NDLS Options History — April 2014

In April 2014, NDLS traded between $262.32 and $314.48. ATM implied volatility averaged 49.3%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 2.4% (HV 20d: 46.9%). Max pain ranged from $320.00 to $320.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2014-04-30: Highest Volume — 299 contracts
  • 2014-04-10: Largest IV spike — 34.9% change
  • 2014-04-29: Highest IV Rank — 50.6%
  • 2014-04-29: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$292.49$262.32$314.48$314.48$262.32
Max Pain$320.00$320.00$320.00$320.00$320.00
ATM IV49.3%34.9%64.7%38.6%42.9%
Expected Move14.5%11.1%18.6%11.1%12.3%
HV 20d46.9%41.6%68.0%42.2%68.0%
HV 60d46.9%44.0%53.8%47.8%53.8%
IV Rank31.3%13.2%50.6%17.8%23.2%
IV Percentile61.8%1.1%88.7%10.9%40.0%
Term Structure-2.4%-11.8%7.5%7.5%-1.2%
VWIV50.7%38.6%61.3%38.6%43.3%
Skew 25d1.5%-4.5%6.0%2.4%3.4%
Skew 10d0.9%-14.3%11.8%2.4%-2.9%
Call IV 25d50.5%41.2%62.4%41.2%42.2%
Put IV 25d52.0%41.1%61.2%43.7%45.6%
Bid-Ask Spread %71.3425.8187.0477.1725.81
Gamma HHI0.330.290.420.360.34
Net GEX41.3K-109.9K136.1K136.1K-109.9K
Net DEX4.9M990.7K11.8M990.7K11.8M
Net VEX-39.9K-49.7K-31.1K-40.7K-33.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.043.250.140.30
Total Volume79.7141229934299
Total OI1,362.3331,1901,6121,1941,612

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$314.48$320.0038.6%11.1%42.2%17.8%38.6%2.4%7.5%136.1K990.7K-40.7K0.1477.17N/AN/A304624570
2014-04-02$302.48$320.0040.6%11.6%44.5%20.3%41.1%0.4%4.3%88.6K3.0M-38.2K0.0476.94N/AN/A442628572
2014-04-03$289.20$320.0042.0%12.0%47.1%22.1%43.1%-4.5%6.1%19.5K5.3M-33.3K0.3587.04N/AN/A3613617573
2014-04-04$291.20$320.0044.2%14.0%46.8%24.9%47.1%2.6%-3.1%14.5K5.2M-33.2K0.2778.76N/AN/A5315621575
2014-04-07$282.00$320.0042.6%13.7%47.4%22.9%50.5%-0.9%-0.6%-7.5K6.1M-31.1K0.4678.05N/AN/A2813643580
2014-04-08$296.64$320.0044.4%13.9%51.0%25.1%48.5%1.6%-2.7%49.4K4.1M-34.4K0.1274.00N/AN/A445651585
2014-04-09$301.36$320.0034.9%13.4%43.8%13.2%47.5%2.8%-0.2%101.8K3.4M-36.2K0.4775.34N/AN/A188677587
2014-04-10$285.12$320.0047.1%13.5%46.6%28.4%47.4%-1.7%0.1%13.8K5.2M-33.6K0.4876.80N/AN/A189689585
2014-04-11$283.12$320.0048.4%13.9%46.6%30.1%51.9%-1.3%-0.2%6.4K6.1M-31.4K0.4468.57N/AN/A6529693589
2014-04-14$286.32$320.0049.8%14.3%46.7%31.9%50.2%1.2%-1.4%18.4K5.2M-33.4K0.3576.87N/AN/A93729610
2014-04-15$294.88$320.0053.9%15.5%48.2%37.0%53.7%2.8%-4.2%38.9K4.1M-34.7K1.1279.11N/AN/A100112729612
2014-04-16$291.12$320.0053.5%15.3%48.3%36.5%52.8%1.4%-4.4%27.9K5.3M-41.5K0.5473.49N/AN/A8445767672
2014-04-17$290.24$320.0052.6%15.1%46.2%35.4%55.0%0.1%-3.5%48.1K4.7M-44.5K0.5969.85N/AN/A4929823697
2014-04-21$295.84$320.0055.2%15.8%46.7%38.6%54.2%2.2%-4.1%50.1K4.1M-47.4K0.1972.63N/AN/A8115681649
2014-04-22$299.44$320.0054.8%15.7%46.9%38.1%54.9%5.4%-2.8%106.3K3.3M-49.3K3.2565.53N/AN/A1032743656
2014-04-23$296.00$320.0054.8%15.7%46.3%38.1%54.8%2.8%-5.7%66.1K4.2M-49.2K0.7871.66N/AN/A7155749687
2014-04-24$295.84$320.0055.6%15.9%43.2%39.1%55.5%6.0%-3.3%58.5K4.9M-49.7K0.5771.03N/AN/A2313781719
2014-04-25$288.08$320.0056.0%16.0%41.6%39.6%55.1%2.1%-9.7%39.3K6.3M-48.5K0.2674.81N/AN/A5414799728
2014-04-28$292.56$320.0059.2%17.0%42.0%43.7%58.7%4.7%-8.9%49.5K5.9M-47.8K1.5570.55N/AN/A1524812735
2014-04-29$304.00$320.0064.7%18.6%44.2%50.6%61.3%-1.7%-11.8%50.5K3.6M-47.7K0.7554.13N/AN/A5944814746
2014-04-30$262.32$320.0042.9%12.3%68.0%23.2%43.3%3.4%-1.2%-109.9K11.8M-33.0K0.3025.81N/AN/A23069846766