NDLS Options History — August 2014

In August 2014, NDLS traded between $156.56 and $226.00. ATM implied volatility averaged 70.5%, placing in the 43.0% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 16.2% (HV 20d: 54.3%). Max pain ranged from $200.00 to $240.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 4.37.

Notable Days

  • 2014-08-14: Highest Volume — 1,547 contracts
  • 2014-08-14: Largest IV drop — 73.2% change
  • 2014-08-08: Highest IV Rank — 100.0%
  • 2014-08-13: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$187.49$156.56$226.00$217.76$156.56
Max Pain$209.52$200.00$240.00$200.00$200.00
ATM IV70.5%36.4%178.6%69.1%36.4%
Expected Move13.6%12.6%14.7%14.1%14.1%
HV 20d54.3%29.5%70.9%36.0%70.9%
HV 60d42.4%34.4%49.0%35.3%48.8%
IV Rank43.0%7.8%100.0%56.1%7.8%
IV Percentile60.0%8.7%100.0%91.7%8.7%
Term Structure-1.8%-17.2%6.8%-17.2%2.7%
VWIV47.7%44.5%52.6%50.8%44.9%
Skew 25d4.6%0.8%10.4%0.9%8.7%
Skew 10d6.1%-13.5%15.2%-13.5%7.0%
Call IV 25d47.9%32.5%68.2%68.2%32.5%
Put IV 25d52.5%41.2%74.3%69.1%41.2%
Bid-Ask Spread %49.2225.9379.9458.4579.94
Gamma HHI0.440.300.590.330.50
Net GEX-154.9K-314.5K-64.6K-64.6K-126.0K
Net DEX12.0M7.7M28.6M9.6M10.6M
Net VEX-27.0K-34.1K-19.1K-26.6K-23.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.370.5826.8626.861.50
Total Volume253.524121,5477712
Total OI2,076.1431,6653,3851,7291,897

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$217.76$200.0069.1%14.1%36.0%56.1%50.8%0.9%-17.2%-64.6K9.6M-26.6K26.8658.45N/AN/A374869860
2014-08-04$226.00$200.0070.7%12.7%39.7%58.1%0.0%6.7%0.9%-79.7K9.1M-28.5K3.6638.34N/AN/A931871928
2014-08-05$218.80$200.0088.0%13.3%40.2%79.9%48.2%5.9%-9.8%-81.1K10.1M-30.0K19.8334.66N/AN/A18355871955
2014-08-06$219.36$200.0095.9%12.6%40.4%89.7%44.5%8.1%-1.5%-240.8K11.5M-33.8K0.8045.91N/AN/A21178771,298
2014-08-07$218.80$200.0099.6%13.6%29.5%94.3%44.9%6.5%-4.7%-219.1K11.3M-34.1K0.5825.93N/AN/A24148831,299
2014-08-08$215.12$240.00111.2%13.0%29.8%100.0%46.8%3.6%-3.7%-203.5K11.8M-33.6K2.7137.26N/AN/A21589031,304
2014-08-11$212.00$240.00134.3%13.9%29.7%100.0%50.5%4.1%-6.2%-249.1K12.7M-31.1K2.3628.37N/AN/A821949081,350
2014-08-12$202.64$240.00147.0%14.7%32.0%100.0%49.8%3.5%-7.5%-282.7K14.9M-30.6K2.5437.73N/AN/A1082749491,462
2014-08-13$201.68$240.00178.6%14.7%30.7%100.0%52.6%10.4%-8.4%-314.5K16.1M-33.7K1.0231.39N/AN/A5325441,0151,648
2014-08-14$169.28$240.0047.8%14.2%67.5%15.2%48.3%3.9%4.9%-187.6K28.6M-19.1K4.8860.51N/AN/A2631,2841,3792,006
2014-08-15$167.84$200.0045.0%13.3%67.4%13.3%45.5%0.8%6.8%-144.7K22.3M-22.3K1.8366.75N/AN/A1282341,5441,829
2014-08-18$165.28$200.0044.6%14.0%66.4%13.1%48.6%5.7%-1.3%-129.1K10.2M-23.4K0.8153.18N/AN/A8367678987
2014-08-19$168.00$200.0042.1%13.9%67.1%11.5%46.9%3.4%-2.4%-125.6K10.0M-24.3K1.5944.14N/AN/A24387301,007
2014-08-20$176.00$200.0038.3%13.1%70.5%9.0%45.4%4.6%1.9%-143.9K9.3M-26.6K6.6653.43N/AN/A241627401,033
2014-08-21$177.12$200.0037.5%13.2%70.4%8.5%45.3%5.2%2.3%-114.3K7.7M-27.4K1.5847.65N/AN/A4267751963
2014-08-22$174.72$200.0039.1%13.5%70.3%9.5%50.7%4.3%1.8%-105.2K7.7M-27.0K1.0050.86N/AN/A1414767952
2014-08-25$172.80$200.0038.1%13.5%69.5%8.9%48.8%3.1%2.0%-107.1K8.1M-25.1K5.6855.85N/AN/A951773957
2014-08-26$162.64$200.0039.4%13.7%70.9%9.7%48.1%1.7%0.7%-103.7K9.1M-22.7K2.7355.91N/AN/A65176776947
2014-08-27$157.92$200.0038.9%13.5%70.8%9.4%47.5%3.9%-0.0%-116.9K10.0M-22.4K1.4758.73N/AN/A32477901,016
2014-08-28$156.96$200.0039.4%13.1%70.9%9.7%45.3%1.3%0.3%-114.3K10.3M-21.2K1.6868.64N/AN/A41688031,024
2014-08-29$156.56$200.0036.4%14.1%70.9%7.8%44.9%8.7%2.7%-126.0K10.6M-23.1K1.5079.94N/AN/A578311,066