NDLS Options History — November 2014

In November 2014, NDLS traded between $176.64 and $207.60. ATM implied volatility averaged 49.7%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 10.7% (HV 20d: 60.4%). Max pain ranged from $160.00 to $180.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.78.

Notable Days

  • 2014-11-05: Highest Volume — 844 contracts
  • 2014-11-06: Largest IV drop — 51.0% change
  • 2014-11-05: Highest IV Rank — 45.4%
  • 2014-11-05: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$188.77$176.64$207.60$179.92$195.84
Max Pain$163.16$160.00$180.00$160.00$180.00
ATM IV49.7%40.0%94.4%76.4%40.0%
Expected Move13.5%12.7%14.9%14.7%12.7%
HV 20d60.4%41.0%65.6%41.0%60.4%
HV 60d49.6%45.9%60.2%54.1%45.9%
IV Rank16.4%10.1%45.4%33.7%10.1%
IV Percentile62.6%31.3%96.8%95.6%31.3%
Term Structure-2.1%-31.0%4.9%-19.2%0.6%
VWIV49.6%37.3%60.5%60.5%45.1%
Skew 25d6.0%-0.1%12.9%9.9%9.5%
Skew 10d12.5%-5.0%40.5%23.8%9.3%
Call IV 25d48.4%36.0%89.4%74.4%36.5%
Put IV 25d54.4%40.0%102.3%84.3%46.1%
Bid-Ask Spread %74.8168.8194.0670.8694.06
Gamma HHI0.310.180.650.250.23
Net GEX-117.7K-390.7K27.1K-56.5K-18.7K
Net DEX710.9K-5.0M6.7M2.5M-2.4M
Net VEX-30.1K-36.9K-24.6K-29.5K-25.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.168.910.816.00
Total Volume337.84228442892
Total OI2,346.7371,1522,8502,0531,255

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$179.92$160.0076.4%14.7%41.0%33.7%60.5%9.9%-19.2%-56.5K2.5M-29.5K0.8170.86N/AN/A1591308751,178
2014-11-04$177.84$160.0077.1%14.6%41.1%34.2%52.5%10.6%-19.7%-65.3K2.8M-28.4K2.1469.14N/AN/A1543298901,207
2014-11-05$181.76$160.0094.4%14.9%41.1%45.4%56.0%12.9%-31.0%-120.4K3.7M-33.9K1.5869.82N/AN/A3275179161,412
2014-11-06$207.60$160.0046.2%12.8%60.5%14.2%50.2%0.7%-1.8%27.1K-5.0M-27.9K0.8268.83N/AN/A4023281,0601,504
2014-11-07$198.24$160.0045.1%12.9%63.9%13.4%48.0%3.4%2.5%-38.3K-2.0M-35.5K0.8868.81N/AN/A2822481,1201,620
2014-11-10$196.48$160.0044.5%12.9%64.2%13.0%49.1%5.1%0.3%-48.6K-1.6M-36.9K0.7077.06N/AN/A2882011,1791,666
2014-11-11$191.52$160.0043.6%13.2%65.3%12.4%51.1%3.8%1.9%-76.3K-149.5K-29.8K0.8376.71N/AN/A2572141,0181,560
2014-11-12$193.52$160.0043.0%13.4%63.7%12.1%44.3%4.1%3.3%-77.9K-17.5K-34.3K0.9779.91N/AN/A2011941,1701,672
2014-11-13$187.28$160.0045.9%13.7%65.1%13.9%55.7%-0.1%2.1%-117.9K1.3M-34.7K0.9872.22N/AN/A1741711,1751,675
2014-11-14$187.84$160.0043.9%13.7%64.9%12.7%37.3%6.9%4.9%-131.4K1.5M-31.6K8.9173.36N/AN/A4381,1621,672
2014-11-17$183.28$160.0045.6%13.8%64.9%13.8%53.5%5.6%2.3%-202.3K3.0M-31.3K1.1875.33N/AN/A1812141,1591,651
2014-11-18$181.84$160.0044.8%14.0%65.0%13.2%51.7%7.8%3.4%-287.9K3.7M-30.5K0.9772.19N/AN/A1891831,1631,684
2014-11-19$176.64$160.0043.6%13.6%65.6%12.4%48.6%3.3%4.2%-339.0K6.7M-29.7K1.1173.74N/AN/A21241,1521,675
2014-11-20$180.72$160.0043.5%13.4%64.0%12.4%50.5%3.1%3.9%-390.7K4.0M-27.8K1.0374.20N/AN/A1581641,1341,624
2014-11-21$187.76$160.0044.1%13.1%65.1%12.8%47.0%7.5%1.6%-174.7K277.8K-24.6K0.9283.82N/AN/A1881721,1411,639
2014-11-24$193.36$180.0040.5%13.3%64.6%10.4%46.0%8.8%0.0%-51.9K-1.1M-26.0K0.1670.44N/AN/A335466686
2014-11-25$193.04$160.0040.7%12.9%64.3%10.6%52.4%9.9%1.3%-42.2K-1.7M-26.1K0.7975.61N/AN/A144114497685
2014-11-26$192.08$180.0041.5%13.0%62.9%11.1%43.8%1.7%0.0%-23.9K-2.0M-28.1K3.0675.18N/AN/A27545701
2014-11-28$195.84$180.0040.0%12.7%60.4%10.1%45.1%9.5%0.6%-18.7K-2.4M-25.8K6.0094.06N/AN/A02547708