NDLS Options History — October 2014

In October 2014, NDLS traded between $150.32 and $182.40. ATM implied volatility averaged 57.2%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 23.3% (HV 20d: 34.0%). Max pain ranged from $160.00 to $160.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.43.

Notable Days

  • 2014-10-22: Highest Volume — 350 contracts
  • 2014-10-13: Largest IV spike — 40.8% change
  • 2014-10-29: Highest IV Rank — 31.5%
  • 2014-10-27: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$167.66$150.32$182.40$150.32$182.40
Max Pain$160.00$160.00$160.00$160.00$160.00
ATM IV57.2%40.4%72.9%43.8%69.8%
Expected Move14.6%13.5%15.4%13.8%14.6%
HV 20d34.0%29.3%40.4%36.5%40.4%
HV 60d51.8%50.0%54.1%52.1%54.1%
IV Rank21.3%10.4%31.5%12.5%29.4%
IV Percentile77.5%35.7%94.4%58.7%94.0%
Term Structure-9.1%-16.2%13.3%10.1%-16.2%
VWIV52.8%40.1%67.6%47.9%50.1%
Skew 25d8.6%1.0%14.5%1.0%10.0%
Skew 10d21.0%2.4%42.7%2.4%20.3%
Call IV 25d59.7%39.1%68.0%44.0%66.0%
Put IV 25d68.3%45.0%78.7%45.0%76.0%
Bid-Ask Spread %68.9160.7475.7275.5863.36
Gamma HHI0.290.200.430.400.22
Net GEX-55.8K-80.1K-28.1K-80.1K-44.8K
Net DEX3.5M1.1M6.1M6.1M1.6M
Net VEX-26.0K-28.9K-23.6K-23.6K-26.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.008.318.311.05
Total Volume161.261035057322
Total OI1,956.5651,7702,0721,8901,998

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$150.32$160.0043.8%13.8%36.5%12.5%47.9%1.0%10.1%-80.1K6.1M-23.6K8.3175.58N/AN/A6518351,055
2014-10-02$152.08$160.0042.2%13.5%35.7%11.5%0.0%6.1%13.2%-77.0K6.0M-24.4K0.9066.49N/AN/A878391,076
2014-10-03$152.48$160.0040.4%13.5%35.2%10.4%40.4%8.0%13.3%-77.8K5.9M-24.4K0.5568.74N/AN/A22128421,079
2014-10-06$152.08$160.0043.0%14.0%35.0%12.0%0.0%5.2%-6.7%-80.0K6.0M-23.8K0.0067.67N/AN/A008501,085
2014-10-07$156.00$160.0043.9%14.4%35.8%12.6%49.3%5.4%-6.6%-64.0K5.0M-24.2K0.8374.20N/AN/A56468501,085
2014-10-08$159.44$160.0043.4%14.5%35.3%12.3%51.2%7.1%-11.7%-46.2K4.3M-25.0K1.1767.06N/AN/A1451698761,109
2014-10-09$158.56$160.0046.7%14.9%33.8%14.5%49.6%3.3%-9.5%-56.1K4.4M-26.2K0.7971.87N/AN/A53428721,147
2014-10-10$162.32$160.0046.0%15.1%32.3%14.0%51.6%14.1%-14.4%-47.4K3.9M-25.6K0.1073.62N/AN/A2228771,170
2014-10-13$165.12$160.0064.7%15.0%29.3%26.2%40.1%11.1%-13.0%-28.1K3.2M-24.7K1.0674.58N/AN/A23258701,171
2014-10-14$165.52$160.0044.4%15.3%29.3%13.0%48.5%5.7%-13.7%-37.3K2.3M-25.6K0.7175.72N/AN/A1541108871,185
2014-10-15$173.44$160.0056.0%15.2%32.8%20.5%48.3%12.1%-9.9%-60.9K2.1M-24.1K0.9274.08N/AN/A1341228771,185
2014-10-16$173.28$160.0069.7%15.0%32.9%29.4%51.4%8.0%-16.2%-47.0K2.1M-25.5K0.5267.78N/AN/A1058621,119
2014-10-17$176.48$160.0064.3%14.7%32.4%25.9%56.9%10.5%-13.3%-39.1K1.1M-24.5K0.9464.53N/AN/A99938671,119
2014-10-20$181.28$160.0065.1%14.6%30.4%26.4%59.3%7.2%-11.4%-33.5K1.6M-25.4K2.6973.43N/AN/A3183787983
2014-10-21$182.16$160.0064.0%14.0%29.4%25.7%58.6%8.9%-10.9%-46.4K1.8M-28.8K0.8670.67N/AN/A1751507991,101
2014-10-22$179.44$160.0063.6%14.9%29.5%25.4%59.3%14.5%-10.7%-43.9K2.2M-28.5K1.4460.74N/AN/A1442068051,050
2014-10-23$171.60$160.0064.3%14.1%35.2%25.9%67.6%8.4%-11.2%-67.3K3.6M-28.9K0.5166.73N/AN/A181938131,095
2014-10-24$173.92$160.0063.3%15.0%34.9%25.2%51.8%11.6%-12.6%-58.7K3.3M-28.5K0.7564.05N/AN/A129968411,105
2014-10-27$169.12$160.0071.3%15.4%34.7%30.4%67.1%7.9%-13.9%-67.5K4.0M-27.5K0.2762.82N/AN/A1548401,109
2014-10-28$173.44$160.0065.4%14.8%34.4%26.6%54.8%8.8%-13.2%-64.4K3.1M-27.2K6.6164.66N/AN/A9608531,109
2014-10-29$168.00$160.0072.9%15.1%35.7%31.5%53.5%11.3%-15.9%-58.6K3.7M-27.5K0.8966.34N/AN/A1541378531,089
2014-10-30$177.68$160.0068.1%14.3%40.0%28.4%50.6%12.3%-14.0%-57.8K2.6M-26.9K1.0070.19N/AN/A1521528541,128
2014-10-31$182.40$160.0069.8%14.6%40.4%29.4%50.1%10.0%-16.2%-44.8K1.6M-26.9K1.0563.36N/AN/A1571658661,132