NDLS Options History — May 2014

In May 2014, NDLS traded between $245.52 and $282.00. ATM implied volatility averaged 39.6%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 28.4% (HV 20d: 68.0%). Max pain ranged from $280.00 to $320.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.67.

Notable Days

  • 2014-05-09: Highest Volume — 106 contracts
  • 2014-05-15: Largest IV spike — 27.2% change
  • 2014-05-07: Highest IV Rank — 27.4%
  • 2014-05-12: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$261.62$245.52$282.00$269.92$266.00
Max Pain$300.95$280.00$320.00$320.00$280.00
ATM IV39.6%33.1%46.2%40.9%38.2%
Expected Move11.6%9.7%13.4%11.7%11.0%
HV 20d68.0%49.1%74.7%68.3%49.1%
HV 60d55.7%54.1%57.7%54.1%54.2%
IV Rank19.0%10.9%27.4%20.7%17.3%
IV Percentile21.0%1.0%57.5%25.5%11.6%
Term Structure1.7%-2.4%8.3%-0.6%1.6%
VWIV41.1%33.5%45.6%41.1%42.3%
Skew 25d4.7%-0.6%12.9%11.3%6.3%
Skew 10d9.2%-2.8%27.5%10.2%7.6%
Call IV 25d39.0%29.0%44.9%43.0%35.7%
Put IV 25d43.7%38.0%54.3%54.3%42.0%
Bid-Ask Spread %75.5644.0290.0052.7490.00
Gamma HHI0.400.280.690.280.35
Net GEX-21.8K-116.3K36.3K-39.1K28.6K
Net DEX8.3M2.1M13.6M9.7M3.4M
Net VEX-39.0K-46.7K-32.7K-41.8K-39.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.134.781.063.28
Total Volume41.95241063929
Total OI1,579.9051,0551,9461,7871,266

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$269.92$320.0040.9%11.7%68.3%20.7%41.1%11.3%-0.6%-39.1K9.7M-41.8K1.0652.74N/AN/A1920989798
2014-05-02$282.00$320.0039.3%11.3%68.8%18.7%39.8%6.2%2.4%7.1K7.2M-46.7K1.3944.02N/AN/A4157998807
2014-05-05$280.56$320.0039.7%11.3%68.7%19.2%39.6%3.3%4.9%-61.1K8.1M-46.4K3.1669.16N/AN/A6191,008833
2014-05-06$265.52$320.0045.5%12.2%70.5%26.5%42.2%1.7%2.5%-47.0K10.7M-44.7K1.5173.75N/AN/A10141,011848
2014-05-07$256.40$320.0046.2%12.4%68.4%27.4%43.6%-0.6%2.5%-40.9K12.6M-39.2K2.4779.39N/AN/A11271,013855
2014-05-08$252.32$320.0041.6%12.4%67.9%21.6%42.7%0.7%0.9%-45.1K13.1M-35.8K1.3878.20N/AN/A7101,015851
2014-05-09$247.36$320.0042.9%13.0%65.8%23.2%45.6%1.0%-2.4%-52.6K13.5M-34.5K1.5378.01N/AN/A42641,010853
2014-05-12$259.52$320.0037.5%13.4%68.7%16.5%44.3%5.9%-0.7%-38.3K12.9M-36.1K1.0272.62N/AN/A17171,030860
2014-05-13$252.24$320.0043.7%12.9%68.9%24.2%45.3%2.6%-0.4%-43.3K12.9M-36.6K0.7578.69N/AN/A1181,039866
2014-05-14$246.40$320.0033.1%12.5%67.8%10.9%45.5%5.7%3.2%-64.1K13.4M-34.3K1.7376.32N/AN/A16281,044869
2014-05-15$245.52$320.0042.1%12.1%67.8%22.2%43.5%11.6%8.3%-116.3K13.6M-32.7K0.8277.54N/AN/A28231,046875
2014-05-16$253.04$280.0043.8%12.5%69.2%24.3%42.5%4.2%1.3%-30.6K13.0M-34.6K1.0378.98N/AN/A36371,062884
2014-05-19$259.28$280.0041.5%11.9%69.5%21.5%38.7%1.8%-0.1%-16.0K4.3M-36.0K0.2983.61N/AN/A6118548507
2014-05-20$260.16$280.0037.5%10.7%69.3%16.4%41.0%2.5%0.0%2.7K4.1M-36.8K2.7475.02N/AN/A616594519
2014-05-21$276.80$280.0036.9%10.6%73.4%15.6%37.2%12.9%0.9%36.3K2.1M-42.5K1.2083.97N/AN/A3947595533
2014-05-22$265.20$280.0038.0%10.9%74.7%17.1%33.5%2.4%2.0%9.2K3.6M-40.7K4.7865.28N/AN/A316620574
2014-05-23$265.20$280.0036.3%10.4%74.3%14.9%37.6%3.6%1.4%8.3K3.7M-40.5K0.1381.81N/AN/A223623585
2014-05-27$265.84$280.0037.2%10.7%74.0%16.1%37.4%4.9%0.9%19.3K3.5M-40.3K0.2081.02N/AN/A327640588
2014-05-28$261.44$280.0034.0%9.7%72.3%12.0%36.5%4.2%1.4%11.0K4.0M-39.8K3.7579.83N/AN/A28665592
2014-05-29$263.28$280.0035.2%10.1%50.0%13.5%42.3%6.5%5.3%14.0K3.8M-38.9K0.7986.79N/AN/A22666599
2014-05-30$266.00$280.0038.2%11.0%49.1%17.3%42.3%6.3%1.6%28.6K3.4M-39.9K3.2890.00N/AN/A722667599