NDLS Options History — February 2014

In February 2014, NDLS traded between $285.04 and $318.48. ATM implied volatility averaged 49.0%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 5.2% (HV 20d: 43.8%). Max pain ranged from $280.00 to $280.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.68.

Notable Days

2014-02-26: Highest Volume — 403 contracts
2014-02-27: Largest IV drop — 26.5% change
2014-02-26: Highest IV Rank — 42.9%
2014-02-26: Largest Expected Move — 16.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$299.85	$285.04	$318.48	$286.64	$318.48
Max Pain	$280.00	$280.00	$280.00	$280.00	$280.00
ATM IV	49.0%	39.6%	58.6%	51.9%	40.6%
Expected Move	14.6%	11.6%	16.8%	14.9%	11.6%
HV 20d	43.8%	34.5%	54.3%	54.3%	43.2%
HV 60d	42.9%	40.6%	46.8%	46.8%	44.6%
IV Rank	30.9%	19.1%	42.9%	34.5%	20.3%
IV Percentile	62.1%	19.3%	83.4%	77.0%	20.3%
Term Structure	-1.9%	-8.2%	7.1%	-3.0%	0.8%
VWIV	50.4%	40.7%	62.1%	52.1%	40.7%
Skew 25d	3.0%	-0.6%	9.6%	1.9%	5.5%
Skew 10d	8.6%	-2.4%	21.1%	10.6%	10.3%
Call IV 25d	50.2%	40.3%	60.1%	51.4%	40.3%
Put IV 25d	53.2%	42.1%	65.0%	53.4%	45.7%
Bid-Ask Spread %	70.18	49.25	82.33	66.03	55.82
Gamma HHI	0.51	0.31	0.74	0.53	0.56
Net GEX	74.9K	-374.3K	305.9K	101.8K	305.9K
Net DEX	2.7M	-3.0M	5.9M	5.4M	-3.0M
Net VEX	-42.4K	-50.7K	-32.1K	-45.6K	-50.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.05	2.37	0.91	2.37
Total Volume	112.737	12	403	13	282
Total OI	1,781.474	898	2,094	1,889	1,352

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2014-02-03	$286.64	$280.00	51.9%	14.9%	54.3%	34.5%	52.1%	1.9%	-3.0%	101.8K	5.4M	-45.6K	0.91	66.03	N/A	N/A	7	6	1,059	830
2014-02-04	$289.68	$280.00	51.4%	14.7%	54.3%	33.9%	49.6%	9.6%	2.2%	105.7K	5.1M	-45.3K	0.05	60.69	N/A	N/A	33	2	1,057	832
2014-02-05	$292.96	$280.00	51.6%	14.8%	52.7%	34.2%	51.9%	1.4%	-2.0%	136.9K	3.9M	-45.3K	0.12	63.86	N/A	N/A	111	13	1,082	834
2014-02-06	$302.40	$280.00	45.5%	13.0%	52.1%	26.5%	42.4%	-0.6%	7.1%	237.9K	2.2M	-47.6K	1.93	49.25	N/A	N/A	75	145	1,153	839
2014-02-07	$299.92	$280.00	45.1%	14.7%	52.2%	26.0%	49.4%	0.0%	-3.2%	111.1K	3.6M	-48.1K	0.19	77.55	N/A	N/A	63	12	1,143	951
2014-02-10	$306.32	$280.00	39.6%	14.4%	52.5%	19.1%	50.9%	1.5%	-1.3%	157.6K	3.1M	-47.8K	0.17	75.64	N/A	N/A	43	8	1,129	953
2014-02-11	$303.12	$280.00	41.3%	14.6%	48.1%	21.3%	51.0%	1.9%	-1.6%	117.2K	2.9M	-45.1K	0.97	78.88	N/A	N/A	18	17	1,112	951
2014-02-12	$309.28	$280.00	41.3%	14.6%	44.9%	21.1%	51.6%	2.1%	-1.5%	171.6K	2.3M	-47.4K	0.07	79.11	N/A	N/A	15	1	1,120	947
2014-02-13	$308.96	$280.00	50.2%	14.4%	34.5%	32.4%	48.4%	3.1%	-0.5%	192.5K	1.3M	-46.9K	0.14	77.24	N/A	N/A	58	8	1,120	947
2014-02-14	$302.56	$280.00	50.4%	14.4%	35.3%	32.6%	48.6%	0.9%	-0.8%	54.8K	3.3M	-39.6K	0.77	75.90	N/A	N/A	7	5	1,099	943
2014-02-18	$298.72	$280.00	52.7%	15.1%	35.3%	35.5%	51.4%	2.0%	-2.4%	-80.6K	3.3M	-35.2K	0.67	77.95	N/A	N/A	8	5	1,100	945
2014-02-19	$287.60	$280.00	53.3%	15.3%	37.0%	36.2%	53.0%	2.6%	-3.1%	-244.6K	5.6M	-33.3K	0.75	76.05	N/A	N/A	20	15	1,102	946
2014-02-20	$285.04	$280.00	52.4%	15.0%	36.2%	35.1%	52.3%	1.2%	-2.9%	-374.3K	5.9M	-32.8K	0.74	82.33	N/A	N/A	42	31	1,108	944
2014-02-21	$296.80	$280.00	53.1%	15.2%	38.8%	36.1%	50.6%	3.8%	-5.3%	-2.4K	2.0M	-32.1K	0.15	77.86	N/A	N/A	144	22	1,145	945
2014-02-24	$290.00	$280.00	54.2%	15.5%	39.4%	37.4%	52.5%	4.3%	-4.1%	69.4K	2.8M	-34.0K	0.97	74.86	N/A	N/A	44	42	481	417
2014-02-25	$293.20	$280.00	54.9%	15.8%	35.2%	38.3%	54.7%	3.6%	-5.9%	72.5K	2.7M	-38.2K	0.41	72.88	N/A	N/A	60	24	512	458
2014-02-26	$316.40	$280.00	58.6%	16.8%	43.9%	42.9%	62.1%	4.9%	-8.2%	116.3K	-747.7K	-45.0K	0.75	57.33	N/A	N/A	230	173	545	476
2014-02-27	$309.12	$280.00	43.1%	12.4%	42.3%	23.4%	44.4%	6.4%	-0.6%	173.8K	465.0K	-45.3K	0.86	54.20	N/A	N/A	190	163	680	591
2014-02-28	$318.48	$280.00	40.6%	11.6%	43.2%	20.3%	40.7%	5.5%	0.8%	305.9K	-3.0M	-50.7K	2.37	55.82	N/A	N/A	84	198	748	604