NDLS Options History — July 2014

In July 2014, NDLS traded between $221.68 and $269.92. ATM implied volatility averaged 50.9%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 17.8% (HV 20d: 33.1%). Max pain ranged from $200.00 to $240.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.49.

Notable Days

  • 2014-07-10: Highest Volume — 180 contracts
  • 2014-07-10: Largest IV spike — 25.1% change
  • 2014-07-31: Highest IV Rank — 54.0%
  • 2014-07-23: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$240.09$221.68$269.92$268.64$224.80
Max Pain$230.91$200.00$240.00$240.00$200.00
ATM IV50.9%32.7%67.5%32.7%67.5%
Expected Move12.2%11.4%12.7%12.3%12.6%
HV 20d33.1%24.4%38.3%25.9%35.7%
HV 60d46.1%35.4%49.5%49.4%35.4%
IV Rank33.3%10.4%54.0%10.4%54.0%
IV Percentile65.5%2.5%91.7%2.5%91.7%
Term Structure-6.8%-19.3%12.2%12.2%-19.3%
VWIV43.8%21.6%56.3%52.3%47.8%
Skew 25d-0.0%-6.9%5.6%5.6%2.5%
Skew 10d0.0%-15.1%36.5%35.8%3.0%
Call IV 25d53.8%32.4%67.7%32.4%67.7%
Put IV 25d53.7%37.0%70.5%38.0%70.3%
Bid-Ask Spread %29.3520.0942.2326.0628.54
Gamma HHI0.300.220.470.320.29
Net GEX-37.3K-89.8K13.9K13.9K-51.8K
Net DEX7.0M2.9M10.3M2.9M8.6M
Net VEX-30.0K-36.9K-25.0K-36.9K-30.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.076.290.670.28
Total Volume54.09121806713
Total OI1,473.8641,2371,7341,2371,734

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$268.64$240.0032.7%12.3%25.9%10.4%52.3%5.6%12.2%13.9K2.9M-36.9K0.6726.06N/AN/A4027643594
2014-07-02$267.52$240.0034.6%12.0%25.9%12.8%41.3%2.4%10.1%7.0K3.5M-36.7K2.2525.07N/AN/A1023659614
2014-07-03$269.92$240.0033.0%11.4%25.9%10.8%21.6%3.2%7.4%4.0K3.2M-35.7K0.0738.96N/AN/A20663619
2014-07-07$265.76$240.0036.9%11.8%26.6%15.7%42.3%-0.3%-4.4%5.3K3.7M-34.7K0.5227.01N/AN/A53665619
2014-07-08$267.44$240.0039.3%11.5%25.3%18.7%49.4%1.3%-4.3%5.9K3.7M-33.5K0.7524.85N/AN/A11669619
2014-07-09$266.48$240.0039.6%12.1%24.4%19.1%0.0%0.4%-3.5%-1.0K3.9M-32.0K0.2031.85N/AN/A71669620
2014-07-10$245.12$200.0049.5%12.0%38.3%31.5%43.0%-6.4%-5.7%-44.8K7.0M-27.8K0.9833.72N/AN/A9189670620
2014-07-11$244.24$240.0048.1%12.2%37.5%29.8%42.3%-6.9%-2.6%-89.8K7.5M-30.3K1.5233.31N/AN/A4873719687
2014-07-14$240.00$240.0051.3%12.2%36.8%33.8%45.1%-5.7%-5.5%-63.1K8.2M-28.4K0.5328.21N/AN/A2513739729
2014-07-15$233.76$240.0051.4%12.2%36.7%33.9%0.0%0.5%-6.9%-76.2K8.9M-27.9K0.1024.66N/AN/A394754737
2014-07-16$226.40$240.0055.0%12.4%37.0%38.4%46.6%-2.5%-10.4%-32.6K9.6M-26.6K4.3633.88N/AN/A1775783737
2014-07-17$222.08$240.0056.6%12.4%35.8%40.5%50.0%-0.9%-10.4%-34.7K9.7M-25.4K6.2927.35N/AN/A1488785740
2014-07-18$221.68$240.0055.0%12.3%35.2%38.4%49.3%-1.0%-8.3%-52.1K10.3M-25.3K3.1928.62N/AN/A1136782790
2014-07-21$225.60$240.0055.5%12.3%36.6%39.1%56.3%1.0%-9.7%-52.2K8.4M-25.0K0.6230.64N/AN/A4125721707
2014-07-22$225.84$240.0056.5%12.6%35.4%40.3%41.6%-0.5%-10.2%-39.8K7.8M-26.7K0.5926.37N/AN/A4426757723
2014-07-23$224.80$240.0057.6%12.7%35.4%41.7%44.4%-1.4%-10.9%-30.2K7.7M-28.6K4.8720.09N/AN/A1575797745
2014-07-24$227.04$240.0057.0%12.0%34.5%41.0%26.8%0.2%-10.6%-59.9K8.1M-29.1K1.7631.77N/AN/A2035812807
2014-07-25$225.28$240.0058.4%12.6%33.9%42.6%47.2%0.3%-11.1%-58.2K8.2M-30.0K0.2622.67N/AN/A62820823
2014-07-28$228.88$200.0060.9%12.1%35.1%45.8%41.5%2.0%-13.5%-48.1K7.9M-29.8K1.0331.04N/AN/A3435825824
2014-07-29$230.48$200.0059.1%12.4%35.6%43.5%0.0%2.2%-12.9%-72.3K7.8M-28.5K0.6928.90N/AN/A2115839849
2014-07-30$230.24$200.0064.2%12.5%35.3%49.9%0.0%3.6%-18.2%-49.1K8.0M-30.6K1.2342.23N/AN/A1822854863
2014-07-31$224.80$200.0067.5%12.6%35.7%54.0%47.8%2.5%-19.3%-51.8K8.6M-30.3K0.2828.54N/AN/A103866868