.06
Gamma HHI0.420.260.880.320.27
Net GEX-102.4K-1.0M30.8K-76.9K30.8K
Net DEX10.8M3.0M15.8M11.2M3.0M
Net VEX-49.4K-58.5K-40.8K-55.9K-50.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.064.052.490.12
Total Volume76.6191322860180
Total OI1,626.0481,2341,8161,6021,537

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$313.28$360.0039.2%11.2%55.3%0.0%40.0%-0.0%3.6%-76.9K11.2M-55.9K2.4911.35N/AN/A1743755847
2013-12-03$320.88$360.0038.4%11.0%55.0%0.0%38.4%2.7%3.4%-57.3K10.2M-57.0K0.3974.99N/AN/A2911752878
2013-12-04$316.80$360.0037.7%10.8%50.2%0.0%37.2%2.6%6.0%-53.8K10.6M-58.1K0.0687.07N/AN/A211775880
2013-12-05$321.04$360.0038.3%11.0%50.6%0.0%32.5%17.6%5.6%-33.2K9.8M-58.5K4.0527.98N/AN/A1767779880
2013-12-06$301.60$320.0040.7%12.0%41.7%0.0%42.6%3.9%7.7%-79.6K12.8M-54.1K1.2975.86N/AN/A5470786886
2013-12-09$305.68$320.0037.1%11.8%42.2%0.0%41.3%2.1%7.7%-82.4K12.3M-51.3K2.8575.72N/AN/A1749810876
2013-12-10$307.60$320.0037.5%11.9%41.3%0.0%42.5%-0.3%5.1%-98.8K12.4M-52.2K0.3375.27N/AN/A3813812901
2013-12-11$306.00$320.0037.4%12.2%40.4%0.0%42.3%1.0%5.5%-63.0K12.1M-53.5K0.2377.45N/AN/A112839904
2013-12-12$295.76$320.0042.0%12.0%41.5%0.0%41.0%1.0%5.8%-84.5K13.8M-49.8K0.4779.86N/AN/A5024832904
2013-12-13$288.32$320.0042.0%12.0%41.9%0.0%42.7%1.8%6.2%-104.7K14.7M-46.9K3.4978.53N/AN/A1344862904
2013-12-16$285.28$320.0043.9%12.6%41.5%0.0%43.2%2.7%5.5%-163.5K15.8M-44.0K1.2477.86N/AN/A3340861921
2013-12-17$294.80$320.0042.5%12.2%43.7%0.0%40.3%3.6%7.3%-69.0K14.2M-49.0K0.7577.46N/AN/A1814878933
2013-12-18$294.64$320.0046.1%13.2%40.1%0.0%43.3%3.5%2.9%-22.3K14.3M-47.7K0.5580.22N/AN/A3519881935
2013-12-19$286.88$320.0045.8%13.1%38.5%0.0%43.1%2.5%2.9%-116.9K13.3M-45.2K2.7377.15N/AN/A1028878879
2013-12-20$280.64$320.0044.9%12.9%37.1%0.0%43.9%1.3%3.5%-1.0M14.4M-43.3K1.4171.93N/AN/A2840883887
2013-12-23$280.24$320.0044.4%12.7%37.1%0.0%43.4%2.2%2.7%-22.9K7.1M-41.0K0.3735.60N/AN/A11542649585
2013-12-24$274.72$320.0044.3%12.7%36.9%0.0%43.9%0.4%3.8%-17.8K7.1M-42.4K0.8140.65N/AN/A2924704613
2013-12-26$275.20$320.0039.4%11.3%36.7%0.0%39.4%1.1%7.2%-27.6K7.2M-40.8K0.4669.56N/AN/A5123729626
2013-12-27$279.60$320.0040.6%11.6%36.6%0.0%41.4%-1.0%6.6%-10.6K5.8M-45.6K0.1776.20N/AN/A19533754634
2013-12-30$283.52$320.0039.1%11.2%37.4%0.0%38.6%-7.0%8.6%27.6K3.8M-50.0K0.4858.37N/AN/A4120857661
2013-12-31$287.36$320.0039.5%11.3%36.3%0.0%39.6%-5.8%7.5%30.8K3.0M-50.9K0.1211.06N/AN/A16119864673