NDLS Options History — June 2014

In June 2014, NDLS traded between $255.20 and $283.84. ATM implied volatility averaged 35.6%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 2.2% (HV 20d: 33.4%). Max pain ranged from $200.00 to $280.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.38.

Notable Days

  • 2014-06-27: Highest Volume — 56 contracts
  • 2014-06-10: Largest IV spike — 44.5% change
  • 2014-06-17: Highest IV Rank — 22.0%
  • 2014-06-24: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$269.47$255.20$283.84$266.96$275.12
Max Pain$269.47$200.00$280.00$280.00$200.00
ATM IV35.6%27.7%42.0%38.3%37.0%
Expected Move10.9%8.5%12.4%11.0%12.3%
HV 20d33.4%22.8%46.5%46.2%25.3%
HV 60d51.7%49.2%54.1%54.1%49.2%
IV Rank14.0%4.1%22.0%17.4%15.8%
IV Percentile9.4%0.5%36.8%12.0%10.5%
Term Structure6.4%1.4%12.4%1.6%7.1%
VWIV38.3%30.4%45.0%32.7%42.5%
Skew 25d6.4%-1.6%12.7%5.9%11.7%
Skew 10d21.9%2.0%38.3%9.5%32.5%
Call IV 25d34.7%26.7%43.0%37.3%32.3%
Put IV 25d41.1%37.3%46.0%43.2%44.0%
Bid-Ask Spread %73.0622.1392.6787.6727.58
Gamma HHI0.370.290.530.350.31
Net GEX33.3K-37.6K159.7K32.0K21.6K
Net DEX3.0M-337.1K5.5M3.2M1.9M
Net VEX-37.0K-40.4K-32.1K-40.1K-36.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.380.0322.101.330.17
Total Volume22256532
Total OI1,272.8571,1101,3571,2791,230

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$266.96$280.0038.3%11.0%46.2%17.4%32.7%5.9%1.6%32.0K3.2M-40.1K1.3387.67N/AN/A23672607
2014-06-03$262.08$280.0034.5%9.9%46.5%12.7%30.4%7.1%1.4%20.7K4.1M-37.9K0.9488.36N/AN/A1110673609
2014-06-04$263.68$280.0029.9%8.6%42.4%7.0%43.3%8.5%6.1%21.7K4.0M-37.7K4.0092.67N/AN/A02673617
2014-06-05$265.68$280.0035.9%10.3%40.5%14.4%38.0%5.4%2.3%32.0K3.6M-38.9K0.8389.53N/AN/A43674619
2014-06-06$265.68$280.0035.3%11.6%39.9%13.7%39.1%7.0%5.2%31.9K3.3M-39.5K2.1680.48N/AN/A37676621
2014-06-09$259.92$280.0027.7%10.8%40.1%4.1%33.9%-1.6%8.6%19.6K4.3M-37.7K4.0081.60N/AN/A14678624
2014-06-10$265.20$280.0040.0%10.3%37.0%19.5%35.9%6.3%6.5%26.8K3.9M-35.5K0.2683.54N/AN/A51678627
2014-06-11$261.76$280.0030.5%8.5%35.7%7.7%38.9%0.4%5.7%6.2K4.5M-34.2K2.2283.83N/AN/A13680628
2014-06-12$255.20$280.0036.5%10.5%35.9%15.2%36.5%-0.8%5.2%-37.6K5.5M-32.1K0.3580.87N/AN/A83681629
2014-06-13$260.64$280.0034.0%9.8%36.5%12.1%0.0%3.2%8.1%11.2K4.6M-33.9K22.1083.43N/AN/A128681630
2014-06-16$265.04$280.0038.8%11.1%35.5%18.1%38.1%7.8%6.2%16.0K4.1M-35.0K0.6287.54N/AN/A74680653
2014-06-17$268.64$280.0042.0%12.0%34.8%22.0%40.6%6.1%2.8%58.2K3.7M-36.9K1.6688.11N/AN/A1931675653
2014-06-18$273.44$280.0040.1%11.5%35.2%19.7%0.0%10.2%4.5%74.2K3.4M-35.6K1.1591.84N/AN/A45678676
2014-06-19$276.08$280.0038.3%11.0%27.6%17.4%39.4%12.7%6.9%159.7K2.8M-37.0K4.8688.79N/AN/A526678668
2014-06-20$273.60$280.0036.4%10.4%22.8%15.0%36.4%5.9%7.4%95.6K3.4M-36.9K0.1790.83N/AN/A427678679
2014-06-23$278.72$0.0037.7%12.4%23.6%16.6%0.0%6.3%6.3%3.5K673.5K-36.0K0.3472.11N/AN/A3010569541
2014-06-24$276.80$0.0035.6%12.4%23.8%14.0%43.2%9.5%7.7%19.9K824.5K-38.3K1.1822.13N/AN/A2023588552
2014-06-25$282.32$240.0033.4%12.0%23.6%11.3%42.0%3.0%12.4%30.6K14.0K-37.2K0.0322.63N/AN/A251607570
2014-06-26$283.84$240.0032.4%11.9%23.5%10.0%45.0%10.5%10.1%25.7K-337.1K-39.1K0.9751.26N/AN/A87619571
2014-06-27$278.40$240.0033.2%11.5%24.8%11.1%33.7%9.3%11.5%29.0K682.4K-40.4K0.7239.48N/AN/A3323618570
2014-06-30$275.12$200.0037.0%12.3%25.3%15.8%42.5%11.7%7.1%21.6K1.9M-36.9K0.1727.58N/AN/A275641589