NDLS Options History — March 2014

In March 2014, NDLS traded between $296.00 and $330.80. ATM implied volatility averaged 42.2%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 8.3% (HV 20d: 50.5%). Max pain ranged from $280.00 to $320.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2014-03-12: Highest Volume — 242 contracts
  • 2014-03-10: Largest IV spike — 13.1% change
  • 2014-03-03: Highest IV Rank — 30.3%
  • 2014-03-03: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$309.17$296.00$330.80$299.04$315.76
Max Pain$310.48$280.00$320.00$320.00$320.00
ATM IV42.2%38.6%48.6%48.6%39.6%
Expected Move12.1%11.1%13.9%13.9%11.4%
HV 20d50.5%42.2%55.2%48.9%42.2%
HV 60d46.1%44.3%47.8%46.1%47.8%
IV Rank22.3%17.8%30.3%30.3%19.1%
IV Percentile31.3%11.2%67.5%67.5%17.8%
Term Structure4.1%-4.1%7.4%-4.1%5.7%
VWIV41.9%38.1%46.8%46.8%39.3%
Skew 25d2.7%-0.6%4.6%3.0%3.3%
Skew 10d7.3%-10.1%15.5%-10.1%4.8%
Call IV 25d41.7%37.9%44.8%44.8%40.1%
Put IV 25d44.4%41.3%47.8%47.8%43.3%
Bid-Ask Spread %72.3151.1685.6551.1672.94
Gamma HHI0.420.330.700.370.34
Net GEX130.6K-28.2K476.3K51.7K120.3K
Net DEX2.5M-1.9M7.5M4.2M1.0M
Net VEX-42.4K-48.6K-37.0K-48.6K-40.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.107.491.430.18
Total Volume56.1972427134
Total OI1,3731,0401,5221,4941,166

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$299.04$320.0048.6%13.9%48.9%30.3%46.8%3.0%-4.1%51.7K4.2M-48.6K1.4351.16N/AN/A2942757737
2014-03-04$299.36$320.0047.0%13.5%48.6%28.4%44.2%2.6%-2.1%55.9K5.2M-46.8K1.5362.14N/AN/A1625754747
2014-03-05$296.00$320.0047.5%13.6%48.7%29.0%44.6%1.2%-2.2%18.6K6.3M-43.6K0.7961.62N/AN/A76758745
2014-03-06$299.68$320.0045.2%13.0%48.7%26.1%43.5%3.2%0.8%41.2K5.6M-44.2K0.6060.25N/AN/A53755747
2014-03-07$304.40$280.0040.7%12.0%47.7%20.5%0.0%3.4%4.7%80.0K3.7M-47.5K1.4770.18N/AN/A57758748
2014-03-10$297.36$280.0046.0%12.8%48.4%27.1%44.5%2.3%3.6%5.1K6.8M-38.7K0.1068.98N/AN/A303758749
2014-03-11$296.00$280.0044.5%12.7%47.7%25.2%40.7%3.3%3.7%-28.2K7.5M-37.0K0.3874.00N/AN/A3312740751
2014-03-12$318.24$280.0039.9%12.0%54.3%19.5%42.8%2.1%5.2%158.7K-455.2K-47.1K1.7273.74N/AN/A89153766749
2014-03-13$308.16$280.0043.3%12.4%55.2%23.7%43.9%2.5%4.2%231.7K955.8K-47.0K0.1173.05N/AN/A19922835687
2014-03-14$308.64$320.0041.2%11.8%55.2%21.1%41.5%4.6%6.0%125.3K2.2M-44.0K0.2775.17N/AN/A226743692
2014-03-17$310.56$320.0042.1%12.1%54.7%22.2%42.1%2.5%5.3%148.4K1.5M-42.6K0.2074.10N/AN/A255749692
2014-03-18$311.04$320.0041.0%11.8%54.4%20.9%41.7%2.5%5.7%194.8K1.6M-41.4K0.2270.41N/AN/A174764693
2014-03-19$308.00$320.0042.2%12.1%52.6%22.4%43.9%1.1%4.5%192.6K2.0M-41.0K1.6774.65N/AN/A34764694
2014-03-20$318.96$320.0040.3%11.6%53.5%19.9%40.3%3.6%7.4%476.3K-1.1M-41.6K0.6675.69N/AN/A2315752686
2014-03-21$313.76$320.0038.9%11.1%52.4%18.1%39.4%-0.6%6.5%308.0K2.3M-40.1K0.4272.03N/AN/A5925762694
2014-03-24$311.04$320.0039.5%11.3%51.7%18.9%39.9%3.2%6.1%80.3K1.5M-38.5K0.9080.35N/AN/A2422531509
2014-03-25$317.36$320.0038.6%11.1%52.0%17.8%38.1%3.4%7.2%98.4K1.1M-38.3K0.1779.44N/AN/A498537522
2014-03-26$330.80$320.0040.2%11.5%46.8%19.9%39.2%4.6%5.7%143.7K-1.9M-42.3K0.2782.94N/AN/A5214571522
2014-03-27$316.56$320.0040.1%11.5%48.8%19.7%40.2%2.9%6.0%125.4K504.6K-40.8K0.4485.65N/AN/A177596528
2014-03-28$311.76$320.0039.3%11.3%47.9%18.7%39.3%1.4%6.3%113.6K1.4M-39.6K7.4980.00N/AN/A752595530
2014-03-31$315.76$320.0039.6%11.4%42.2%19.1%0.0%3.3%5.7%120.3K1.0M-40.7K0.1872.94N/AN/A295597569