NDLS Options History — January 2015

In January 2015, NDLS traded between $203.28 and $220.00. ATM implied volatility averaged 44.6%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 16.8% (HV 20d: 27.8%). Max pain ranged from $180.00 to $180.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2015-01-14: Highest Volume — 198 contracts
  • 2015-01-12: Largest IV spike — 56.5% change
  • 2015-01-13: Highest IV Rank — 30.8%
  • 2015-01-13: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$211.80$203.28$220.00$209.28$205.68
Max Pain$180.00$180.00$180.00$180.00$180.00
ATM IV44.6%32.5%71.9%39.6%36.0%
Expected Move12.3%9.3%14.6%12.3%10.3%
HV 20d27.8%20.7%30.7%20.7%30.7%
HV 60d42.7%39.6%44.2%42.9%40.2%
IV Rank12.1%3.2%30.8%9.8%5.5%
IV Percentile47.4%1.6%95.6%25.4%7.9%
Term Structure8.6%-2.0%30.7%3.7%13.5%
VWIV44.6%27.7%59.5%45.6%43.0%
Skew 25d7.1%-1.0%15.4%10.4%-1.0%
Skew 10d17.5%4.6%37.3%4.6%7.2%
Call IV 25d38.4%26.7%46.5%29.0%41.9%
Put IV 25d45.5%37.9%51.4%39.4%40.9%
Bid-Ask Spread %93.5982.06115.2085.99101.97
Gamma HHI0.370.290.550.380.35
Net GEX53.9K28.6K79.3K43.0K70.6K
Net DEX-4.0M-5.3M-3.0M-4.2M-3.2M
Net VEX-16.8K-19.5K-13.4K-18.0K-15.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.026.670.630.41
Total Volume90.850198160110
Total OI1,067.051,0291,1761,0401,057

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$209.28$180.0039.6%12.3%20.7%9.8%45.6%10.4%3.7%43.0K-4.2M-18.0K0.6385.99N/AN/A9862505535
2015-01-05$212.32$180.0046.8%12.2%20.8%14.5%41.5%6.7%5.8%32.8K-4.4M-16.1K0.0294.74N/AN/A60499539
2015-01-06$203.28$180.0046.5%13.8%27.0%14.3%41.1%3.7%0.8%28.6K-3.1M-17.8K0.6290.90N/AN/A117499540
2015-01-07$208.80$180.0050.0%13.9%28.3%16.6%48.9%8.7%3.2%34.1K-3.6M-17.7K0.2891.97N/AN/A206501545
2015-01-08$215.76$180.0041.8%13.5%29.7%11.3%47.8%7.8%-1.9%49.5K-4.5M-17.9K0.4590.95N/AN/A10748518550
2015-01-09$216.64$180.0043.6%13.1%29.6%12.5%49.7%6.4%4.7%46.0K-4.9M-17.4K0.4793.77N/AN/A10349519561
2015-01-12$220.00$180.0068.3%14.2%28.9%28.5%44.0%6.6%0.1%60.2K-5.3M-17.9K0.6589.05N/AN/A10166519565
2015-01-13$219.52$180.0071.9%14.6%28.9%30.8%54.4%9.2%-2.0%52.0K-5.1M-19.5K0.2191.42N/AN/A15032516591
2015-01-14$213.20$180.0042.2%12.1%30.0%11.6%48.6%1.2%9.8%38.2K-4.9M-16.9K0.5987.68N/AN/A12573551593
2015-01-15$211.92$180.0042.4%12.2%29.8%11.7%59.5%6.2%12.5%34.4K-4.6M-17.7K0.5491.98N/AN/A12869553623
2015-01-16$212.80$180.0043.5%12.5%27.5%10.5%44.2%5.2%9.5%51.1K-4.6M-17.7K1.9585.35N/AN/A611535625
2015-01-20$212.64$180.0042.7%12.2%27.3%9.9%34.8%3.0%13.9%79.3K-3.8M-17.2K0.6786.61N/AN/A21467562
2015-01-21$208.40$180.0041.0%11.8%28.3%8.8%39.6%15.4%11.8%55.5K-3.0M-17.1K0.5292.82N/AN/A63467563
2015-01-22$209.20$180.0042.7%12.2%27.7%9.9%43.3%3.2%11.4%70.3K-3.6M-16.7K0.4882.06N/AN/A6933473566
2015-01-23$211.36$180.0043.4%12.4%27.9%10.4%41.4%9.7%3.7%75.9K-3.8M-16.3K0.4188.45N/AN/A6828472568
2015-01-26$210.00$180.0041.9%12.0%28.0%9.4%53.4%11.1%10.5%61.0K-3.3M-15.8K6.67100.81N/AN/A03468569
2015-01-27$209.52$180.0035.7%10.2%28.0%5.4%0.0%6.7%14.6%63.5K-3.2M-13.4K0.00115.20N/AN/A00468569
2015-01-28$212.72$180.0032.5%9.3%28.0%3.2%27.7%11.3%30.7%65.3K-3.6M-14.1K0.34107.65N/AN/A7826468569
2015-01-29$212.96$180.0038.8%11.1%28.0%7.4%38.1%10.4%14.9%66.6K-3.7M-14.8K0.37102.37N/AN/A8230483570
2015-01-30$205.68$180.0036.0%10.3%30.7%5.5%43.0%-1.0%13.5%70.6K-3.2M-15.8K0.41101.97N/AN/A7832481576