NDLS Options History — September 2014

In September 2014, NDLS traded between $139.12 and $156.56. ATM implied volatility averaged 41.1%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 11.8% (HV 20d: 52.8%). Max pain ranged from $160.00 to $200.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.15.

Notable Days

  • 2014-09-03: Highest Volume — 303 contracts
  • 2014-09-10: Largest IV drop — 8.5% change
  • 2014-09-25: Highest IV Rank — 12.7%
  • 2014-09-22: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$148.27$139.12$156.56$151.12$153.52
Max Pain$167.62$160.00$200.00$200.00$160.00
ATM IV41.1%37.7%44.0%41.4%39.7%
Expected Move13.6%12.5%14.3%13.5%13.1%
HV 20d52.8%37.8%73.5%68.2%40.5%
HV 60d50.4%49.1%52.2%49.1%52.2%
IV Rank10.8%8.6%12.7%11.0%9.9%
IV Percentile39.9%16.7%59.1%40.9%31.3%
Term Structure9.6%-0.8%15.0%-0.7%14.1%
VWIV47.0%31.8%52.0%46.5%49.6%
Skew 25d2.6%-8.0%12.2%3.2%9.2%
Skew 10d7.0%-14.8%18.8%-4.1%9.0%
Call IV 25d41.3%33.6%46.4%41.7%37.9%
Put IV 25d43.9%34.3%48.9%44.9%47.1%
Bid-Ask Spread %66.4434.0687.6173.4275.47
Gamma HHI0.340.280.470.470.36
Net GEX-112.9K-163.3K-78.5K-122.6K-78.5K
Net DEX9.6M5.7M12.5M11.4M5.8M
Net VEX-21.7K-25.3K-15.8K-19.2K-24.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.239.972.341.61
Total Volume82.857293036486
Total OI2,115.6191,7112,4631,9001,855

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$151.12$200.0041.4%13.5%68.2%11.0%46.5%3.2%-0.7%-122.6K11.4M-19.2K2.3473.42N/AN/A19458311,069
2014-09-03$143.52$200.0042.9%13.4%69.0%12.0%48.5%-8.0%-0.5%-102.9K12.0M-15.8K3.3555.49N/AN/A702338441,086
2014-09-04$140.72$180.0040.7%13.7%68.5%10.6%47.5%-1.4%-0.8%-118.8K12.4M-17.9K0.8167.36N/AN/A65528981,233
2014-09-05$139.12$180.0040.5%13.8%68.2%10.4%48.1%5.3%11.3%-108.5K12.5M-18.1K0.8334.06N/AN/A33289361,266
2014-09-08$141.60$180.0040.8%13.8%69.7%10.6%47.3%2.7%11.9%-106.3K12.3M-18.6K2.6734.42N/AN/A16439511,279
2014-09-09$141.92$180.0041.2%13.4%70.1%10.9%31.8%2.1%10.5%-109.1K12.3M-19.9K0.2763.82N/AN/A56159661,306
2014-09-10$146.08$160.0037.7%13.8%71.5%8.6%45.4%2.0%10.5%-105.8K11.2M-21.8K0.8064.57N/AN/A86691,0031,315
2014-09-11$150.88$160.0040.9%13.6%73.5%10.7%50.5%3.1%10.9%-139.1K10.4M-22.0K0.2771.73N/AN/A42111,0221,336
2014-09-12$156.56$160.0041.0%13.2%45.1%10.8%50.2%2.1%10.0%-163.3K9.2M-25.2K0.8849.31N/AN/A108951,0321,338
2014-09-15$150.96$160.0042.6%13.9%46.6%11.8%50.8%-0.3%10.1%-113.6K10.3M-24.9K0.3064.29N/AN/A37111,0661,386
2014-09-16$150.96$160.0043.5%13.7%46.5%12.4%51.3%-1.1%7.8%-134.4K10.0M-25.3K9.9763.90N/AN/A4441,0701,386
2014-09-17$152.88$160.0041.8%13.5%46.3%11.3%44.2%5.4%8.0%-148.2K10.3M-24.6K0.8274.45N/AN/A16131,0691,394
2014-09-18$153.04$160.0039.8%13.8%42.2%10.0%35.2%-0.1%10.8%-139.4K9.9M-23.9K0.6176.10N/AN/A41251,0541,372
2014-09-19$151.20$160.0040.2%13.8%41.9%10.2%0.0%1.7%10.7%-83.0K10.5M-23.2K5.6277.27N/AN/A9501,0481,384
2014-09-22$147.28$160.0042.3%14.3%42.4%11.6%49.4%-0.8%12.0%-91.4K6.7M-21.6K0.4878.07N/AN/A3517741970
2014-09-23$145.60$160.0040.8%13.7%42.4%10.6%46.5%5.1%14.0%-94.2K7.1M-21.1K8.4869.03N/AN/A864755984
2014-09-24$143.60$160.0041.1%13.6%37.8%10.8%52.0%3.2%12.1%-105.5K7.2M-22.0K2.4768.09N/AN/A12307551,009
2014-09-25$146.80$160.0044.0%13.7%38.0%12.7%51.6%6.0%9.2%-112.3K7.0M-22.0K1.9369.86N/AN/A18347641,035
2014-09-26$150.00$160.0041.3%13.7%39.0%11.0%49.6%2.8%15.0%-102.2K6.5M-22.2K0.4576.89N/AN/A24117711,029
2014-09-29$156.32$160.0038.3%12.5%42.0%9.0%43.7%12.2%14.7%-91.7K5.7M-21.8K0.2387.61N/AN/A53127801,040
2014-09-30$153.52$160.0039.7%13.1%40.5%9.9%49.6%9.2%14.1%-78.5K5.8M-24.0K1.6175.47N/AN/A33538071,048