NDLS Options History — December 2014

In December 2014, NDLS traded between $193.44 and $211.04. ATM implied volatility averaged 41.4%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 8.7% (HV 20d: 32.7%). Max pain ranged from $180.00 to $180.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.73.

Notable Days

  • 2014-12-15: Highest Volume — 321 contracts
  • 2014-12-26: Largest IV spike — 12.3% change
  • 2014-12-02: Highest IV Rank — 13.1%
  • 2014-12-09: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$202.89$193.44$211.04$194.72$210.80
Max Pain$180.00$180.00$180.00$180.00$180.00
ATM IV41.4%36.5%44.6%41.4%39.6%
Expected Move12.5%10.9%13.5%13.1%12.6%
HV 20d32.7%21.4%59.9%59.9%21.4%
HV 60d44.3%43.0%45.9%45.8%43.0%
IV Rank11.0%7.8%13.1%11.0%9.9%
IV Percentile41.4%9.5%63.5%45.2%26.2%
Term Structure1.6%-2.8%5.0%0.2%5.0%
VWIV48.6%39.2%59.1%48.0%39.2%
Skew 25d10.5%-0.3%15.2%9.7%11.1%
Skew 10d14.7%-3.2%30.6%-2.7%5.8%
Call IV 25d34.5%28.3%47.8%38.2%29.3%
Put IV 25d45.0%40.4%51.3%47.9%40.4%
Bid-Ask Spread %86.0677.74101.1077.7489.35
Gamma HHI0.280.200.410.230.41
Net GEX37.0K-23.2K67.9K-23.2K47.6K
Net DEX-4.0M-5.8M-2.2M-2.6M-4.3M
Net VEX-21.8K-26.0K-18.0K-24.4K-19.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.001.360.910.00
Total Volume179.31843212484
Total OI1,191.3641,0081,3031,2631,033

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$194.72$180.0041.4%13.1%59.9%11.0%48.0%9.7%0.2%-23.2K-2.6M-24.4K0.9177.74N/AN/A130118554709
2014-12-02$197.12$180.0044.6%13.2%59.7%13.1%55.8%13.5%-1.0%-10.2K-3.0M-24.8K0.7684.54N/AN/A140107559688
2014-12-03$194.24$180.0040.7%12.9%59.8%10.6%53.0%8.3%0.4%-8.5K-2.7M-24.4K0.7980.76N/AN/A140111562691
2014-12-04$193.44$180.0039.9%12.2%59.5%10.0%47.1%4.1%-0.3%-8.9K-2.2M-25.1K0.9390.89N/AN/A77563697
2014-12-05$194.48$180.0038.6%12.5%34.6%9.2%55.7%10.2%2.3%-10.1K-2.5M-26.0K0.7980.30N/AN/A134106572703
2014-12-08$196.16$180.0043.2%13.2%30.9%12.2%57.9%15.2%3.9%-4.0K-2.8M-26.0K1.2080.87N/AN/A128154577703
2014-12-09$199.76$180.0042.5%13.5%31.4%11.7%59.1%12.2%4.8%28.6K-3.8M-24.4K0.8180.18N/AN/A124101579679
2014-12-10$199.04$180.0042.2%12.9%29.9%11.5%58.2%7.8%1.2%42.4K-4.0M-24.3K0.7887.29N/AN/A12698595676
2014-12-11$204.00$180.0041.0%13.2%30.8%10.7%54.7%10.1%4.3%59.2K-5.1M-21.6K0.7788.15N/AN/A135103598673
2014-12-12$206.16$180.0042.4%13.1%27.9%11.7%52.2%4.8%3.0%59.4K-5.3M-21.5K0.8081.90N/AN/A128102584676
2014-12-15$202.08$180.0043.8%12.3%29.3%12.6%48.7%-0.3%-1.1%47.8K-4.3M-22.2K0.7978.39N/AN/A179142582677
2014-12-16$200.08$180.0042.6%12.5%27.8%11.8%45.0%11.7%0.8%53.1K-4.0M-22.0K0.5780.11N/AN/A17599597705
2014-12-17$206.96$180.0043.5%12.7%29.3%12.4%44.5%13.2%1.0%67.9K-5.2M-20.8K0.8487.91N/AN/A9177598705
2014-12-18$209.20$180.0041.7%11.5%26.1%11.2%40.8%12.3%-2.8%66.7K-5.6M-20.8K0.7485.56N/AN/A10075597700
2014-12-19$208.24$180.0038.7%11.7%26.0%9.3%40.7%10.6%2.1%65.7K-5.8M-20.2K0.5188.74N/AN/A147588699
2014-12-22$205.20$180.0036.5%11.6%24.3%7.8%40.3%14.6%4.0%57.5K-3.8M-18.5K0.5489.19N/AN/A9953497511
2014-12-23$205.68$180.0039.0%10.9%22.4%9.5%39.6%14.8%-1.3%60.0K-4.1M-18.0K0.5487.77N/AN/A9953497519
2014-12-24$207.04$180.0039.2%12.6%22.4%9.6%45.6%8.3%4.9%50.0K-3.8M-19.8K0.5492.99N/AN/A9954497521
2014-12-26$207.44$180.0044.0%13.1%22.2%12.7%47.9%9.6%1.4%53.9K-3.7M-18.6K0.48101.10N/AN/A9948497521
2014-12-29$210.64$180.0041.9%12.3%21.8%11.4%45.8%13.9%1.4%58.4K-4.2M-18.4K0.6191.59N/AN/A9457498523
2014-12-30$211.04$180.0043.2%12.2%21.6%12.2%0.0%14.8%0.2%59.9K-4.3M-18.1K1.3688.05N/AN/A1216491519
2014-12-31$210.80$180.0039.6%12.6%21.4%9.9%39.2%11.1%5.0%47.6K-4.3M-19.8K0.0089.35N/AN/A40498535