NDLS Options History — January 2014

In January 2014, NDLS traded between $268.48 and $309.44. ATM implied volatility averaged 39.8%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 3.6% (HV 20d: 43.5%). Max pain ranged from $280.00 to $320.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2014-01-29: Highest Volume — 222 contracts
  • 2014-01-16: Largest IV spike — 67.5% change
  • 2014-01-30: Highest IV Rank — 30.5%
  • 2014-01-30: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$290.98$268.48$309.44$288.64$290.80
Max Pain$302.86$280.00$320.00$320.00$280.00
ATM IV39.8%24.4%48.7%40.5%48.3%
Expected Move12.4%11.2%14.0%11.6%13.8%
HV 20d43.5%30.6%54.1%34.9%54.1%
HV 60d45.4%40.9%48.3%42.8%48.3%
IV Rank24.0%20.3%30.5%22.8%29.9%
IV Percentile42.4%22.5%72.2%37.3%70.1%
Term Structure3.9%-1.4%7.0%2.1%0.9%
VWIV42.0%32.8%48.7%40.6%48.0%
Skew 25d1.7%-3.7%5.4%-3.7%3.7%
Skew 10d6.5%-7.5%19.1%-7.5%14.7%
Call IV 25d43.1%38.7%48.8%41.7%46.6%
Put IV 25d44.8%38.0%50.6%38.0%50.3%
Bid-Ask Spread %46.9614.5274.1374.1361.76
Gamma HHI0.380.320.500.340.50
Net GEX-18.8K-78.3K87.4K-17.5K78.2K
Net DEX4.5M597.6K8.2M3.6M5.4M
Net VEX-43.2K-49.5K-36.9K-49.5K-45.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.092.790.130.09
Total Volume81.381162222973
Total OI1,589.0481,4511,8291,5221,829

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$288.64$320.0040.5%11.6%34.9%0.0%40.6%-3.7%2.1%-17.5K3.6M-49.5K0.1374.13N/AN/A263837685
2014-01-03$290.08$320.0039.1%11.2%34.9%0.0%39.0%5.4%7.0%-6.1K3.2M-48.7K0.4543.19N/AN/A3215843686
2014-01-06$286.56$320.0038.4%13.4%34.4%0.0%46.4%-0.1%2.4%-15.6K3.8M-45.9K0.2552.29N/AN/A5614846691
2014-01-07$297.52$320.0032.1%13.2%30.6%0.0%45.2%5.0%2.2%-10.3K2.1M-46.1K0.3622.91N/AN/A3312830686
2014-01-08$287.04$320.0037.0%13.0%32.5%0.0%38.5%4.3%4.7%-33.9K4.0M-44.6K0.2138.52N/AN/A6614837692
2014-01-09$285.92$280.0038.9%12.8%32.3%0.0%32.8%1.6%3.8%-48.2K3.9M-42.8K0.5638.70N/AN/A3720868702
2014-01-10$283.52$280.0038.9%12.6%32.4%0.0%44.2%0.8%4.4%-45.6K4.1M-41.5K2.7933.31N/AN/A1131892710
2014-01-13$268.48$280.0036.5%12.7%35.6%0.0%43.0%1.9%3.1%-43.5K7.6M-36.9K2.4367.40N/AN/A3482896723
2014-01-14$283.76$280.0037.9%12.5%40.6%0.0%43.1%1.1%3.8%-78.3K4.1M-40.4K2.3325.23N/AN/A44103901727
2014-01-15$307.68$280.0024.4%11.9%49.6%0.0%41.8%0.9%5.0%37.6K597.6K-46.5K0.2714.52N/AN/A9626895783
2014-01-16$309.44$280.0040.9%11.7%48.4%0.0%41.3%0.8%5.8%87.4K689.8K-47.0K1.4837.61N/AN/A6393896785
2014-01-17$306.16$280.0040.2%11.5%48.7%0.0%40.7%0.0%5.7%-40.7K2.3M-45.1K0.3040.28N/AN/A278907833
2014-01-21$299.52$280.0042.6%12.2%48.3%22.8%42.6%1.6%3.4%-41.9K2.7M-43.9K0.6154.01N/AN/A6339787716
2014-01-22$292.56$320.0041.1%11.8%48.4%20.9%41.1%1.1%4.5%-30.5K4.9M-41.9K1.5951.39N/AN/A610756707
2014-01-23$288.48$320.0040.8%11.7%48.8%20.6%33.1%3.7%5.2%-47.9K6.3M-39.4K1.3451.15N/AN/A4864740711
2014-01-24$284.80$320.0040.6%11.6%48.4%20.3%41.2%1.6%4.0%-55.1K8.2M-38.0K0.3453.14N/AN/A186762758
2014-01-27$299.44$320.0041.1%11.8%51.4%21.0%41.0%1.3%6.4%-53.4K5.8M-40.3K0.5154.17N/AN/A4121789758
2014-01-28$293.76$320.0042.6%12.2%51.8%22.8%42.1%1.9%4.7%-28.7K6.5M-41.5K0.7358.73N/AN/A3122810766
2014-01-29$282.72$320.0046.1%13.2%53.6%27.2%46.6%1.0%5.1%-21.5K7.9M-39.4K0.6852.39N/AN/A13290820763
2014-01-30$283.68$320.0048.7%14.0%53.3%30.5%48.7%1.8%-1.4%19.9K7.3M-42.6K0.2961.28N/AN/A7722935812
2014-01-31$290.80$280.0048.3%13.8%54.1%29.9%48.0%3.7%0.9%78.2K5.4M-45.5K0.0961.76N/AN/A676999830